9/7/2016. Give a Man a Buy List Feed Him for a Day. Teach a Man to Build a Strategy Feed Him for a Lifetime. New Tools Destroy Old Rules

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1 Give a Man a Buy List Feed Him for a Day New Tools Destroy Old Rules Teach a Man to Build a Strategy Feed Him for a Lifetime SumGrowth Strategies, LLC Seattle, WA But My IRA Funds Were Flat!! 100 % Go-Go 80 s Stock Market Diversify - Rebalance Diversify - Rebalance Own a little bit of everything... So you can achieve precisely Average Performance These Guys Are All Just a Soap Opera. What s Up With That? 5 Mass Hypnotism 6 1

Does Recent Market Data Hold Clues for Future Prices?

7 8 Three Sector Funds 9 Desktop Version in Windows 2004+ 10 1.

Risk & Return are Not Mutually Exclusive. -- Review -3.

Which Trend is Your Friend? It Really Matters.

already How toreflect Build all True Sector Rotation Strategies.

and Forward-Walk Progressive-Tuning Credibility.

If Tactical Diversification Addresses Risk in Three Ways.

2 Does Recent Market Data Hold Clues for Future Prices? 1992 Spreadsheet Experiment: Do Market Data Trends Exist? Do Price Trends Exist? Yes! Trends Exist. 7 8 Three Sector Funds 9 Desktop Version in Windows Trends are Real... (Markets are Not Efficient) 2. Risk & Return are Not Mutually Exclusive. -- Review -3. There's an Optimum Trend Extraction Method. 4. Which Trend is Your Friend? It Really Matters. Prices past publicly available information. 5. already How toreflect Build all True Sector Rotation Strategies. One cannot consistently achieve returns in excess of average. 6. and Forward-Walk Progressive-Tuning Credibility. Stock other asset prices follow a randomprovides walk model. 7. If Tactical Diversification Addresses Risk in Three Ways. TRUE, Diversification is Best. 8. Evidence These Methods Work in the Real World. SectorSurfer Strategy: Efficient Market Hypothesis You select up to 12 ticker symbols to participate. The trend algorithm picks which one to own now. trade alerts are sent typically 3-5 times/yr. But if Trends are Real, E.M.H. is False. SectorSurfer Online Charts

3 Developed by: Edwin Hurst in 1907 Nile River Dam Project Water Flow Character Hurst Exponent H = Slope of Line Document Link: Momentum in Financial Markets Profitability of Momentum Strategies: An Evaluation of Alternative Explanations By Narasiman Jegadeesh and Sheridan Titman (2001) 1.65% / mo. = 21.7% / yr 16.8% Diff. 17 Document Link: Profitability of Momentum Strategies 0.40% / mo. = 4.9% / yr 18 3

Time Domain Data: Prices & Trends Fund Prices Eugene Fama Univ.

so strong, these two fathers of modern finance, call momentum the premier

Where something in the near past...... tells us something about the near future.

We re NOT limited by Average Performance. 1. Trends are Real.

3. There's an Optimum Trend Extraction Method. 4.

How to Build True --- Review Sector Rotation --- Strategies. 6.

Credibility. 7. Tactical Diversification Addresses Risk in Three Ways.

Evidence These Methods Work in the Real World.

MPT Tenets Market Prices are Gaussian Distributed Rational Investors Trade

Reduced by Owning Uncorrelated Assets The Efficient Frontier is the Set of

SectorSurfer Thinks Otherwise MPT Tenets w/ Comments Market Prices are

Investors Trade Risk for Return Fails To Consider New Tools Change the

4 Time Domain Data: Prices & Trends Fund Prices Eugene Fama Univ. of Chicago Kenneth French Dartmouth College The case for momentum is now so strong, these two fathers of modern finance, call momentum the premier market anomaly that s above suspicion. 19 The Price Best Trends Is Our Friend. Time Domain 20 TRENDS, by definition, are a Portal to the Future. Where something in the near past tells us something about the near future. Trends ARE the crystal ball we hope to find. We re NOT limited by Average Performance. 1. Trends are Real... (Markets are Not Efficient) 2. Risk & Return are Not Mutually Exclusive. 3. There's an Optimum Trend Extraction Method. 4. Which Trend is Your Friend? It Really Matters. 5. How to Build True --- Review Sector Rotation --- Strategies. 6. Forward-Walk Modern Progressive-Tuning Portfolio Theory Provides Credibility. 7. Tactical Diversification Addresses Risk in Three Ways. One Must Trade Risk for Return. 8. Evidence These Methods Work in the Real World Must I Trade Risk For Return? MPT Tenets Market Prices are Gaussian Distributed Rational Investors Trade Risk for Return Risk is Measured as Standard Deviation of Return Risk is Reduced by Owning Uncorrelated Assets The Efficient Frontier is the Set of Best Portfolios Must I Trade Risk For Return? SectorSurfer Thinks Otherwise MPT Tenets w/ Comments Market Prices are Gaussian Distributed Fails to Consider the Tails are Way Too Fat Rational Investors Trade Risk for Return Fails To Consider New Tools Change the Game Risk is Measured as Standard Deviation of Return Fails to Consider Big Returns Aren t a Bad Thing Risk is Reduced by Owning Uncorrelated Assets Fails to Consider Temporal Avoidance Strategies The Efficient Frontier is the Set of Best Portfolios Fails to Consider that the Efficient Frontier is an Artifact of Unfortunate Self-Imposed Constraints from Discarding Time Domain Trend Information

