Trading System For Limited Investors

Computerized Stock Trading System
An Interactive Qualifying Project Report

Submitted to the Faculty of
Worcester Polytechnic Institute
In Partial Fulfillment of the Requirements for a
Degree of Bachelor of Science
by
Antonio S. Talledo
Yunwen Sun
Advised by
Prof. Michael J. Radzicki
May 30, 2011
Table of Contents
1.
2.
3.
Abstract...5
Introduction and Statement of the Problem......6
Background Research......8
3.1
Fundamental Analysis, Value Investing and Growth Investing..8
3.2
Technical Analysis...8
3.2.1 Indicator9
3.2.2 Channel Length...9
3.2.3 Volume...9
3.2.4 Simple Moving Average9
3.2.5 Average True Range....10
3.3 Charlie Wright....11

3.4 Karl Pearson and the Pearson Correlation Coefficient.....12
3.4.1 Test of Significance.....12
3.4.2 SPSS.12
3.5 Van Tharp, Expectancy and Expectunity..12
3.5.1 Expectancy....13
3.6.1 Strategy (Rule Based Trading) .13
3.6.2 Entry Strategies.13
3.6.3 Exit Strategies.13
3.7 Tradestation...14
3.8 EasyLanguage...14
4. Trading Strategy Analysis for Limited Investors...15
4.1 An Overview.15
4.2 Equity Curve.15
4.3 Correlation Analysis...16
4.3.1 Correlation Coefficients for Current Portfolio.17
4.3.2 Correlations in Bull and Bear Markets...20
4.3.2.1 Current Portfolio Correlation in a Bull Market.23
4.3.2.2 Current Portfolio Correlation in a Bear Market...26
2
4.3.2.3 Porter Stansberry Stocks Correlation in a Bull Market....27

4.3.2.4 Breakfast Club Meeting Stocks Correlation in a Bull
Market..30
4.3.2.5 Breakfast Club Meeting Stocks Correlation in a Bear Market
(Output from SPSS)......31
4.3.3 Foreign and Domestic Stocks Correlation...32
4.4 Expectancy of Limited Investors..34
4.5 Creating a Trading System with Tradestation......35
4.5.1 Entry Strategy....36
4.5.2 Exit Strategy.37
4.5.2.1 Cutting Losses with Initial Stop Loss37
4.5.2.2 Profit Maximizing Rule ATR.39
4.5.2.3 Profit Maximizing Rule SMA41
4.5.3 Comparison Between the Two Trading Systems..43
4.5.4 Our Trading System vs Previous Club Trades.47
5. Conclusions52
6. References..54
7. Appendix..56
Table of Figures
Figure 1: Dow Jones Simple Moving Average......11
Figure 2: Average True Range chart (Wilder, 1978).......11
Figure 3: Limited Investors Equity Curve,.15
Figure 4: Limited Investors (blue) vs S&P 500 (red,,.16
Figure 5: TEF vs THD...20
Figure 6: TBF vs GDX.......20
Figure 7: Bear Market..21
Figure 8: Bull Market.......22
Figure 9: Bear Market..22
Figure 10: Citigroup Initial Stop Loss...35
Figure 11: Optimization Process36
Figure 12: Citi Profit Maximizing with ATR..37
Figure 13: Citigroup Profit Maximizing with SMA...40
Figure 14: WMT Strategy #1.42
Figure 15: WMT Strategy #2.43
Figure 16: PFE...46
Figure 17: Trade Profits by Club vs IQP...47
Table of Tables
Table 1: Limited Investors Current Portfolio Correlation Coefficients.....18
Table 2 : Limited Investors Current Portfolio in a Bull Market from June 22nd 2009 to
Present...23
Table 3: Correlation and Diversification..24
Table 4: Current Portfolio Correlation in a Bear Market (partial) .26
Table 5: Porter Stansberry Stocks Correlation in a Bull Market (Partial)..27
Table 6: Porter Stansberry Stocks Correlation in a Bear Market (partial).28
Table 7: Breakfast Club Meeting Stocks Correlation in a Bull Market......29
Table 8: Breakfast Club Meeting Stocks Correlations in a Bear Market..30
Table 9: Foreign Stocks correlation in current portfolio in a Bull market (Partial).32
Table 10: Foreign Stocks correlation in current portfolio in a Bear Market (Partial)32
Table 11: Citigroup Profit Maximizing with ATR Report....38
Table 12: Citigroup Profit Maximizing with SMA Report ...40
Table 13: WMT Strategy #1 Performance Report....42
Table 14: WMT Strategy #2 Performance Report....44
Table 15: PFE Strategy Report..46
Table 16: Summary of Club Trades Performance vs. New Trading System.....47
1. Abstract
The purpose of this IQP is to suggest improvements to Limited Investors investing
strategies by analyzing their past trading records and methods. From storage and analysis
of its historical data as well as from conversations with the Club members, we identified
that Limited Investors main problem is that they do not have a formal, scientifically based
trading system. Their choices are based on Porter Stansberry Newsletter, value investing
strategy, or Club members suggestions on stocks that are growing vigorously. We utilize
SPSS statistical software to evaluate the portfolio correlations; correlations of stocks from
different strategies, such as Porter Stansberry and Breakfast Club Meeting; and correlations
of stocks in a bull and a bear market. Through utilizing the Tradestation trading platform
we evaluate the stock performance by using four indicators through the project: Channel
Length, Volume, Average True Range, and Simply Moving Average on our selected stocks in
Limited Investors Portfolio. By back-testing selected stocks that the fund has traded, we
apply optimized parameters within two strategies on each of the selected stocks to
compare and contrast each stocks performance relative to a simple Buy and Hold
strategy. We also compare how our system could do with a sample of trades Limited
Investors has done from 2001 to 2011. In the end, after all these analysis and testing, we
come up with a list of suggestions that could be employed by Limited Investors Investment
Club to improve their trading performance.
2. Introduction and Statement of the Problem

The Limited Investors Investment Club was started in the late 1950s in Worcester,
MA. The original Club was a group of young professionals interested in saving/investing
and preparing for their retirement. According to Frederick Hutson, a longtime member of
Limited Investors who is a Lab Manager at the Physics Department in WPI, the purpose of
the Club is to provide a forum where individuals can learn about investing and teach others
about investing. Members of Limited Investors meet regularly on the Worcester Club for
breakfast, where investing ideas is the main topic of conversation.
Historically, the Club has followed three investing strategies. For a short time they
used Red Line, a Legg Mason product. Also, occasionally, the Club has used Dogs of the Dow.
This is a classic investment strategy which proposes that an investor annually select for
investment the ten Dow Jones Industrial Average stocks whose dividend is the highest
fraction of their price. Five years ago, the Club started a subscription with Porter
Stansberrys newsletter, Porter Stansberrys Investment Advisory, which deals with safe
value investment poised to give subscribers years of exceptional returns. Porter
Stansberry is a well-known value investor who founded Stansberry & Associates
Investment Research in 1999. Besides these three strategies, the club runs a monthly
breakfast meeting. The breakfasts serve as a forum in which Club members discuss about
investing opportunities. If a Club member has an idea for buying a specific stock, the
breakfast is the place to bring his opinion to the table and communicate to the other
members about his desire to invest in it. If the other members think it is indeed a good idea,
then the Club does the trade.
According to Mr. Hutson, there is a one thousand dollar entrance fee followed by twice
yearly contributions of three hundred dollars. Members also contribute some money each
half-year to cover the cost of breakfast meetings. Even though it is a casual fund, most
members of Limited Investors trade with some of their savings, hoping to get a good return
that will allow them to have an amount of capital for retirement. Thus, trading is taken very
seriously. To do this project, we have met every week with two members of the Club: Fred
Hutson and Chris Shustak, along with our advisor, Professor Michael Radzicki. Fred and
Chris provided us with ten years worth of brokerage data from Fidelity, each monthly
statement containing their trades, deposits, withdrawals, and other details. Our data
analysis shows that, even though the Club has not been doing badly at all, there are many
opportunities for improvement. For example, a significant issue is that Limited Investors
does not have an actual investing system with rules that they can follow in order to have a
predictable, proven to work strategy that will bring constant profits. Each decision to
invest in a stock is subjective and emotional.
The purpose of this project is to suggest improvements to Limited Investors investing
strategies. We will analyze past trading records and methods, and we will provide real
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suggestions to improve their performance. We collected the Clubs historical trading

records in the past ten years and inputted them into Microsoft Excel to do extensive data
analysis. First, we will use statistical tools to calculate the correlation coefficients between
each stock of the Clubs portfolio in various points in time. For instance, we will be able to
determine how correlated the stocks were during the bear market in 2008, or how
correlated the foreign holdings of the Club are relative to the domestic ones. This will give
us an illustration of how well diversified the portfolio is. Additionally, we have constructed
an Equity Curve of the total value of the Club from the year 2001 to 2011 which will allow
us to see the growth of Limited Investors against, say, the S&P 500 index. After doing
extensive analysis of past performance we will use Tradestation, a powerful trading
platform, to create a computerized trading system customized for Limited Investors. This
system will consist of using technical indicators, such as Average True Range or Simple
Moving Average, to create rules for entering or exiting trade in a profitable way, as opposed
to basing this decision on emotions. The new trading system will be back tested against
previous trades made by the fund to make sure that its implementation will bring
significant profits to the Club. Our objective is to show that the use of the new trading
system will substantially make more money for the Club than the use of the present
strategies.
3. Background Research & Literature Review

