TAA - Momentum and Volatility

This is a tactical asset allocation strategy example based on momentum and volatility to rank some ETFs.
More info about how to create tactical asset allocation strategies can be found here:
Create Your Own Tactical Asset Allocation Strategies

Note that unlike the above article (see the link), the composite function here uses "percentile" instead of "rank". The result should be the same. The "rank" function ranks securities by giving a rank of 1 to the security that have the highest metric, 2 to the next one. while the "percentile" function gives 100 to the best security and 0 to the worst one.

This trading system uses the volatility as calculated by the standard deviation and the Sharpe ratio to measure momentum.
The portfolio is rebalanced weekly and only the best performing ETF is purchased.

The ETF universe includes:
DIA (SPDR Dow Jones Industrial Average ETF)
EEM (iShares MSCI Emerging Index Fund ETF)
EPP (iShares MSCI Pacific Ex-Japan Index Fund ETF)
GLD (SPDR Gold Shares ETF)
IEV (iShares S&P Europe 350 Index Fund ETF)
ILF (iShares Latin America 40 Index Fund ETF)
MDY (SPDR S&P MidCap 400 ETF)
SSO (ProShares Ultra S&P500 ETF)

Technical Analysis

• Support and resistance lines based on N-Minutes high/low of a trading session
• SysEnSQN Indicator based on System Quality Number
• ForceIndex
• DIDI INDEX
• Withdraw a Fixed Amount Every Month - Money Management
• Maximum Drawdown Composite Indicator
• Transform Double To Comma Separated Representation
• Week of Month
• Camarilla Pivot Points - Supports and Resistances
• SMA 50-200
• More trading objects...

Fundamental Analysis

• Financial fundamental data for US companies
• News parser function
• Splits Calendar - Historical data for U.S. Stocks
• Business Outlook Survey
• iShares ETFs - Class, Total Net Assets, Inception Date and Number/Top Holdings
• Broker Ratings & Recommendations
• Yahoo Historical Buy/Sell Recommendations
• US Crude Oil Supply, Consumption, and Inventories
• ISM Non-Manufacturing Index
• Recent Insider Buying and Selling for US Stocks
• More trading objects...