Must I Trade Risk For Return? Must I Trade Risk For Return? Can you help a disabled investor?

How to Break Through the Efficient Frontier MPT Tenets w/ Comments Portfolio Market Prices are Gaussian Distributed Fails to Consider the

as Standard Deviation of Return Fails to Consider Big Returns Aren t a Bad Thing Diversify and Rebalance Risk is Reduced by Owning

Fails to Consider that the Efficient Frontier is an Artifact of Unfortunate Self-Imposed Constraints from Discarding Time Domain Trend

25 Uncorrelated Assets 26 Uncorrelated Assets Uncorrelated Risk 1/ N Conclusion: Diversify and Rebalance Improves Risk, But NOT Returns.

5 Must I Trade Risk For Return? Must I Trade Risk For Return? Can you help a disabled investor? SectorSurfer Thinks Otherwise I lost my Time Domain leg and I don t know what to do next! How to Break Through the Efficient Frontier MPT Tenets w/ Comments Portfolio Market Prices are Gaussian Distributed Fails to Consider the Tails are Way Too Fat Rational Investors Trade Risk for Return Fails To Consider New Tools Change the Game Let s Try MPT Risk is Measured as Standard Deviation of Return Fails to Consider Big Returns Aren t a Bad Thing Diversify and Rebalance Risk is Reduced by Owning Uncorrelated Assets Fails to Consider Temporal Avoidance Strategies Investment Options The Efficient Frontier is the Set of Best Portfolios Fails to Consider that the Efficient Frontier is an Artifact of Unfortunate Self-Imposed Constraints from Discarding Time Domain Trend Information MPT Can t Pick Anything to Own or Avoid Next Month! 25 Uncorrelated Assets 26 Uncorrelated Assets Uncorrelated Risk 1/ N Conclusion: Diversify and Rebalance Improves Risk, But NOT Returns. 27 Must I Trade Risk For Return? 28 BY OWNING ONLY THE TREND LEADER How to Break Through the Efficient Frontier Portfolio Diversify & Rebalance Didn t Get Us There. Let s Try Trends Own the Trend Leader Diversify Rebalance Investment Options Trend SerialIndicators Diversification: 29 Owning many funds, but only one at a time. 30 5

Market Noise Makes Our Crystal Ball Foggy 1. 2. Trends are Real... (Markets are Not Efficient) Risk & Return are Not Mutually Exclusive. 3. 4. 5.

Tools for the Job How to Build Sector Rotation Strategies. MSEETrue Stanford University - 1976 Photoelectric Sensors & Controls Book Credibility.

Electronic Signal Processing Theoryin Focus EvidenceMy These Methods Work the Real World.

31 32 Its All About Reducing Noise to Reveal the Signal Matched Filter Processing Filter Shape Basis Differential Signal Processing For a

6 Market Noise Makes Our Crystal Ball Foggy Trends are Real... (Markets are Not Efficient) Risk & Return are Not Mutually Exclusive There's an Optimum Trend Extraction Method. Which Trend is My Your Friend? It Really Matters. Tools for the Job How to Build Sector Rotation Strategies. MSEETrue Stanford University Photoelectric Sensors & Controls Book Credibility. Forward-Walk Progressive-Tuning Provides Inventor - Over 40 US and Foreign Patents Tactical Diversification Addresses Risk Three Ways. Electronic Signal Processing Theoryin Focus EvidenceMy These Methods Work the Real World. Career Has Been All in About Digging Signals Out of Noise! The Game: Extract Trend Signals From Noisy Data Its All About Reducing Noise to Reveal the Signal Matched Filter Processing Filter Shape Basis Differential Signal Processing For a Detailed Technical Description, View the AAII Seminar Vide on the Home Page. Common Mode Noise Elimination Filtering Common Mode Noise Reveals Trend Differences Opposite Trends Diversification Does Not Justify Owning Bad Funds Consistent Positive Correlation is Common Mode Noise

It s not a solo contest. Matched Filer It s a horse race!