3.1 Fundamental Analysis, Value Investing and Growth Investing
Fundamental analysis is the examination of the underlying forces that affect the well
being of the economy, industry groups, and companies. Fundamental analysis can be
divided into two categories: value investing and growth investing. Value investing is an
investment methodology which attempts to buy stocks whose share price appear
underestimated. The value investing ideas first derives from Benjamin Graham, the father
of fundamental investing, who showed the way from speculation to investing as a
disciplined, quantitative analysis of a companys fundamentals (such as earnings,
dividends, assets, debt, financial structure, and the history of these items over time).
According to him, the essence of value investing is buying stocks at less than their intrinsic
or real value, which is calculated as discounted value of all future distributions. The
difference between the market price and the intrinsic value of a stock is called the margin
of safety. Therefore, the bigger the margin of safety is, the more possible investors can
make profit out of their stocks. Therefore, in a bear market, when every stock price is low,
investors should start investing by buying underestimated stocks. Conversely, in a bull
market, since most of the stocks are overvalued, investors should hold their stocks or sell
them.
Growth investing emphasizes on investing in companies that exhibit signs of aboveaverage growth. Although these companies may have high share price or high P/E ratio,
their potentials to grow in the future make them worth to buy. This strategy is in favor
when there is a bull market. Overall, value investing has proven to be a successful
investment strategy. Studies have consistently found that value stocks outperform growth
stocks and the market as a whole. By evaluating the performance of value investors and
growth investors, we can also find that value investing is, on average, successful in the long
run.
Value investing and growth investing are two different fundamental analyses and
are adopted in different market. However, Limited Investors tend to follow the value
investing strategies, such as Porter Stansberry Newsletters, but think like growth investors.
Moreover they do not have formal, scientifically based strategies no matter which strategy
they are following. This is one of their problems and in this project we will offer them
scientifically based strategies.
3.2 Technical Analysis
Technical analysis is a method of evaluating securities by analyzing statistics
generated by market activity, such as past prices and volume. Technical analysts do not
attempt to measure a security's intrinsic value, but instead use charts and other tools to
identify patterns that can suggest future activity. Technical analyst believes that the
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fundamental elements of a stock value are already accounted for in a stocks price. That
prices move in trend and that historical pattern in the market and in stock prices tend to
repeat.
Despite all the fancy and exotic tools it employs, technical analysis really just studies
supply and demand in a market in an attempt to determine what direction, or trend, will
continue in the future. In other words, technical analysis attempts to understand the
emotions in the market by studying the market itself, as opposed to its components. If you
understand the benefits and limitations of technical analysis, it can give you a new set of
tools or skills that will enable you to be a better trader or investor. Below are the technical
indicators that are pertinent to our technical analysis:
3.2.1 Indicator
Indicators are statistics used to measure current conditions as well as to forecast
financial or economic trends. An indicator is a mathematical calculation based on a
securities price and/or volume. The result is used to predict future prices. For all the code
development in this project, we will be using four main indicators: Channel length, Volume,
Average True Range, and Simple Moving Average.
3.2.2 Channel Length
We will use Channel length as one of our indicators for our trading system. Channel
is the technical range between support and resistance levels that a stock price has traded in
for a specific period of time.
3.2.3 Volume
Volume is another indicator we will use in our technical analysis. It is the number of
shares or contracts traded in a security or an entire market during a given period of
time. If a buyer of a stock purchases 100 shares from a seller, then the volume for that
period increases by 100 shares based on that transaction. Volume is an important indicator
in our technical analysis as it is used to measure the worth of a market move. If the
markets have made strong price move either up or down the perceived strength of that
move depends on the volume for that period. The higher the volume during that price move
the more significant the move.
3.2.4 Simple Moving Average
We also use the Simple Moving Average (SMA) indicator for our trading system.
SMA is the most common method used to calculate the moving average of prices. It simply
takes the sum of all of the past closing prices over the time period and divides the result by
the number of prices used in the calculation. For example, in a 10-day moving average, the
last 10 closing prices are added together and then divided by 10. A trader is able to make
the average less responsive to changing prices by increasing the number of periods used in
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the calculation. Increasing the number of time periods in the calculation is one of the best
ways to gauge the strength of the long-term trend and the likelihood that it will reverse.
Below is a chart of Dow Jones showing 9-day (turquoise) and 18-day (purple) SMA
generated by Tradestation:
Figure 1: Dow Jones Simple Moving Average
3.2.5 Average True Range (ATR)

Another indicator we use in this project is Average True Range. Very simply, the
average true range determines a securitys volatility over a given period. That is, the
tendency of a security to move, in either direction. More specifically, the average true range
is the moving average of the true range for a given period. The true range is the greatest of
the following: the difference between the current high and the current low, the difference
between the current high and the previous close, and the difference between the current
low and the previous close. There are three different scenarios you could encounter when
calculating true range as it is shown below:
Figure 2: Average True Range chart (Wilder, 1978)
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The average true range is then calculated by taking an average of the true ranges
over a set number of previous trades. We will be using ATR extensively during our
development of our trading system and we will show how it can be used to cut losses and
extend profits.
3.3
Charlie Wright
Charlie Wright is an experienced trader and author of Trading as a Business. His

involvement in the field of financial services has allowed him to gain a great deal of
practical experience in observing how markets move and the potential benefits of using a
systematic approach. Trading as a Business captures the essence of strategic trading with
the use of Tradestation. He shows in the book how objective trading (i.e, strategy trading)
produces far superior results than non-objective forms of trading (i.e., discretionary
trading). Automated trading will prevent or decrease the possibility of uncertainties of
traders arises from emotions or anxiety. Therefore a trader should be able to develop a
complete trading system, automate his or her trading rules, and execute trades without
uncertainty. The system should always be tailored to its individuals needs and
personalities. (Wright)
Strategy traders use objective entry and exit criteria that have been validated by
historical testing on quantifiable data. Wright believes that analysis and test of historical
data along with right trading strategies and business concept enables him to become a
successful trader and be able to manage his financial future very well. (Trading as a
Business)
One of Limited Investors Investment Clubs main problems is that they dont have a
scientifically based strategy. One of their trading systems is Receive Porter Stansberry
Newsletter, discuss it with group and buy, the other one is Breakfast club meeting,
someone comes out with suggestions, vote, to buy or not to buy. Their decisions to buy
could potentially come from emotions. Automated trading will prevent this. Therefore a
trader should develop a complete a trading system, automate his or her trading strategies
and execute trades without uncertainty. This is one thing we are trying to do in this project,
to offer Limited Investors a trading system that could potentially help improve their
trading performance.
3.4
Karl Pearson and Pearson Correlation Coefficient
Karl Pearson was an influential English mathematician who has been credited for
establishing the discipline of mathematical statistics. He developed the Pearson productmoment correlation coefficient from a similar but slightly different idea introduced by
Francis Galton in the 1880s. The Pearson Correlation Coefficient is a measure of the
correlation between two variables, giving a value between +1 and -1. It measures the
strength of linear dependence between two variables.
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3.4.1 Test of Significance

In statistics, a result is called statistically significant if it is unlikely to have occurred
by chance alone, according to a predetermined threshold probability, the significance level.
The phrase test of significance was first written by Ronald Fisher: "Critical tests of this
kind may be called tests of significance, and when such tests are available we may discover
whether a second sample is or is not significantly different from the first."
The significance level or critical p-value is the probability of obtaining a test
statistics at least as extreme as the one that was actually observed, assuming that the null
hypothesis is true. One often rejects the null hypothesis when the p-value is less than 0.05
or 0.01. When the null hypothesis is rejected, the result is said to be statistically significant.
3.4.2 SPSS
SPSS is a computer program that is widely used for statistical analysis especially in
social science. It has functions such as means, t-test, correlation (bivariate, partial,
distance), linear regression, and so on. The correlation function in SPSS is used very often
throughout this project.
3.5 Van K. Tharp, Expectancy and Expectunity
Van K. Tharp is an American trader coach and bestselling author. In his book, Trade
Your Way to Financial Freedom, he invented the notions of expectancy and expectunity.
3.5.1 Expectancy
Expectancy is the average profit that you expect to make from a trading. Therefore,
expectation is the essence of successful trading (Tharp, 2006). In mathematical terms, it
refers to probability of winning and losing. Consequently, expectancy can be expressed
mathematically as:
Expectancy = [% of wins * average winning payoff] [% losses * average losing
payoff] (Tharp, 2006)
3.6.1 Strategy (Rule Based) Trading
Any trading system, whether based on fundamental or technical analysis, or
manually or automatically must possess the following components: an objective, a
particular financial instrument to trade, a particular time frame over which trades will be
made, entry rules, exit rules, position sizing/risk management rules, monitoring
techniques, and asset allocation rules. The components must be thoroughly tested so that
the system has a positive expectancy, which as explained before, means that over many
trades, on net, the system will make money.
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3.6.2 Entry Strategies

Entry rules essentially determine the frequency of trading (thus they strongly
influence the commission costs of a trading system). Entry rules are considered to be the
least important component of a trading system, yet they are the thing to which the average
trader devotes the most time and energy. In fact, several studies have shown how a trading
system can be profitable with random entries, if the other system components had been
correctly implemented. Nonetheless, entry rules should be developed and be better than
random entries. There are two types of entry rules: set up rules, which identify conditions
that signal the time is generally favorable for initiating a position, and trigger rules, which
identify conditions that indicate the time is right to initiate a position in the market now.
3.6.3 Exit Strategies
Exit rules significantly influence the expectancy of a system. Psychologically,
humans have a tendency to let losses run hoping that there will be a reversal soon- and
cut profits prematurely. Exit rules aim to reverse this phenomenon by designing a system
that cuts losses early and let profits run. Essentially, there are two ways one can get out of
a trade: by taking a loss or by making a profit. For the former, we can use stop loss rules
and for the latter there are many ways to exit while securing and maximizing a profit.
3.7 Tradestation
Tradestation is the premier brokerage trading platform for rule-based trading
where you can create trading strategies, test and optimize on historical data and automate
your execution of trading strategies. It also provides brokerage services to investors.
3.8 EasyLanguage
EasyLanguage is a proprietary programming language developed by Tradestation
Securities, Inc. built into its trading platform. It is used to create custom indicators for
financial charts and also to create algorithmic trading strategies for the market.
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Trading Strategy Analysis for Limited Investors
4.1 An overview
With 10 years worth of brokerage data of every trade Limited Investors has made,
we analyzed various aspects of the fund. First, we did correlation analysis, which showed
us how the stocks of their current and past portfolios correlate with each other.
Additionally, an equity curve provided us with an illustration of how the fund has
performed against the S&P 500 index. Finally, we will introduce a trading system tailored
for Limited Investors that will increase their expectancy. We will back test our strategy to
compare it with previous trades made by the fund.
4.2 Equity Curve

The following is the equity curve for Limited Investors from February 2001 to
January 2011. The left axis represents the total value of the fund in US dollars.
Figure 3: Limited Investors Equity Curve
250000
200000
150000
100000
50000
Sep-10
Apr-10
Nov-09
Jun-09
Jan-09
Aug-08
Mar-08
Oct-07
May-07
Dec-06
Jul-06
Feb-06
Sep-05
Apr-05
Nov-04
Jun-04
Jan-04
Aug-03
Mar-03
Oct-02
May-02
Dec-01
Jul-01
Feb-01
The following graph compares the Limited Investors fund against the S&P 500
index, also from 2001 to 2011:
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Figure 4 : Limited Investors (blue) vs S&P 500 (red)
The left axis represents the value of the S&P 500 while the right that of Limited
Investors. From a starting value of $87,031 in February 2001 to $213,733 in January 2011,
Limited Investors grew 145.58%, while the S&P 500 only increased 12.67%.
However, it is important to note that a large part of the growth in the Club fund is
due to deposits. From the period January 2001 to January 2011, total deposits added to
$129,246, while withdrawals amounted to $58,880. Therefore, total net deposits are
$70,366. Total commissions during the 10 years accounted for $17,273. Therefore, out of
that net increase in value of $126,072, actual capital appreciation is $73,609. This means
that during the last 10 years, the Club has made $73,609 worth of profits, or $7,361 per
year. If we take the above factors into consideration (which we should) the real growth is
84.5%, still a great result, outperforming the S&P by more than 70%.
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4.3 Correlation Analysis

