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

• Ocean Tomo Patent Indexes EOD data
• Equity Put-Call Ratio
• Trading the Equity Curve
• IBS - Internal Bar Strength
• Screen for finding potential high volume momentum growth for the next day
• Kaufman's Efficiency Ratio (Fractal Efficiency)
• Inverse Fisher Transform
• Percentage of Bars a Trading rule Generates Buy/Sell Signals
• Relative Performance Chart - Dynamic assets and index
• Day of week and Week number function
• More trading objects...

Fundamental Analysis

• Historical Stock Market News
• Unexpected Short Selling Bars
• S&P 500 Earnings and Price Earnings Ratio Estimations
• Percentile Rank of PEG, Price/Free Cash Flow and Price/Sales
• NSE Board Meetings
• Detect and Display Potential Splits on a Chart
• Industrial Production Index - IPI - Historical data
• Real Disposable Personal Income
• Income Statement & Growth
• Producer Price Index - PPI
• More trading objects...