Williams %R application to ETFs

I considered running this on a few stocks to see what would happen but decided to try it out on some ETFs first. I feel that the ETF better reflect the sector and are less prone to gaps and SEVERE adverse moves based on news or a single company's "issues".

So here is a chart of XBI - SPDR S&P Biotech Index for the past year.

The %R indicators are the 6 and 18 day period. The chart is setup for 1600 X 660 which was good for me to work with and shows up nice when expanded.

Here is a rough table of the trades as noted on the chart.


DATE IN Price DATE OUT Price Profit Target
2008-10-28 $47.30 L 2008-11-04 $55.90 $8.60 $3.00
2008-11-04 $55.90 S 2008-11-21 $46.15 $9.75 $3.00
2008-11-21 $46.15 L 2008-12-17 $52.60 $6.45 $3.00
2008-12-17 $52.60 S 2009-01-15 $51.00 $1.60 $1.60
2009-01-15 $51.00 L 2009-02-04 $54.90 $3.90 $3.00
2009-02-04 $54.90 S 2009-02-20 $51.40 $3.50 $3.00
2009-02-20 $51.40 L 2009-02-27 $48.00 -$3.40 -$3.40
2009-03-27 $50.00 S 2009-04-08 $45.20 $4.80 $3.00
2009-04-08 $45.20 L 2009-05-11 $46.55 $1.35 $1.35
2009-05-11 $46.55 S 2009-05-26 $45.00 $1.55 $1.55
2009-05-26 $45.00 L 2009-06-03 $48.00 $3.00 $3.00
2009-06-03 $48.00 S 2009-07-08 $48.00 $0.00 $0.00
2009-07-08 $48.00 L 2009-08-04 $54.00 $6.00 $3.00
2009-08-19 $51.80 L 2009-08-28 $55.00 $3.20 $3.00

Total per share profit was $50.30 taking the full move and without placing any stops other than to secure some profits on the last few positions. All trades were placed based on the %R indicators and the trades were mostly exited, and just reversed, also based on the indicator. also all trades were executed on the next morning's opening price for sake of simplicity. Using a real time chart to time entries and exits could easily be done in order to secure a better fill price, but this just shows that is not really necessary.

The last column is based on closing every trade based on a $3 per share profit target and still gains $28.10 per share. With the reversal trades this would be silly to do as it gives away lots of profits.

I need to investigate the use of options for these same instruments now as a means of eliminating the need to be concerned with stops and enabling me to hold the short and long (puts and calls) positions while transitioning between reversal trades.

Jeff.