Correlation Analysis is a useful tool to determine if a linear relationship exists
between security prices. The correlation coefficient, a number from -1 to 1, is the result of a
mathematical comparison of how closely related two variables are. A coefficient of 1 means
that variable X and variable Y are exactly correlated with each other, meaning they both
have exactly the same behavior. A coefficient of -1 means they are exactly inversely
correlated, meaning that they have a flawless opposite behavior. A coefficient of zero
means that there is no linear relationship between the two variables. The variables in stock
correlation analysis are the securities the specific portfolio contains. For example, variable
X could be MCD (McDonalds) stock and variable Y JNJ (Johnson and Johnson).
Through our project weve been utilizing MS Spreadsheet, Macroaxis, and SPSS to get
correlation coefficients. The advantage of Macroaxis as a tool to calculate stock price
correlation coefficients is that it looks nice and clear and easy to be done. However, it has
some obvious disadvantages such like it can only give us a time period from present to the
past three years, which is not quite enough for our analysis, and it cannot test if the sample
correlation coefficients are statistically different from zero. In this section we decided to
use statistics software SPSS to do correlation analysis, which not only tells us the
correlation coefficients between stock prices, but also shows if the correlation coefficients
are statistically different from zero.
4.3.1 Correlation Coefficients for Current Portfolio
First, we will analyze the correlation coefficient of the holdings of Limited Investors
on February 2011. There are a total of forty-four stocks in the current portfolio. To
calculate the coefficients, we downloaded monthly historical prices for the past six years
(2005-2011) from the Yahoo Finance portal for each of the stock. For each month, we
calculated the average of the opening price, high price, low price, and closing price as the
price to represent the whole month. Using this average as monthly price, we then used the
Microsoft Excel command CORREL to calculate the correlation coefficient between each
stock against each other for the past 6 years. The chart below illustrates the coefficients:
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Table 1: Limited Investors Current Portfolio Correlation Coefficients
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One thing we need to pay attention to when making a conclusion here is that in the
sample like this we cannot make general population statements about the correlations
without t-test. The sample correlation coefficient is an unbiased estimate of the population
correlation coefficients if it is a simple random sample which has three properties: the
population consists of N objects, the sample consists of n objects, and all possible samples
of n objects are equally likely to occur. The table above has showed us the sample
correlation coefficients for different stocks in Limited Investors current portfolio, however,
in order to make further conclusion about the whole population, we will need t-test to
evaluate and see if it is a good estimate of the population correlation coefficients.
Below are examples stocks on the current portfolio of Limited Investors that had a
strong correlation from 2006-2011. Telefonica (TEF) and Thailand Index Fund (THD) had a
strong positive correlation (very close to 1), while Pro Shares Short 20+ Year Treasury
(TBF) and Market Vectors Gold Miners ETF (GDX) had a correlation close to -1, meaning a
strong negative correlation.
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Figure 5: TEF vs THD
In this case, Telefonica SA and the Thailand Index Fund (THD) move very similarly, going
up and down at the same time.
Figure 6: TBF vs GDX
Above you can see an evident inverse relationship between ProShares Short 20+ Year
Treasury and Market Vectors Gold Miners ETF. As one goes up, the other does exactly the
opposite, and vice versa.
4.3.2 Correlations in Bull and Bear Markets
An interesting analysis is to see how stocks behave according to the type of market.
For example, a question an investor could ask is if there is a bull market, how will stocks in
my portfolio behave? Will they all go up the same way? In a bear market, will all my stocks
go down? Or will some securities show a negative correlation respect to others?
In order to compare portfolio in different markets, first we used Tradestation to determine
the bull and bear markets from 2001 to 2011.
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Technical analysis can be used in order to determine the type of market we are in.
By using a combination of two simple moving averages (SMA), each with a different
number of days, and using the S&P 500 as the benchmark index representing the market as
a whole. We can interpret the crossing point of the two lines as a market transition from a
bear to a bull market of vice versa. The most common set of SMA are 50 day and 200 day.
When the 50-day moving average crosses and stays above the 200 day moving average we
can interpret this as a transition to a bull market. Another necessary condition is that the
200-day moving averages slope turns positive and stays that way. This intersection is also
known as the "Golden Cross." Inversely, when the 50 day moving average crosses and stays
below the 200 moving average, while the gradient of the latter turning negative, this is
known as the "Death Cross," signaling a transition to a bear market.
We want to analyze how Limited Investors' portfolio behaves in relation to the type
of market and therefore we will use SMA to identify bull and bear markets during the
period from January 2001 to January 2011. These are the results:
The 50-day moving average crosses the 200-day on October 30th 2000. The 50 day
goes below and the 200 moving average's slope turns negative. Therefore, this is a Death
Cross and a bear market took place. This image below shows the S&P 500 index from
August 1999 to January 2003.
Figure 7: Transition to Bear Market in October 2000
This bear market goes on until May 15th 2003 where a Golden Cross takes place. This
image represents the market from August 2002 to January 2007.
Figure 8: Transition to Bull Market in May 2003
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Notice in this image that around August 15th 2004 we see a Death Cross. The 50-day
moving average crosses downward the 200-day average for a short period of time.
However, in the second condition, the 200 moving average has to change its slope (from
positive to negative or vice versa depending on what transition it is). In this situation, even
though there was a Death Cross the 200 day moving average didn't turn negative and
therefore we can't consider it a valid transition to a bull market. The same situation
happens again in August 2006; the two lines cross, but since the gradient didn't change we
should consider it a significant change.
The bull market continues until a Death Cross happens in December 20th 2007. The
200-day average turns aggressively negative. This is when the financial crisis started.
Figure 9: Transition to Bear Market in December 2007
In this image you can see that the bear market goes on until June 22nd 2009 where a
bull market started taking place and which still continues until today.
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We used SPSS, a useful statistics software, to find out the correlation coefficients of
current portfolio in a bull market from June 2009 to present and in a bear market from
December 2007 to June 2009.
4.3.2.1 Current Portfolio Correlation in a Bull Market
By importing each stocks monthly prices from June 2009 to Present to SPSS, we
calculated the correlation coefficients and the P-value using SPSS command: Analysis>Correlation->Bi-variate. A part of output from SPSS is shown below; the full output is on
appendix.
Table 2: Limited Investors Current Portfolio in a Bull Market from June
22nd 2009 to Present
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The N means the sample size, the number of data pairs, which is 20, meaning that
we have 20 monthly prices pairs. The Pearson Correlation coefficients are a number
between -1 and 1 and it expresses the degree that, on an average, two variables change
correspondingly. The Sig. means the level of significance, or P-value. It is the probability
that you would have found the current results if the correlation coefficient were in fact
zero. If the probability is lower than 0.01 (P<0.01) or, in some cases, 0.05 (P<0.05) the
correlation coefficient is called statistically significant.
To get useful information from these correlation coefficients, lets take a look at an
example of the correlation between DYSL (Dynasil Corporation of America) and CCF (Chase
Coporation).
Pearson correlation of DYSL and CCF=0.907**; P-Value=0.000
In conclusion, the strength of association between these two stocks is very high
(r=0.907), and that the correlation coefficient is very highly significantly different from
zero (P<0.001).
As you can tell from the correlation matrix, the correlation coefficients between the
stock prices in a bull market range from highly negatively correlated to highly positively
correlated. But overall most of the correlation coefficients are positive. We define different
degree of correlations and diversification as the following:
Table 3: Correlation and Diversification
0.7<r<1
Highly Positively Correlated
Poor Diversification
0.3<r<0.7
Moderately Positively Correlated
Poor Diversification
0<r<0.3
Slightly Positively Correlated
Moderate Diversification
r=0
Uncorrelated
-0.3<r<0
Slightly Negatively Correlated
-0.7<r<-0.3
Moderately Negatively Correlated
Good Diversification
-0.7<r<-1
Highly Negatively Correlated
Good Diversification
When the correlation coefficient between the stock prices is close or equal to 1, they
are said to be perfectly positively correlated. But in this case, the risks of the individual
stocks cannot be eliminated by diversification, forming a portfolio of stocks with highly
positively correlated stock prices provides bad diversification and additional risk.
24
When the correlation coefficient between the stock prices is close or equal to -1,
they are said to be perfectly negatively correlated, or perfectly inversely correlated. When
this is the case, all risk can be eliminated by investing a positive amount in the two stocks
and the portfolio is said to have a very good diversification.
When the correlation coefficient between the stock prices is close or equal to 0, they
are said to be uncorrelated. In this case, the portfolio is said to have a moderate
diversification, meaning that some risk can be eliminated via diversification.
However, in the real world, the correlation coefficient between most stock prices
ranges between 0.5-0.7. When this is the case, the stock prices can be said to be
uncorrelated. Thus, risk can be reduced via diversification.
4.3.2.2. Current Portfolio Correlation in a Bear Market (Output from SPSS)
By importing each stocks monthly prices from December 2007 to June 2009 to
SPSS, we calculated the correlation coefficients and the P-value using SPSS command:
Analysis->Correlation->Bi-variate. A part of output from SPSS is shown below; the full
output is on appendix.
25
Table 4: Current Portfolio Correlation in a Bear Market (partial)
Take a close look at the overall current portfolio correlation in a bear market; it is
obvious that the stocks are more highly positively correlated than they are in a bull market,
meaning that most of the stocks moved in the same direction, either going down together
or going up together, in a bear market, this could explain the losses from different stocks at
a certain period of time when the market is a bear market. Compared with the correlation
coefficients for stocks in a bull market, the correlation coefficients for the same stocks in a
bear market tend to be more highly positively correlated and there are few stocks that are
moderately positively correlated or negatively correlated. These stocks wouldnt make a
good portfolio in a bear market in terms of diversification.
26
4.3.2.3 Porter Stansberry Stocks Correlation in a Bull Market

We sorted out the Porter Stansberry Stocks from current portfolio and calculated
their correlation coefficients. We hope to see the relationships between stocks
recommended by Porter Stansberry in a Bull Market. Only a few is shown below and the
full matrix is attached on the appendix.
Table 5: Porter Stansberry Stocks Correlation in a Bull Market
As it is shown in the correlation matrix, the correlations between Porter

Stansberrys stocks range from moderately negatively correlated to moderately positively
27
correlated. There are several highly positively correlated and highly negatively correlated
stocks, but they are not dominating the whole portfolio. Basically Porter Stansberry Stocks
have a moderate diversification, and some of the risks can be eliminated via diversification.
Following the same observation method we had before. Below is the correlation
matrix for Porter Stansberry Stocks in a Bear Market. Only a few is shown below and the
full matrix is attached on appendix.
Table 6: Porter Stansberry Stocks Correlation in a Bear Market (SPSS Output)
Compared with Porter Stansberry correlation coefficients in a Bull market, its

correlation coefficients in a Bear Market tend to be higher which means Porter Stansberry
28
Stocks in a bear market are more highly positively correlated, meaning that it has very bad
diversification. Both the current portfolio correlation coefficients and the porter stansberry
correlation coefficients have a better performance in a bear market based on our
correlation analysis so far.
4.3.2.4 Breakfast Club Meeting Stocks Correlation in Bull Market
Breakfast Club Meeting Stocks seem to follow the same kind of correlation the
overall portfolio has followed. The correlation coefficients range from moderately
negatively correlated to highly positively correlated. But overall the correlation coefficients
are mostly positive.
Table 7: Breakfast Club Meeting Stocks Correlation in a Bull Market
29
4.3.2.5 Breakfast Club Meeting Stocks Correlation in a Bear Market (Output from
SPSS)
Compared with the Breakfast Club Meeting Stocks Correlation Coefficients in a bear
market, their correlation coefficients in a bull market are much more highly positively
correlated. Most of them have correlation coefficients equal or larger than +0.8 and there
are no insignificantly negative correlations.
Table 8: Breakfast Club Meeting Stocks Correlation Coefficients in a Bear Market
30
4.3.3 Foreign and Domestic Stocks Correlation