37 38 Profitability of Momentum Strategies: An Evaluation of Alternative Explanations By Narasiman Jegadeesh and Sheridan Titman

There's an Optimum Trend Extraction Method. 4. Which Trend is Your Friend? It Really Matters. 5.

Tactical Period Diversification Week? Month? Addresses Quarter? Risk Year? in Three Ways. 8. Evidence Algorithm These MACD?

7 It s not a solo contest. Matched Filer It s a horse race! Matched Filer Ethernet and USB Signal Processing is Done This Way for Good Reason Profitability of Momentum Strategies: An Evaluation of Alternative Explanations By Narasiman Jegadeesh and Sheridan Titman (2001) 1. Trends are Real... (Markets are Not Efficient) 2. Risk & Return are Not Mutually Exclusive. 3. There's an Optimum Trend Extraction Method. 4. Which Trend is Your Friend? It Really Matters. 5. How to Build True Sector Rotation Strategies. 6. Forward-Walk Trend Options Progressive-Tuning are Many Provides Credibility. 7. Tactical Period Diversification Week? Month? Addresses Quarter? Risk Year? in Three Ways. 8. Evidence Algorithm These MACD? Methods SMA? Work EMA? in DEMA? the Real World. Their Choices: 1. Trend Algorithm: S.M.A. 2. Averaging Period: 6 Months 3. Periodically Repeat: 6 Months As an engineer, I want to turn all of the knobs. I want knobs that go to What Happens When We Turn the Knobs? What Happens When We Turn the Knobs? Jegadeesh & Titman 7

Sectors Fidelity Countries ETF Sectors Dozen DJ-65

Stocks Month-End Trade for Various Moving Averages

Conclusion: Trend Algorithm and Time Period Matter!

.. (Markets are Not Efficient) Risk & Return are

Serial There's an Optimum Extraction Method.

Trend is Your Friend? It Really Matters. 5.

Forward-Walk Progressive-Tuning Provides Credibility.

8 What Happens When We Turn the Knobs? What Happens When We Turn the Knobs? SMA: Simple Moving Average Fidelity Sectors Fidelity Sectors Fidelity Countries ETF Sectors Dozen DJ-65 Stocks Fidelity Countries ETF Sectors Dozen DJ-65 Stocks What Happens When We Turn the Knobs? Month-End Trade for Various Moving Averages Fidelity Sectors Fidelity Countries Conclusion: Trend Algorithm and Time Period Matter! ETF Sectors Dozen DJ-65 Stocks Trends are Real... (Markets are Not Efficient) Risk & Return are Diversification Not Mutually Exclusive. Serial There's an Optimum Extraction Method. Sector Rotation Trend Asset Class Rotation Which Trend is Your Friend? It Really Matters. 5. How to Build True Sector Rotation Strategies Forward-Walk Progressive-Tuning Provides Credibility. TacticalStrategy-of-Strategies Diversification Addresses Risk in Three Ways. Evidence These Methods Work in the Real Reduces Risk of Returns Going Flat World. 46 Market Cycle Economic Cycle Smooth Powerful Ride: 47 All Pistons Are Firing No Missing Power Strokes 48 8

9 Own Only the Trend Leader No Missing Power Strokes Serial Diversification True Sector Rotation Own One at a Time Crowd Sourced - Strategy Design Serial Diversification Stand on the Shoulders of Those Who Have Gone Before. Asset Class Rotation Own One at a Time

What if my Strategy Gets a Flat Tire in the Future?

How can I be Sure I m in the Best Strategy?

Questionable Your Funds in Hindsight. Future Performance Estimates.

Strategy-of-Strategies Reduces the Risk of Selection Bias.

50 30 40iShares Fidelity isharescountries Sectors EWJ FIUIXINDA IBB

FDFAX HEWG IHFFSNGXUAE EWGFSAVXEWP IYW FSCGX EZA IHI FSDAXEWN

EWZ FBIOXEWL IYF FSPCXEWD IYJ FSENXEWK IEO FSRPXEWZS EWT FSLBXEWS

IYG FSLEX EIS IEZ FSPTXEWGS EWHFSDCXEWI IYH FSHCX ECH IYK FIDSX EIRL

EWWFSHOXTUR IYM FSLXX EPU FTY FSPHXEWO IAUFSUTXEFNL 57 58 Vanguard

There's an Optimum Trend Extraction Method.

