US Market Electronically Traded Funds (ETFs)

The following US ETFs were optimized using the Trading Sciences UATS (Universal Automated Trade Signaling) technology. To see the UATS software’s trading performance plot for a given ETF, click on the UATS link to the right of the listing. To review the TradeStation Strategy Performance Report, right click on the TradeStation Strategy link and use the Save target as… or the Save link as.. or equivalent browser option to save the mht web archive file to disk. You may need to use Internet Explorer or a browser supporting frames to view the TradeStation performance summaries.

Notes on UATS Analyses

Using statistical bootstrap methods and five discrete optimizations for every UATS model, each equity plot and strategy analysis represents 100% “out-of-sample” data. The different out-of-sample segments are threaded together to form a single equity curve where every trade is blind, fully unaware of the price data being signaled. A paradigm of modeling is tested, not a specific fixed set of model parameters.

Each equity curve represents an average of the best ten models in the UATS optimization based on a reward-risk criterion. The ten models are used to generate an averaged signal. These models which will always include the two principal UATS variables and will be drawn from all of the persistence (memory effect) profiles implemented in the system. The models may also include those which incorporate one or more of three secondary UATS variables.

Each trade consists of a fixed $10,000 amount, the shares adjusted accordingly for each trade. This is a conservative analysis that enables all sections of price data to be treated equally-a strong performance early in the time sequence doesn’t furnish additional equity for larger subsequent trades. The underlying buy-and-hold equity curve in the UATS plots will reflect this behavior, keeping only a constant value at risk across time (monies earned in excess of this $10,000 are assumed withdrawn and idled). The TradeStation analysis does not correct for this effect, keeping all invested funds in play in the buy and hold reference.

The TradeStation performance analysis may reflect a beneficial non-optimized adjustment in the threshold of the average signal used for entering and exiting trades. For entities that have evidenced little growth, or perhaps negative growth across the span of time used in the optimization, a more rigorous threshold may be used to capture the more tenuous upside movements. For entities that have evidenced strong growth, a less rigorous threshold will be reflected in the analysis.

Some count of months of new data will likely be reflected in the TradeStation analyses. All data past the end of the data reflected in the UATS plot use a composite model that incorporates all of the price data used in the optimizations.

The data for each entity was sampled once daily, at a time specific to that entity where ordered behavior was shown to be highest using UATS methods. In general these tended to be in the first 15min after market opening, or in the last 15min prior to market close. A few entities may reflect a time that is pre-market hours or post-market hours if a substantially greater ordered behavior was observed at such times.

As fitting UATS models where trades are typically from a week to a month in duration, the small trading costs do not significantly impact performance results and are not included in the equity plots.

 

DFE   WisdomTree Europe SmCap                 UATS          TradeStation Strategy
DIA   SPDR DJ Industrial Average ETF          UATS          TradeStation Strategy
DVY   iShs Select Dividend ETF                UATS          TradeStation Strategy
EEM   iShs MSCI Emerg Mkt ETF                 UATS          TradeStation Strategy
EFA   iShs MSCI EAFE ETF                      UATS          TradeStation Strategy
EFV   iShs MSCI EAFE Val ETF                  UATS          TradeStation Strategy
EWA   iShs MSCI Australia ETF                 UATS          TradeStation Strategy
EWC   iShs MSCI Canada ETF                    UATS          TradeStation Strategy
EWD   iShs MSCI Sweden ETF                    UATS          TradeStation Strategy
EWG   iShs MSCI Germany                       UATS          TradeStation Strategy
EWH   iShs MSCI Hong Kong ETF                 UATS          TradeStation Strategy
EWI   iShs MSCI Italy Capped ETF              UATS          TradeStation Strategy
EWL   iShs MSCI Switzerland Cppd ETF          UATS          TradeStation Strategy
EWO   iShs MSCI Austria Capped ETF            UATS          TradeStation Strategy
EWQ   iShs MSCI France ETF                    UATS          TradeStation Strategy
EWS   iShs MSCI Singapore ETF                 UATS          TradeStation Strategy
EWT   iShs MSCI Taiwan ETF                    UATS          TradeStation Strategy
EWY   iShs MSCI S Korea Capped ETF            UATS          TradeStation Strategy
EZU   iShs MSCI EMU ETF                       UATS          TradeStation Strategy
EEM   iShs MSCI Emerg Mkt ETF                 UATS          TradeStation Strategy