In Limited Investors current portfolio, there are a few foreign stocks, which are:
EWZ: iShares MSCI Brazil Index (ETF)
MCHFX: Matthews China Fund
THD: iShares MSCI Thailand Index Fund
TUR: iShares MSCI Turkey Index Fund
TEF: Telefonica S.A
Below are two correlation matrixes for these foreign stocks in a bull market and a
bear market. In a bull market, the correlation coefficients range from moderately
negatively correlated to highly positively correlated, the same kind of trend as the overall
current portfolio correlation coefficients, the porter stansberry correlation coefficients, and
the breakfast club correlation coefficients in a bull market. In a bear market, all the
correlation coefficients between foreign stocks are highly positively correlated which gives
a very poor diversification.
Table 9: Correlations between foreign stocks in current portfolio in a bull market
31
Table 10: Correlations between foreign stocks in current portfolio in bear market
However we are more interested in finding out how these foreign stocks correlate
with the domestic stocks. In the Current Portfolio Correlation Coefficients, I highlighted the
correlation coefficients between foreign stocks and domestic stocks. (Appendix: Current
Portfolio in a Bear Market; Current Portfolio in a Bull Market) Simply through observation,
the foreign stocks are more highly positively correlated with domestic stocks in a bull
market than in a bear market.
4.3.4 Conclusion
From the correlation analysis weve done so far, we found that the Limited Investors
portfolios stocks have different correlations in different market. In a bull market, the
correlation coefficients show that the portfolio has good or moderate diversification and
the stocks make a pretty good portfolio. But in a bear market, over 90% correlation
coefficients range from +0.8 to +0.99, meaning that they are very highly positively
correlated. If you are lucky all the stocks can go up together and produce a large amount of
profit because they are so highly positively correlated, however, in another situation, the
stocks could all go down together followed by huge loss. Based on the correlation analysis,
we come up with several recommendations at the end of the paper to reduce their portfolio
risk and create a better portfolio.
32
4.4 Expectancy of Limited Investors

Taking into consideration every trade Limited Investors has made since January
2001 until January 2011, we have calculated that the trades were profitable 41 % of the
time and the average profit made per winning trade was $762, while losing an average of
$580 59% of the time.
Their expectancy is (0.41 * $762) (0.59 * $580) = $312 - $342 = ($30) loss.
Dividing the result by the average loss = -30/580 gives us a ratio of -0.05.
According to the Expectancy theory developed by Van Tharp, hypothetically over
the long run the fund will be losing money. Please refer to the Appendix for more details.
4.5 Creating a Trading System with Tradestation

Our understanding is that the club has a combination of value investing and trend
following. One of their systems is Get PS newsletter, discuss it with group, then buy. Other
is Breakfast club, meet, vote, buy or not. Our objective is to come up with a trading system
that the Club can use to improve their expectancy and total returns.
We will base our system in Tradestation with weekly bars, instead of daily, for
mainly two reasons. First, so that the club doesnt have to be checking the market every
day, and second to keep commissions low. For all the code development throughout the
paper, we will be using four main indicators: Channel Length, Volume, Average True Range,
and Simple Moving Average. For these indicators, the default inputs are the following:
ChanLen (20),
Vollenth (1)
FrATR
(1.0),
MALen
(20);
With Tradestations optimizing tool, we will use the platform to calculate the
optimal parameters for each of these indicators that will generate the most profitable
trading system. Therefore, these inputs will change according to the optimization results.
First, we will test entry and exit strategies and find out which combination of rules
gives us the highest expectancy. Then, we will test this selected system against a sample of
stocks that Limited Investors has traded to see if our system performs better during the
same time period of each individual trade than what the Club actually did.
33
4.5.1 Entry Strategy

Using weekly bars, our first step is to introduce an entry strategy. Since the entry is
the least important of the components, we will implement a relatively simple one that also
is appropriate to the clubs trade timeframe. The purpose of adding a formal entry rule is to
create a discipline where the Club gets in a trade using a set of specific rules that have been
tested to work, instead of using emotions, or subjective analysis.
For stocks that appear on the Porter Stansberry newsletter, the first set-up rule
would be: Stock appears on Stansberrys List. Once that happens, we can add a second
set-up rule. An appropriate one uses channel length in order to identify the highest price
over a period of time and only buy if the current price is higher than that high.
The EasyLanguage code for the above entry strategy (the second set-up) is:
Buy next bar at Highest (H, ChanLen)
The code is doing the following instructions: Tradestation will analyze the previous
20 bars (in our case, a bar represents a week) and will identify the highest price that the
stock had within that 20-week period. If the current price is equal to that high plus 1-point
stop (a dollar), then we will buy the next bar.
To execute the trade, it is necessary to add a trigger. In this case, our trigger will be
an increase of 1-point stop. This means that if the set-up is confirmed, then if the price goes
up by one point (a dollar, for instance) after reaching the highest high, then we will buy on
the next bar. The code looks like this:
Buy next bar at Highest (H, ChanLen) + 1 point stop;
A way that we could improve this entry strategy even more is by adding a third setup rule into the strategy. A price going up while having decreasing volume is usually very
risky and has potential to drop quickly. Therefore, we want to make sure that the entry rule
is strengthened by an increasing volume. The code for our previous strategy plus a rising
volume is:
if volume>volume[vollength] then Buy next bar at Highest(H, ChanLen) + 1
point stop;
where if the volume of the current bar is greater than the volume of previous bars
(in this case 1 bar before), then we will buy the next bar IF the current price is equal to the
highest high of the last 20 bars plus 1-point stop.
34
4.5.2 Exit Strategy

After selecting our entry strategy, we have several candidates for an exit strategy.
First of all, there are two types of exit strategies that one could use to cut losses and
maximize profits. First, an initial stop loss determines the risk and will provide peace of
mind while protecting the investment. If the trade goes wrong, the stop loss will be
activated and losses will be cut. Second, if the trade goes in the desired direction, a trader
should have a strategy to protect and, when possible, maximize those profits.
4.5.2.1 Cutting Losses with Initial Stop Loss
An effective way to place an initial stop loss to protect capital is by using the
Average True Range (ATR). The strategy consists of placing a stop at a multiple of ATR
below entry price. The code is:
Sell next bar at EntryPrice - FrATR * ATR stop;
With a default input of FrATR of 1, the code is instructing than when current price
equals the entry price minus 1 times the average true range, we will sell on the next bar.
The following screenshot illustrates an exit using an initial stop loss with ATR that avoided
a catastrophic loss with Citigroup stock (C) during the financial crisis in 2008.
Figure 10: Citigroup Initial Stop Loss
By using the initial stop loss, the system identified a sharp decrease in the price and
sold at around $35, before the price crashing down to $4.
35
This screenshot is an example of how Tradestation is used to back test a strategy in

a period of time. The graph is showing what would have happened if we used this rule to
trade Citigroup between 2001 and 2011. Since we back tested the initial stop loss with a
default input (1, in this case), we are not sure that this input will be the optimal one which
will give us the most profit. To calculate which input yields the best results, Tradestation
has a very powerful Optimization tool that will calculate all the different values, within a
user specified range, for the inputs used in a strategy that will give the best results. To
optimize, we right click the chart select Format Strategies. We double click the input
values and select the input values we want to optimize. With the input value selected, we
click Optimize, select a range of values we want the optimization to consider, and click ok.
The screenshot below shows this process. We have chosen a range from 0 to 3 for FrATR,
by increments of 1. This means Tradestation will calculate which number for FrATR out of
0,1,2,3 is the most optimal. Actually, the result was 1, which was the same as our default
value.
Figure 11: Optimization Process
4.5.2.2 Profit Maximizing Rule ATR

Once the trade starts making profits, a profit maximizing strategy is essential. Rule
number one is to never let a large profit turn into a small profit. We previously used ATR to
avoid big losses. Now, we will show how ATR can also be used to keep profits to a
maximum. The code for such a strategy is:
36
Sell next bar at EntryPrice + FrATR * ATR limit;

According to the code, when the price hits a multiple of ATR more than entry price,
we will sell at the next bar. Our default input for FrATR is 1, so in this case the stop would
be 1 ATR + Entry Price.
It is important to note that a Profit Maximization rule and an Initial Stop Loss Rule
are not mutually exclusive. We dont have to choose one over the other. In fact, in most
cases using both at the same time turns out to be a great strategy since combined they
cover the downside and the upside. Therefore, we will use this profit maximization strategy
while keeping our previous initial stop loss strategy.
The screenshot illustrates this strategy, which uses Average True Range.
Figure 12: Citigroup Profit Maximizing with ATR
As you can see, the screenshot above illustrates a strategy that uses ATR both as an
initial stop loss and profit maximization rule. The former is derived by subtracting a
multiple of ATR to the Entry Price, while the latter constitutes of adding a multiple of ATR
to the Entry Price (plus an additional 1 point).
Optimization calculated that the best number for ChanLen, which is the entry
strategy, is 20. This means that Tradestation calculated that calculating 20 previous bars
(instead of any other number of bars) yields the highest profit. In addition, the optimal
value of FrATr is 2. This means that the stop loss will be placed 2 ATR below the Entry
Price, and the profit stop will be placed 2 ATR above the Entry Price.
The following is the performance report for the strategy using 100 shares:
37
Table 11: Citigroup Profit Maximizing with ATR Report

All Trades
Total Net Profit
$906.00
Gross Profit
$1,642.00
Gross Loss
($736.00)
Profit Factor
2.23
Select Total Net Profit
$906.00
Select Gross Profit
$1,642.00
Select Gross Loss
($736.00)
Select Profit Factor
2.23
Total Number of Trades
Percent Profitable
75.00%
Winning Trades
Losing Trades
Even Trades
Return on Initial Capital 0.91%

Annual Rate of Return
0.10%
Buy & Hold Return
(89.15%)
Return on Account
198.68%
The profit factor is 2.23 and our return of capital was +0.91% compared to a -88.22% with
Buy & Hold.
38
This is the Strategy Performance Report. This is tool of Tradestation that shows a trader
how profitable or unprofitable could have been in the past. The most important results on
the report are:
Total Net Profit
How much a strategy made or lost
Profit Factor
The number of dollars (profit) made for every dollar lost
Total Number of Trades -
The total number of trades that were generated by the strategy
Percentage Profitable -
The percentage of trades that was profitable
Avg. Trade Net Profit -
The amount of money won or lost in the average trade.
Account Size Required -
This field calculates the amount of money you must have in

your account to trade the strategy.
Return on Initial Capital -
Return on Initial Capital displays the percentage return of the

