Security Trading Analytics

 Proper Order Definition Backtests  for Trading ETFs Based on Major Market Indexes The Security Trading Analytics blog includes a growing series of posts featuring the Proper Order Gain Lock-in (POGL) model. This model specifies buy and sell dates for a trading instrument, such as SPY, based on a proper order relationship between closing prices, selected EMA series, and daily price action. A major driver behind this expanding series is the model's repeated success across different contexts. For those looking to get up to speed, a couple of these historical posts are accompanied by audio deep dives to help you easily learn more about the mechanics. A Preliminary Analysis of EMA Lengths and Price Action in a Buy-Sell Model What are Single-Stock ETFs and Should I Invest in Them? A Model to Lock-in Gains When Trading Single-stock ETFs Should I Trade Single-Stock Leveraged ETFs? Posts On Single-Stock ETFs and Modeling Buy-Sell Decisions This analysis expands into uncharted territor...

A Model to Lock-in Gains When Trading Single-stock ETFs A prior post titled “ What are Single-stock ETFs and Should I Invest in Them? ” introduced readers of this blog to leveraged single-stock ETFs.  The focus of the prior post was leveraged ETFs that return up to two times the daily return of their underlying tickers. This ratio of a two-to-one daily return for a single-stock ETF applies to both increases and decreases in the underlying stock.  Single‑stock ETFs are most commonly offered for tickers that experience high trading volume, strong retail interest, and episodes of fast‑paced price growth.  This practice entices traders/investors to buy single-stock ETFs, even though there is the risk of losing twice as much on a single trading day as with the underlying security.  In addition, there are other considerations that can negatively impact the prices of single-stock ETFs, such as daily rebalancing costs and volatility drag. Rebalancing costs are primarily for ...