10 What if my Strategy Gets a Flat Tire in the Future? Its Funds Could all go Flat. How can I be Sure I m in the Best Strategy? Hindsight Selection Bias ItCan Seems You ve Selected Produce Questionable Your Funds in Hindsight. Future Performance Estimates. How Will You Reduce Risk of Selection Bias? Strategy-of-Strategies Reduces the Risk of Selection Bias. Avoids Strategies that Get Flat Tires iShares Fidelity isharescountries Sectors EWJ FIUIXINDA IBB FSVLXEWM REMFSCPXEPOL SOXX FBMPXEDEN FXI FSAIXEWA IYR FBSOXTHD IYE FDFAX HEWG IHFFSNGXUAE EWGFSAVXEWP IYW FSCGX EZA IHI FSDAXEWN IATFNARXQAT EWY FSRBXMCHI ICF FCYIXEPHE IHE FSELXENZL IYZFPHAXECNS EWZ FBIOXEWL IYF FSPCXEWD IYJ FSENXEWK IEO FSRPXEWZS EWT FSLBXEWS IYT FDLSXEWQ IYC FSESX SCJ ITA FSCSXFCHI EWUFSCHXINDY IDU FSDPXHEWJ IYG FSLEX EIS IEZ FSPTXEWGS EWHFSDCXEWI IYH FSHCX ECH IYK FIDSX EIRL REZFSTCXSMIN EWCFDCPXEIDO ITB FSMEXERUS IAK FSAGX ITF IAI FSRFXENOR EWWFSHOXTUR IYM FSLXX EPU FTY FSPHXEWO IAUFSUTXEFNL Vanguard HoF SOS (Hall of Fame Strategy of Strategies) The are Question Is: Trends Real... (MarketsReally are Not Efficient) Can&This Series of Mutually Trades Exclusive. Actually Be Risk Return are Not Found Walking Forward in Time? There's an Optimum Trend Extraction Method. Which Trendthe is Your Friend? It Really Matters. Without Vision of Hindsight? How to Build True Sector Rotation Strategies. Forward-Walk Progressive-Tuning Provides Credibility. Tactical Diversification Addresses Risk in Three Ways. Evidence Split Sample Stationarity These Methods Work in the Real World. Forward-Walk Progressive-Tuning 60 10

1s Half --- --- 2 nd Half Independent of Market Performance Trend

-- Optimum Parameter Tuning Was Consistent -- 61 62 Tuned Only With

Layered There's Layers an Diversification Add Optimum ValueTrend

5. How to Build True Sector Rotation Strategies. 6.

Tactical Diversification Addresses Risk in Three Ways. 8.

11 1s Half nd Half Independent of Market Performance Trend Character Remained the Same. -- Optimum Parameter Tuning Was Consistent Tuned Only With Past Data Now Use Next 125 Days 1. Trends are Real... (Markets are Not Efficient) 2. Risk & Return are Not Mutually Exclusive. 3. Layered There's Layers an Diversification Add Optimum ValueTrend Extraction Method. 4. Which Trend is Your Friend? It Really Matters. 5. How to Build True Sector Rotation Strategies. 6. Forward-Walk Progressive-Tuning Provides Credibility. 7. Tactical Diversification Addresses Risk in Three Ways. 8. Evidence These Methods Work in the Real World Reduces Individual Company Price Collapse Risk Trends Used to Avoid Risk of Longer Term Under Performance Reduces Short-Term Volatility Risk Owning Divergent Strategies

Post-Surfing Diversification Surf First to Capture Returns Then Diversify This Is:

Trends are Real... (Markets are Not Efficient) Risk & Return are Not Mutually Exclusive.

Performance Decades Earlier? Performance Since Friend? Inception?It Really Matters.

How to Build True Sector Rotation Strategies. 6. 7.

12 Post-Surfing Diversification Surf First to Capture Returns Then Diversify This Is: Post-Surfing Diversification The Final Step of Tactical Diversification Trends are Real... (Markets are Not Efficient) Risk & Return are Not Mutually Exclusive. So, What About: There's an Optimum Trend Extraction Method. Performance Decades Earlier? Performance Since Friend? Inception?It Really Matters. Which Trend is Your Statistical Relevancy Studies? How to Build True Sector Rotation Strategies Forward-Walk Progressive-Tuning Provides Credibility. Tactical Diversification Addresses Risk in Three Ways. 8. Evidence These Methods Work in the Real World

13 4x 10x 30x Born Oct. 20, 2011 Parameters Frozen Born June 18, 2009 Parameters Frozen It s Real Money Algorithms Matter

14 dajuds cheap $10/month for a Premium Strategy Mom Can Do IT. - Uses SectorSurfer - She is 87 years old - Journalism degree - Still blogs online Integrated Bear Market Strategies September 8 th, The meeting begins at 19:00 82 PM 14

ETF Analysis. Value Index Growth

ETF Analysis. Value Index Growth ETF Analysis This analysis page is updated through January 5, 2018. This data is used in David Vomund s managed account program (www.vomundinvestments.com). Style Index ishares Style Index Funds Based