Total Net Profit to the initial starting capital, (including
commissions and slippage if specified), during the specified
period. Return on Initial Capital = Total Net Profit divided by
Initial Capital.
Annual Rate of Return -
Displays the percentage return of the strategy for the testing

period of the strategy.
Buy & Hold Return -
Displays the percentage return of holding the security in a long

position for the entire testing period of the strategy, as a
comparison to the strategy return. Displays for All Trade only.
Return on Account -
This field represents the amount of money you would make

versus the amount of money required to trade the strategy,
taking into consideration margin and margin calls. This value is
calculated by dividing the net profit by the account size
required.
4.5.2.3 Profit Maximizing Rule SMA

Another exit strategy consists of using moving average crossover. The code for this
rule would be:
If MarketPosition = 1 and C < Average(C, MALen) then
39
Sell next bar at market;

The code says that when the closing price crosses downward the 20 day moving
average, then a selling order will be placed at the next bar. The following chart and
Performance Report show how this exit strategy performed.
Figure 13: Citigroup Profit Maximizing with SMA
Table 12: Citigroup Profit Maximizing with SMA Report

All Trades
Total Net Profit
$356.00
Gross Profit
$773.00
Gross Loss
($417.00)
Profit Factor
1.85
Select Total Net Profit
$356.00
Select Gross Profit
$773.00
Select Gross Loss
($417.00)
Select Profit Factor
1.85
40
Percent Profitable
40.00%
Winning Trades
Losing Trades
Even Trades
Return on Initial Capital
0.36%
0.04%
Buy & Hold Return
(89.15%)
Return on Account
85.37%
In this case, the optimization gave us an input of 22 for ChanLength, of 2 for FrATR
and 20 for MALen. It is important to note that for this system, as for the previous one, we
included the ATR initial stop loss for loss minimization while adding a simple moving
average crossover for profit maximization. This system also makes a profit as opposed to a
loss if it the stock was bought and hold during the same time. The Profit Factor of 1.85,
even though less than the previous strategys Profit Factor of 2.23, is still a great result.
During the same time period, it made a total profit of $356, compared to the $906 profit of
the first strategy.
4.5.3 Comparison between the Two Trading Systems
We will test both of these systems with other stocks that the Club has traded, so that
we make sure that both of them would work well with a broad range of stocks. We want to
test them to see which of the two delivers the most profit and ultimately choose the best
one. Strategy 1 is the first we experimented, while Strategy 2 is the last one, consisting of
the simple moving average. Both of them have the entry rule and the initial stop loss in
common; the profit maximization rule, one of the most important components of any
trading system, is what differences them.
The first stock that we are going to use is Walmart (WMT).
STRATEGY #1
Easy Language Code:
41
If volume>volume[vollength] then Buy next bar at Highest(H, ChanLen) + 1 point

stop;
[Entry Rule]
[Exit Rule #1: Initial Stop Loss]
Sell next bar at EntryPrice + FrATR * ATR limit;
[Exit Rule #2: Profit Maximization]
Figure 14: WMT Strategy #1
Table 13: WMT Strategy #1 Performance Report

All Trades
Total Net Profit
$21.00
Gross Profit
$1,301.00
Gross Loss
($1,280.00)
Profit Factor
1.02
39
Percent Profitable
41.03%
Winning Trades
16
Losing Trades
18
42
Even Trades
0.02%
0.00%
Buy & Hold Return
(1.70%)
Return on Account
5.36%
Strategy #1 for Walmart from January 2001 to January 2011 had a Profit Factor of 1.02. It
gave a Return on Initital Capital of 0.02%.
STRATEGY #2
Easy Language Code:
If volume>volume[vollength] then Buy next bar at Highest(H, ChanLen) + 1 point
stop;
[Entry Rule]
[Exit Rule #1: Initial Stop Loss]
If MarketPosition = 1 and C < Average(C, MALen) then Sell next bar at market;
[Exit Rule #2: Profit Maximization]
Figure 15: WMT Strategy #2
43
Table 14: WMT Strategy #2 Performance Report

All Trades
Total Net Profit
($258.00)
Gross Profit
$1,412.00
Gross Loss
($1,670.00)
Profit Factor
0.85
38
Percent Profitable
47.37%
Winning Trades
18
Losing Trades
20
Even Trades
(0.26%)
(0.03%)
Buy & Hold Return
(1.70%)
Return on Account
(37.83%)
Strategy #2, for the same stock and same time period, had a Profit Factor of 0.85 and
delivered a Return on Initial Capital of -0.26%.
It appears that the trading system #1, the one involving our entry with channel
length, initial stop loss with ATR and profit maximization with ATR gives us the highest
profit factor, and thus, the highest expectancy. Therefore, we will choose Strategy #1 for
the Club.
4.5.4 Our Trading System vs. Previous Club Trades
We will now compare how this system compares to a sample of trades Limited
Investors has done from 2001 to 2011. We want to make sure that our system proves to
work well under varying conditions, and therefore improve the Clubs performance no
matter the situation. To do this, we will select 10 trades from a long list of 398 made by the
44
Club that have different characteristics. For example, we will select winning trades and
losing trades. Our objective is that, for the winning trades, our system will make a bigger
profit, and for the losing trades, either a smaller loss or a profit. Also, we will back test
against trades in different types of market, so we will choose trades made in a bear market,
for example. We will show the procedure of how we analyze the performance of our
trading system against a trade made by the Club for the first trade. We will include the
complete results for the other trades in the Appendix.
Limited Investors bought 100 shares of Pfizer (PFE) on 2/14/2006 at $26.43. It sold
the 100 shares on 12/19/2006 at $25.617 for a loss of -$81.30. We will run our strategy on
Tradestation during the same time period with 100 shares of PFE. We want to see if in fact
our system entered the trade and exit in the same dates as the Club did, or if it identified a
better time to do so. We optimized the inputs and got the following results. This is the
screenshot of PFE from July 2005- January 2007:
Figure 16: PFE
During the same time period when the Club bought and sold 100 shares of PFE, our
system actually bought and sold four times on different dates. It first identified an
opportunity of getting in on around February 2006, so actually this one did match the entry
of the Club (recall it was 2/14/2006). However, it only held it four 4 weeks and sold it for a
profit. Then, it identified another buying opportunity on July 2006 and, again, sold it briefly
after 2 weeks for a small profit. A third winning trade took place between August and
September. Finally, the fourth trade did make a loss, buying 100 shares in September 2006
at around $27 and selling them for $26.50. The strategy report for this trade is below:
45
Table 15: PFE Strategy Report

All Trades
Total Net Profit
$277.00
Gross Profit
$384.00
Gross Loss
($107.00)
Profit Factor
3.59
Percent Profitable
75.00%
Winning Trades
Losing Trades
Even Trades
So while the Club entered the trade on February 2006 and sold on December 2006,
our system did four brief trades during the same amount of time. As you can see on the
report, the four trades in aggregate delivered a total profit of $277. Compared to the $81.30
loss by the Club, this is a much better result.
We repeated this analysis with the other nine trades in our sample. Following table
summarizes our results:
Table 16: Summary of Performance of Club Trades vs. New Trading System
PROFIT/ LOSS DURING THE SAME TIME PERIOD

STOCK
PERIOD LIMITED
INVESTORS
IQP
SYSTEM
IMPROVEMENT
JPM
1/032/04
$583.00
$900.00
+ $317.00
PFE
2/0612/06
-$81.30
$277.00
+ $358.30
MSFT
4/045/06
-$98.25
$570.00
+ $668.25
AA
10/08-
-$945.56
+$4.00
+ $949.56
46
04/09
CNP
8/058/06
$85.50
$343.00
257.5
GE
3/085/10
-$1,094.40
$327.00
1421,4
MCD
1/044/05
$312.00
$448.00
136
IIF
8/055/06
$249.50
$1,839.00
1589,5
MRK
2/053/06
$61.00
$163.00
102
RSH
8/054/06
-$597.60
$39.00
636,6
-1526.11
4877
6436.11
TOTAL
Figure 17: Trade Profits by Club vs. IQP

$2,000.00
$1,500.00
$1,000.00
$500.00
Club
IQP
$0.00
JPM PFE MSFT AA
CNP
GE MCD IIF
MRK RSH
-$500.00
-$1,000.00
-$1,500.00
The table above illustrates a comparison of the performance of the trading made by
Limited Investors against the performance of our proposed trading system. As we said
before, this sample represents different conditions. For instance, JPM was already a
winning trade but our strategy improved it even more. The Club bought 100 shares of JPM
in January 2003 and sold them for a profit of $583 on February 2004. However, during the same
47
period our trading system delivered a profit of $900, representing an improvement of $317. The
MSFT trade from 4/04 to 5/06 lost -$98.25, while our strategy during the same time period
gave a profit of $570, representing a gain of $668.25. The AA trade was in 2008, during the
financial crisis and while the Club lost -$945.56, our system delivered a profit of $4.00,
representing a difference of +$949.56. If only the Club would have used our system in these
10 trades only, they would have made $6,436.11 more. If used on all 398, the amount of
additional profits would be significant.
Clearly, the results show that the new trading system greatly outperforms the
previous trades and therefore would bring significant benefits to the investment club. Due
to time constraints, we cannot compare each of the 398 trades made by Limited Investors
from January 2001 to January 2011, but we will that these samples of trades is a strong
representation of them since they represent different time periods, and both winning and
losing trades. Therefore we are confident that our strategy will work with most
stocks/trades that the fund has done, ultimately improving their expectancy and equity
curve.
48
5. Conclusions
The objective of this Interactive Qualifying Project was to improve the performance
of Limited Investors investment fund by, first, doing an extensive correlation analysis and
then developing an automated trading system customized for the Club.
From the correlation analysis, we see that most of the stocks in current portfolio are
highly positively correlated with each other, a few are moderately positively correlated,
and few stocks have shown a negative correlation, especially in a bear market. Both Porter
Stansberry Stocks and Breakfast Club Meeting Stocks are more highly positively correlated
in a bear market than in a bull market. And foreign and domestic stocks in current portfolio
are highly positively correlated with each other. In conclusion, Limited Investors currently
portfolio is significantly undiversified.
A good diversified portfolio aims to minimize risk. Therefore we recommend Limited
Investors adjusting their portfolio by implementing the following diversification strategies.
Identify the correlations between stocks prices

