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DGR Macro Trading Model

The DGR Macro Trading Model covers over 280 distinct asset classes, across equities, bonds, commodities, and currencies.  All assets are investable via ETFs. The daily model combines our absolute price trend indicators and our relative sector rotation indicators.   For each index, we have separated the Absolute Price Indicator (bottom lines) and the Relative Price Indicator (top lines), as well as the Short-Term score (top lines) and the Medium Term score (bottom lines).  Each of the indicators is composed of 20 distinct technical indicators, on a +10 to -10 scale, with optimized parameters determined by econometric tests run in the R statistical software program. To learn more on the signals included in the Model, see our Trading Model Explanation page.

Daily Equity Trading Model

Our Daily Equity Trading Model runs our algorithms on a subset of about 3000 stocks of companies meeting minimum fundamental scores and trading liquidity.  The algorithms are designed to detect both momentum stocks as well as potential reversal (contrarian) plays.  Momentum signals are found by calculating the positive or negative changes in our RS scores for each stock.  Reversal signals are derived from a host of techniques, including positive/negative price divergences with the oscillators, major/minor break-outs, and bullish/bearish candlestick formations.   To learn more on the signals included in the Model, see our Trading Model Explanation page.

WMA Fundamental Allocation Model

Our WMA Fundamental Allocation Model screens a universe of nearly 5,200 companies traded on U.S. exchanges. To be included in our model, the companies must have a liquid issue trading in the U.S., which includes many foreign companies accessible via ADRs. The model ranks companies according to a set of fundamental criteria including valuations, financial situation, profitability, sales growth rates, earnings revisions, and RoE (see our Trading Model Explanation for more details). A technical overlay is applied using the weekly market price (Friday close) and a relative strength vector composed of the stock’s price relative to the Russell 3000 broad market index. Finally we calculate important risk metrics for each company, including Betas, Standard Deviations, and stock price elevation to derive a unique Risk Score for each company.

Market Risk Indicators

The Market Risk Indicators attempt to detect extremes in market participants attitude towards risk. A selection of market-based data is run in panel regressions with the variables returning the highest betas retained for inclusion in the indicator. We evaluate two universes of stocks (all publicly traded U.S. companies and all publicly traded European companies).  The  dependent variables are the S&P 500 and the DJ Stoxx 600. The composite indicators for the U.S. and European contain several indicators of market attitude towards risk, including the percent of stocks above the 50-day and 200-day moving averages, an aggregate 13-week RSI indicator of all stocks, and the 26-week and 52-week CLV readings.