We recommend the Club to get the stock monthly from Yahoo Finance portal, which
we personally think is faster than getting monthly prices from TradeStation for our
correlation method. Then the Club can use statistic software such as SPSS to get the
correlation coefficients and the significance level by importing monthly average
prices from Excel to SPSS. After identifying the correlations between different stocks
the Club can evaluate the diversification of this particular group of stocks. We
suggest that the Club always look for well diversified portfolio which reduces their
investing risks. You can do this by getting rid of the stock that has a highly positively
correlation coefficients with another stock. However, higher risk doesnt necessarily
mean higher losses. For example stock A has better performance in a bull market
than in a bear market based on the historical data analysis, then when you are in a
bull market, a portfolio that has many stocks positively correlated with stock A may
give you a better profits than a well-diversified portfolio. However, it is hard to
predict the market. Higher risk is also more likely to lead you to loss. That is why we
suggest the Club to have well-diversified portfolio and to reduce investing risk.
Diversify across industries and sectors
This is the most common way to diversify your portfolio. Dont put all of your
investments in one sector or industry. By employing this strategy, you are
controlling the level of risk that your money is exposed to since your funds are
spread across different sectors and industries. If you are interested in following a
particular sector or industry but do not want to put all your money into one
companys stock, you can buy sector funds that specialize in a specific industry or
stock group, such as financial stocks, internet stocks, semi-conductor stocks and so
on.
49
Add index funds or fixed-income funds to the mix

Investing in stocks that track various indexes make a wonderful long-term
diversification investment for your portfolio. By adding some fixed-income
solutions, you are further hedging your portfolio against market volatility and
uncertainty.
Add to your investments on a regular basis
By buying stocks on a regular basis, you will end up picking up stocks at a variety of
prices as they fluctuate. Here we employ a technique called Dollar-Cost Averaging,
meaning you buy a fixed dollar amount of a particular investment on a regular
schedule, regardless of the share price. More shares are purchased when prices are
low, and fewer shares are bought when prices are high. This approach is used to
smooth out the peaks and valleys created by market volatility: you invest money on
a regular basis into a specified portfolio of stocks.
Know when to get out
Instead of buying and holding strategy, we recommend Limited Investors a
computerized trading strategy which will tell you when to get out scientifically. For
people who trust buying and holding and dollar-cost averaging, stay current with
your investment and remain in tune with overall market conditions and know what
is happening to the companies you invest in.
We have showed that a simple trading system built on Tradestation is capable of
bringing great results. With a sample of only ten past trades out of the 398 that the Club has
made from January 2001 to January 2011, the strategies in our trading system delivered a
total profit of $4,877, compared to a total loss of $1,526 from the original trades made by
the Club. This represents an improvement of $6,436 due to the trading strategies, in ten
trades only. Our entry strategy involved finding the highest high of a certain number of past
bars (this number is obtained through optimization) while having an increasing volume.
Our exit strategy had two components. The first is an initial stop loss placed at a multiple of
average true ranges from the entry price which gives the trader the peace of mind of not
having to lose a large amount of money from a big lose in prices. The second is a profit
maximizing strategy, also based on average true range, that aims to keep profits running
and exit the highest possible. These strategies are not sophisticated and based on weekly
bars, so that the Club can manage it without too much time consumption. By implementing
a scientific method based on technical rules as opposed to a gut feeling, we have proved
that great results can be achieved.
50
6. References
Tharp, V. (2006). Expectancy Report. Van Tharp Institute , 40.
Tharp, V. (n.d.). System Quality Number. Retrieved 04 23, 2011, from Van Tharp Institute:
http://www.iitm.com/sm-system-quality-number-SQN.htm
Tharp, V. (n.d.). Van K. Tharp's Expectancy Function . Retrieved 04 23, 2011, from HighTick:
http://www.hightick.com/Tradestation/Functions/Tharp%27s%20Expectancy/index.html
Tharp, V. (n.d.). Van K. Tharp's System Quality Number Function. Retrieved 04 23, 2011, from
HighTick:
http://www.hightick.com/Tradestation/Functions/Tharp%27s%20System%20Quality%20Numbe
r/index.html
Fundamental Analysis, Value Investing and Growth Investing.( 2011, April 26). Retrieved April 26,
2011, from Investopedia: http://www.knowledgeproducts.net/html/inv_files/fund.cfm
Technical Analysis. ( 2011, April 26). Retrieved April 26, 2011, from Investopedia:
http://www.investopedia.com/university/technical/
Indicator. ( 2011, April 28). Retrieved April 28, 2011, from Investopedia:
http://www.investopedia.com/terms/i/indicator.asp
Volume. ( 2011, April 26). Retrieved April 26, 2011, from Investopedia:
http://www.investopedia.com/terms/v/volume.asp
Technical Analysis: Simple Moving averages. ( 2011, April 26). Retrieved April 26, 2011, from
Investopedia: http://www.investopedia.com/university/technical/techanalysis9.asp
Sharon Yamanaka. Average True Range. (2011 May 1). Retrieved May 1, 2011, from Workingmoney: http://premium.working-money.com/wm/display.asp?art=251
Wright, C. Trading as a Business
"Karl Pearson sesquicentenary conference". (2011 May 1). Retrieved May 1, 2011, from Royal
Statistical Society: http://www.economics.soton.ac.uk/staff/aldrich/KP150.htm.
J. L. Rodgers and W. A. Nicewander. Thirteen ways to look at the correlation coefficient. (2011 May
1). Retrieved May 1)
http://data.psych.udel.edu/laurenceau/PSY861Psychological%20Statistics%20II%20Spring%202
010/READINGS/rodgers-nicewander-1988-r-13-ways.pdf
Stigler, Stephen M. (1989). "Francis Galton's Account of the Invention of Correlation". (2011 May 1).
Retrieved May 1, 2011 from Statistical Science 4 (2): 7379. doi:10.1214/ss/1177012580.
http://www.jstor.org/stable/2245329.)
51
R. A. Fisher (1925). Statistical Methods for Research Workers, Edinburgh: Oliver and Boyd,
1925,p.43.
Trading Platform. (2011). Retrieved April 26, 2011, from TradeStation Security:
http://www.tradestation.com/platform/overview.shtm
EasyLanguage. (2011). Retrieved April 26, 2011, from TradeStation Security:
http://www.tradestation.com/strategy_testing/st_creation.shtm
Dollar-Cost Averaging. (2011). Retrieved May 15, 2011, from Investopedia:
http://www.investopedia.com/terms/d/dollarcostaveraging.asp
Tips for Diversifying your Portfolio. (2011). Retrieved May 15, 2011, from ivestopedia:
http://www.investopedia.com/articles/03/072303.asp
8 Different ways to diversity and manage risk. (2011). Retrieved May 15, 2011, from Personal
Finance Blog from Silicon Valley: http://www.thedigeratilife.com/blog/index.php/2007/06/01/8different-ways-to-diversify-and-manage-risk/
52
7. Appendi
Microsoft (MSFT)
Entry Date 4/13/2004 Entry Price 25.57 Exit Date 5/3/2006
75 shares
Exit Price 24.26
loss -$98.25
All Trades
Total Net Profit
$570.00
Gross Profit
$747.00
Gross Loss
($177.00)
Profit Factor
4.22
Percent Profitable
80.00%
Winning Trades
Losing Trades
Even Trades
0.57%
0.29%
Buy & Hold Return
12.87%
Return on Account
322.03%
ALCOA INC (AA)
53

100 shares
Exit Price 10.46
loss -$945.56
TradeStation TradeManager Performance Report IQP, AA, Weekly, 1/4/2008 4:00:00 PM - 12/11/2009 4:00:00 PM
All Trades
Total Net Profit
$4.00
Gross Profit
$268.00
Gross Loss
($264.00)
Profit Factor
1.02
Percent Profitable
50.00%
Winning Trades
Losing Trades
Even Trades
0.00%
54
0.00%
Buy & Hold Return
28.84%
Return on Account
1.52%
JP Morgan Chase (JPM)

100 shares
Exit Price 38.92
Profit $583.00
TradeStation TradeManager Performance

Report
IQP, JPM, Weekly, 1/4/2002 4:00:00 PM - 12/31/2004

4:00:00 PM
All Trades
Total Net Profit
$900.00
Gross Profit
$1,362.00
Gross Loss
($462.00)
Profit Factor
2.95
55
Percent Profitable
75.00%
Winning Trades
Losing Trades
Even Trades
0.90%
0.44%
Buy & Hold Return
37.84%
Return on Account
194.81%
Avg. Monthly Return
$69.23
RADIOSHACK CORP
Entry: 8/6/2005 25.29
Exit: 4/21/2006 17.82
Shares: 100
Loss: -$597.60
All Trades
Total Net Profit
Gross Profit
Gross Loss
Profit Factor

Percent Profitable
Winning Trades
Losing Trades
Even Trades
$39.00
$39.00
$0.00
n/a
1
100.00%
1
0
0
56

Buy & Hold Return
0.04%
0.02%
(12.12%)
MORGAN STANLEY INDIA

Entry: 8/13/2005 38.21
Exit: 5/30/2006 43.2
Shares: 100
Profit: $249.50
All Trades
Total Net Profit
Gross Profit
Gross Loss
Profit Factor
$1,839.00
$2,819.00
($980.00)
2.88
57

Percent Profitable
Winning Trades
Losing Trades
Even Trades
8
75.00%
6
2
0

Buy & Hold Return
Return on Account
1.84%
1.17%
48.80%
323.20%
MCDONALDS CORP
Entry: 1/30/2004 25.52
Exit: 4/21/2005 29.42
Shares: 100
Profit: $312.00
GENERAL ELECTRIC
Entry: 3/19/2008 34.49
Exit: 05/24/2010 16.25
100 shares
Loss: -$1,094.40
All Trades
Total Net Profit
Gross Profit
Gross Loss
Profit Factor
Percent Profitable
Winning Trades
$327.00
$410.00
($83.00)
4.94
5
80.00%
4
58
Losing Trades
Even Trades

Buy & Hold Return
Return on Account
1
0
0.33%
0.14%
13.36%
393.98%
CENTERPOINT ENERGY
Entry: 8/19/2005 13.18
Exit: 8/11/2006 13.75
100 shares
Profit: $85.50
All Trades
Total Net Profit
Gross Profit
Gross Loss
Profit Factor
$343.00
$343.00
$0.00
n/a

Percent Profitable
Winning Trades
4
100.00%
4
59
Losing Trades
Even Trades
0
0

Buy & Hold Return
Return on Account
0.34%
0.36%
28.92%
n/a
MERCK & CO INC

Entry: 2/3/2005 27.8
Exit: 2/13/2006 33.9
100 shares
Profit: $61.00
All Trades
Total Net Profit
Gross Profit
Gross Loss
Profit Factor
Percent Profitable
Winning Trades
Losing Trades
Even Trades
$163.00
$465.00
($302.00)
1.54
5
60.00%
3
2
0
60

Buy & Hold Return
Return on Account
0.16%
0.12%
5.32%
105.16%
Current Portfolio Stocks Correlation Coefficients in a Bull Market

GET DATA /TYPE=XLSX
/FILE='R,\Cll\IQP\Correlation test\Bull Market\Current Portfolio Bull
Marke
t.xlsx'
/SHEET=name 'Sheetl'
/CELLRANGE=full
/READNAMES=on
/ASSUMEDSTRWIDTH=3
2767. CORRELATIONS
/VARIABLES=TBF ANSS CCF DYSL INTC MSFT EWZ MCHFX EWY THD CAG KFT MCD
ACI CO P CPN EGLE EXC GDX HSY MON SIVB SJT SLV TIE WY MO NLY PSEC CPNO
HGT CVX TOT X OM WMB T TEF VZ TGT WMT
/PRINT=TWOTAIL NOSIG
/MISSING=PAIRWISE.
61
Correlations
Notes
Output Created
25-May-2011 18:56:49
Comments
Input
Active
Dataset
DataSet1
<none>
Filter
W eight
<none>
<none>
Split File
N of Rows in
W orking
Data File
Missing Value Handling
Definition of Missing
Cases Used
Syntax
Resources
Processor Time
Elapsed Time
[DataSetl]
62
Correlations
TBF
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
.633
.006
20
20
20
-.347
.134
20
-.584
.000
22
Sig. (2-tailed)
N
22
.839
22
.000
.000
22
22
20
.588
.722
.000
22
.440
.385
.077
.722
.000
22
.440
.000
22
22
.003
.000
.077
.989
22
22
22
1
22
.474
.361
22
22
.474
.026
22
22
.003
.204
22
.989
.361
.001
22
22
22
22
.829
22
.644
.041
.640
.644
.001
20
.768
.204
.026
.006
-.260
.041
.385
.907
.907
20
.574
1
22
.604
.269
.000
.001
.000
.005
.003
20
22
22
22
22
22
-.640
.002
20
-.458
.043
20
-.726
.850
.000
22
.943
.000
22
.825
.872
.000
22
.890
.000
22
.942
.970
.000
22
.917
.000
22
.964
.545
.009
22
.651
.001
22
.444
.276
.213
22
.333
.130
22
.061
.000
.000
.000
.000
.038
.787
20
22
22
22
22
22
.165
.330
.464
.133
.889
Pearson Correlation
.839
.003
.033
Pearson Correlation
22
.796
20
-.635
.796
.000
.007
Sig. (2-tailed)
Sig. (2-tailed)
MCD
.003
20
Pearson Correlation
N
KFT
MSFT
.588
.007
.633
INTC
.114
20
.114
Sig. (2-tailed)
DYSL
-.635
.134
Sig. (2-tailed)
Pearson Correlation
CCF
-.584
20
Pearson Correlation
N
MSFT
ANSS
-.347
20
-.648
.002
20
-.760
.610
.003
22
.793
.000
22
.816
22
.879
.000
22
.881
22
.871
.000
22
.929
.795
.000
22
.576
.005
22
.474
.642
.001
22
.108
.633
22
.115
.000
.000
.000
.000
.026
.610
20
22
22
22
22
22
**.Correlation 1s s1gn1f1cant at the 0.01 level (2-talled).
. Correlation is significant at the 0.05 level (2-tailed).
Page 2
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
OYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
EWZ
-.260
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
N
MCO
Pearson Correlation
Sig. (2-tailed)
N
THO
-.726
CAG
.033
KFT
-.648
.002
.043
.000
.889
.002
20
20
20
20
20
20
.768
.850
.000
22
.640
.943
.000
22
.872
.825
.000
22
.890
.610
.000
22
.942
.793
.003
22
.165
.000
22
.879
.001
.000
.000
.000
.464
.000
22
22
22
22
22
22
.829
.970
.917
.964
.330
.871
.000
.000
.000
.000
.133
.000
22
22
22
22
22
22
.574
.545
.005
22
.651
.009
.444
.001
.038
.795
.576
.000
22
22
22
.333
.061
.003
.213
.130
.787
.001
.633
22
22
22
22
22
22
22
.868
.810
.000
22
.756
.000
.011
.001
22
22
22
.932
.964
.000
22
22
.932
.000
22
.964
22
.000
22
22
.001
22
.729
.038
22
.916
.000
22
.952
22
.923
.455
.033
22
.890
.000
22
.868
.038
22
.455
.033
22
22
.314
.923
22
.445
.445
.000
.000
.000
.666
.666
22
22
.011
.532
.000
.000
.532
22
.108
22
.000
22
.642
.000
.868
.810
.756
22
.005
.276
.604
Sig. (2-tailed)
MCHFX
EW Y
-.458
.269
Pearson Correlation
MCHFX
-.640
.916
.000
22
.890
.000
22
.929
.155
.000
22
22
22
.314
.424
.155
22
.929
.000
22
.960
.049
22
22
.424
.049
22
.430
22
.922
.000
.000
.000
.000
.046
.000
22
22
22
22
22
22
Page 3
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
.104
.043
.009
.043
.000
20
20
20
20
20
20
.816
.956
.000
22
.881
.000
22
.885
.925
.000
22
.886
.627
.002
22
.673
-.697
.000
22
-.535
-.669
.001
22
-.555
.000
.000
.000
.001
.010
.007
22
22
22
22
22
22
.929
.864
.836
.487
-.532
-.640
.000
.000
.000
.022
.011
.001
22
22
22
22
22
22
.474
.026
.595
.004
.521
.013
.331
.133
-.431
.045
-.553
.008
22
22
22
22
-.260
.015
- 060
Sig. (2-tailed)
.610
.142
.363
.243
.946
.792
22
22
22
22
22
22
.157
-.341
Pearson Correlation
Pearson Correlation
Pearson Correlation
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
MCD
.000
.204
Sig. (2-tailed)
KFT
EXC
.771
22
CAG
EGLE
.457
.323
Sig. (2-tailed)
THO
CPN
-.569
22
EWY
COP
-.456
.115
Sig. (2-tailed)
MCHFX
ACI
-.374
Pearson Correlation
N
EWZ
MCD
-.760
Pearson Correlation
.729
.747
-.440
.000
.000
.001
.485
.120
.040
22
22
22
22
22
22
.952
.857
.000
22
.868
.000
22
.966
.000
22
.960
.000
22
.873
.821
.000
22
.923
.000
22
.861
.491
.020
22
.618
.002
22
.623
-.529
.011
22
-.651
.001
22
-.579
-.668
.001
22
-.590
.004
22
-.681
.000
.000
.000
.002
.005
.000
22
22
22
22
22
22
.401
.346
.177
-.389
.065
.115
.432
.074
.430
.046
22
.922
22
.815
.000
22
1
Sig. (2-tailed)
N
.669
22
.000
22
.824
22
.807
.000
22
.822
22
.650
.001
22
.615
22
-.550
.008
22
-.516
-.631
.002
22
-.706
.000
22
-.802
.000
.000
.002
.014
.000
22
22
22
22
22
Page 4
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
20
.846
.000
22
.871
.720
.000
22
.792
-.303
.171
22
-.358
22
.686
.817
.000
22
.725
.883
.000
22
.915
.000
.101
.000
.000
.000
22
22
22
22
22
.948
.738
-.468
.713
.788
.854
.000
.000
.028
.000
.000
.000
22
22
22
22
22
22
.466
.029
.512
.015
-.225
.314
.311
22
22
Pearson Correlation
.000
22
.517
Pearson Correlation
.944
.000
22
Sig. (2-tailed)
.779
.451
-.289
.856
.000
22
.582
.004
.443
.039
22
22
.132
.111
.014
.557
.623
22
22
22
.514
.708
.632
.641
.000
.035
.193
.000
.002
.001
22
22
22
22
22
22
.934
.000
22
.892
.000
22
.956
.758
.000
22
.757
.000
22
.841
-.504
.017
22
-.313
.155
22
-.533
.739
.000
22
.893
.000
22
.706
.822
.000
22
.774
.000
22
.829
.812
.000
22
.903
.000
22
.879
.000
.000
.011
.000
.000
.000
22
22
22
22
22
22
Pearson Correlation
.350
.414
Sig. (2-tailed)
.111
.055
N
Pearson Correlation
Sig. (2-tailed)
N
MCD
.043
20
.565
KFT
.000
20
Sig. (2-tailed)
Sig. (2-tailed)
CAG
.547
20
22
THO
.000
20
.227
Sig. (2-tailed)
SLV
-.457
.000
22
Pearson Correlation
SJT
-.757
20
-.146
Pearson Correlation
SIVB
-.143
.000
22
EWY
MON
.837
.130
Sig. (2-tailed)
MCHFX
HSY
-.797
Pearson Correlation
EWZ
GDX
-.724
Pearson Correlation
Sig. (2-tailed)
N
22
.837
.000
22
.941
22
.869
.000
22
.847
-.425
.049
22
-.523
.013
22
-.639
.670
.001
22
.741
.000
22
.671
.664
.001
22
.815
.000
22
.901
.223
.318
22
.787
.000
22
.806
.000
.000
.001
.001
.000
.000
22
22
22
22
22
22
Page 5
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
N
MCD
Pearson Correlation
Sig. (2-tailed)
N
TIE
-.830
WY
.774
MO
-.703
NLY
.071
PSEC
.613
CPNO
-.586
.000
.000
.001
.767
.004
.007
20
20
20
20
20
20
.716
.000
22
.724
-.359
.101
22
-.747
.864
.000
22
.922
.582
.004
.557
.007
22
22
.375
.129
.937
.000
22
.859
.000
.000
.000
.086
.568
.000
22
22
22
22
22
22
.766
-.687
.947
.600
.166
.862
.000
.000
.000
.003
.461
.000
22
22
22
22
22
22
.452
.035
22
- 018
.184
.412
22
.467
.498
.018
22
.127
.530
.011
22
.446
.663
.001
22
.815
.589
.004
22
.199
.935
.028
.572
.037
.000
.374
22
22
22
22
22
22
.564
-.336
.757
.744
.452
.674
.006
.126
.000
.000
.035
.001
22
22
22
22
22
22
.824
.000
22
.735
.000
22
.842
-.641
.001
22
-.535
.010
22
-.754
.964
.000
22
.929
.000
22
.983
.620
.002
22
.633
.002
22
.528
.228
.307
22
.421
.051
22
.107
.893
.000
22
.925
.000
22
.900
.000
.000
.000
.012
.637
.000
22
22
22
22
22
22
.265
.404
.233
.062
.538
.010
22
.841
.000
22
.914
22
-.612
.002
22
-.677
22
.949
.000
22
.970
.459
.032
22
.470
.027
.625
.002
22
.203
.365
22
22
.410
.099
.522
.013
22
.883
.000
22
.916
.000
.001
.000
.058
.661
.000
22
22
22
22
22
22
Page 6
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
.000
.176
.000
.287
.653
.126
20
20
20
20
20
20
.897
.000
22
.837
.891
.000
22
.839
.009
.970
.429
.047
22
22
-.141
.415
.933
.000
22
.729
.654
.001
22
.799
.000
.000
.531
.055
.000
.000
22
22
22
22
22
22
-.157
.265
.874
.782
.689
.817
.000
.000
.485
.234
.000
.000
22
22
22
22
22
22
-.027
.145
.907
.520
.557
.007
.493
.020
.254
.013
.307
.026
.423
22
22
22
22
22
.166
.225
Pearson Correlation
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
.686
.675
.228
22
.254
.218
.519
22
.000
22
Pearson Correlation
22
.681
.632
MCD
T
-.354
Sig. (2-tailed)
Sig. (2-tailed)
KFT
W MB
-.107
22
CAG
XOM
.251
.273
Sig. (2-tailed)
THO
TOT
730
22
EWY
-.315
.108
Sig. (2-tailed)
MCHFX
cvx
Pearson Correlation
N
EW2
HGT
-.735
.472
.650
22
.180
.766
.000
.001
.459
.314
.001
.000
22
22
22
22
22
22
-.189
.178
.398
.429
.868
.000
22
.888
.000
22
.906
.763
.000
22
.892
.000
22
.793
22
22
- 020
.413
.930
.056
22
22
-.268
.220
.701
.000
22
.855
.000
22
.687
.803
.000
22
.816
.000
22
.817
.000
.000
.228
.325
.000
.000
22
22
22
22
22
22
.294
-.123
-.187
.184
.586
.404
.522
.013
22
.834
.000
22
.897
22
.739
.000
22
.730
22
22
-.319
.153
.148
.496
22
22
-.379
.093
.537
.010
22
.702
.000
22
.674
.008
.972
22
.692
.000
22
.682
.000
.000
.082
.681
.001
.000
22
22
22
22
22
22
Page 7
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
.026
.683
20
20
20
-.646
.001
22
-.579
.627
.002
22
.728
.829
.000
22
.649
.693
.000
22
.510
.005
.000
.001
.015
22
22
22
22
-.390
.621
.792
.645
.073
.002
.000
.001
22
22
22
22
-.321
.196
.145
.382
.793
.000
.002
.536
.031
.000
22
22
22
22
Pearson Correlation
Pearson Correlation
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
- 083
.494
22
.625
.578
MCD
.642
20
Sig. (2-tailed)
Sig. (2-tailed)
KFT
.149
22
CAG
WMT
.097
.140
Sig. (2-tailed)
THO
TGT
-.495
22
EWY
-.111
.126
Sig. (2-tailed)
MCHFX
vz
Pearson Correlation
N
EWZ
TEF
.335
.462
.768
22
.757
.789
.713
.019
.000
.000
22
22
22
22
-.369
.091
22
-.557
.007
22
-.482
.582
.004
22
.722
.000
22
.626
.846
.000
22
.833
.000
22
.778
.705
.000
22
.706
.000
22
.557
.023
.002
.000
.007
22
22
22
22
-.223
-.111
.318
.624
22
-.527
.012
22
-.482
22
.553
.008
22
.488
.700
.000
22
.805
.000
22
.820
.543
.009
22
.614
.002
22
.590
.023
.021
.000
.004
22
22
22
22
Page 8
Correlations
ACI
Pearson Correlation
Sig. (2-tailed)
N
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
TBF
-.374
ANSS
.956
CCF
.885
DYSL
.864
INTC
.595
MSFT
.323
.104
.000
.000
.000
.004
.142
20
22
22
22
22
22
-.456
.043
20
-.569
.925
.000
22
.627
.886
.000
22
.673
.836
.000
22
.487
.521
.013
.204
.363
22
22
.331
-.260
.009
.002
.001
.022
.133
.243
20
22
22
22
22
22
.457
-.697
-.535
-.532
-.431
.015
.043
.000
.010
.011
.045
.946
20
22
22
22
22
22
.771
.000
20
-.724
-.669
.001
22
.846
-.555
.007
22
.871
-.640
.001
22
.948
-.553
.008
22
.466
- 060
.792
22
.130
.000
.000
.000
.000
.029
.565
20
22
22
22
22
22
-.797
.720
.792
.738
.512
-.146
.000
.000
.000
.000
.015
.517
20
22
22
22
22
22
-.303
-.358
-.225
.227
.171
.101
.314
.311
.837
.000
20
-.143
.547
20
-.757
22
.944
.000
22
.817
22
.686
.000
22
.725
-.468
.028
22
.713
.000
22
.788
22
.856
.000
22
.582
22
.514
.014
22
.132
.000
.000
.000
.000
.004
.557
20
22
22
22
22
22
-.457
.043
20
-.830
.000
20
.774
.883
.000
22
.716
.000
22
-.359
.915
.000
22
.724
.000
22
-.747
.854
.000
22
.766
.000
22
-.687
.443
.039
22
.452
.035
22
.184
.111
.623
22
- 018
.935
22
.467
.000
.101
.000
.000
.412
.028
20
22
22
22
22
22
Page 9
Correlations
ACI
Pearson Correlation
Sig. (2-tailed)
N
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
.065
.000
22
22
22
.669
.001
22
.821
.000
22
.000
22
.000
22
.115
22
.000
22
.001
22
Pearson Correlation
Pearson Correlation
Pearson Correlation
Pearson Correlation
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
-.651
-.579
.177
.807
22
-.529
.623
.346
.432
-.341
.618
.861
22
Pearson Correlation
.491
.923
.002
Sig. (2-tailed)
WY
.000
22
22
TIE
.000
22
.002
Sig. (2-tailed)
SLV
.000
22
22
SJT
.000
.020
Sig. (2-tailed)
SIVB
KFT
.815
22
MON
CAG
.401
.485
Sig. (2-tailed)
HSY
THO
.873
Sig. (2-tailed)
GDX
EWY
.966
.157
Sig. (2-tailed)
EXC
MCHFX
.857
Pearson Correlation
N
EGLE
EWZ
.747
-.389
.650
-.550
.120
.011
.001
.005
.074
.008
22
22
22
22
22
22
-.440
.040
22
.779
-.668
.001
22
.934
-.590
.004
22
.892
-.681
.000
22
.956
-.631
.002
22
.350
-.706
.000
22
.837
.000
.000
.000
.000
.111
.000
22
22
22
22
22
22
.451
.758
.757
.841
.414
.869
.035
.000
.000
.000
.055
.000
22
22
22
22
22
22
-.289
.193
22
.708
.000
22
.632
-.504
.017
22
.739
.000
22
.822
-.313
.155
22
.893
.000
22
.774
-.533
.011
22
.706
.000
22
.829
-.425
.049
22
.670
.001
22
.664
-.523
.013
22
.741
.000
22
.815
.002
.000
.000
.000
.001
.000
22
22
22
22
22
22
.641
.001
22
.564
.006
22
-.336
.812
.000
22
.824
.000
22
-.641
.903
.000
22
.735
.000
22
-.535
.879
.000
22
.842
.000
22
-.754
.223
.318
22
.538
.010
22
.265
.787
.000
22
.841
.000
22
-.612
.126
.001
.010
.000
.233
.002
22
22
22
22
22
22
Page 10
Correlations
ACI
Pearson Correlation
Sig. (2-tailed)
N
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
MCD
.824
ACI
1
.000
22
.822
.000
22
.615
22
COP
.966
CPN
.669
.001
.002
.006
22
22
22
22
.000
22
22
-.696
22
.788
.001
.000
22
22
22
-.630
.788
.000
.002
-.516
-.696
22
.002
.000
.000
22
22
22
22
.000
22
.941
-.563
.006
22
.869
-.585
.004
22
.875
-.591
.004
22
.626
-.585
.000
22
-.701
.004
22
-.591
.000
.004
22
22
-.701
.014
-.802
EXC
-.563
.000
.966
.669
EGLE
-.630
.529
.011
22
22
.529
.011
22
-.581
22
-.723
.000
.000
.000
.002
.005
.000
22
22
22
22
22
22
.847
.712
.777
.838
-.722
-.832
.000
.000
.000
.000
.000
.000
22
22
22
22
22
22
-.222
-.258
-.365
.377
.321
.245
.095
.084
-.639
.001
22
.671
.001
22
.901
22
.892
.000
22
.734
22
.836
.000
22
.750
22
.573
.005
22
.648
22
-.671
.001
22
-.647
.837
.000
22
-.595
.004
22
-.922
.000
.000
.000
.001
.001
.000
22
22
22
22
22
22
.806
.000
22
.914
.000
22
-.677
.948
.000
22
.664
.001
22
-.493
.974
.000
22
.698
.000
22
-.525
.749
.000
22
.674
.001
22
-.469
-.662
.001
22
-.605
.003
-.527
.012
22
-.872
.000
22
22
.386
.345
.001
.020
.012
.028
.076
.116
22
22
22
22
22
22
Page II
Correlations
ACI
Pearson Correlation
Sig. (2-tailed)
N
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
GDX
.869
HSY
.712
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
SJT
.734
SLV
.948
.000
.321
.000
.000
.000
22
22
22
22
22
22
.875
.777
.000
22
.626
-.258
.000
22
.838
.245
22
-.365
.836
.750
.000
22
.573
.974
.000
22
.648
.000
22
.749
.002
.000
.095
.005
.001
.000
22
22
22
22
22
22
-.581
-.722
.377
-.671
-.647
-.662
.005
.000
.084
.001
.001
.001
22
22
22
22
22
22
-.723
-.832
.000
22
1
Sig. (2-tailed)
HSY
SIVB
.892
.000
Pearson Correlation
MON
-.222
22
.837
.000
22
.810
.009
22
.709
.000
22
.842
22
.709
.000
.000
.000
22
22
22
22
-.714
.670
.001
.000
.000
22
22
22
22
-.220
.000
22
.001
22
.885
.326
22
22
-.220
.326
22
-.767
22
.000
22
.000
22
-.663
22
.896
.000
22
-.582
-.218
.329
22
-.797
.000
22
.425
-.218
.000
22
.724
.780
.000
22
.590
.004
22
-.158
.329
22
.780
22
.724
22
.000
-.767
.000
.000
.750
.750
.000
-.714
.670
.885
22
22
22
.885
22
.000
.824
.012
.009
22
.000
22
.842
.000
.885
-.527
.000
22
.000
-.546
22
-.546
-.922
.004
.000
.810
22
-.595
.000
.000
22
.693
.000
22
22
.693
.000
22
.950
.000
22
-.466
22
.640
.001
22
-.600
.001
.004
.049
.484
.029
.003
22
22
22
22
22
22

Page 12
Correlations
ACI
Pearson Correlation
Sig. (2-tailed)
N
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
TIE
TIE
.664
WY
-.493
Sig. (2-tailed)
N
PSEC
.463
CPNO
.911
.020
.000
.016
.030
.000
22
22
22
22
22
22
.414
.403
.055
.063
.698
-.525
.000
22
.674
.012
22
-.469
.885
.000
22
.652
22
22
.006
.084
.923
.000
22
.755
.001
.028
.001
.980
.709
.000
22
22
22
22
22
22
-.605
.386
-.613
-.521
-.248
-.735
.003
.076
.002
.013
.265
.000
22
22
22
22
22
22
-.219
- 027
.327
.907
-.872
.345
.000
22
.824
.116
22
-.663
-.719
.000
22
.939
22
.503
22
.125
-.752
.000
22
.894
.000
.001
.000
.017
.579
.000
22
22
22
22
22
22
.309
.021
.896
-.582
.852
.851
.000
.004
.000
.162
.928
.000
22
22
22
22
22
22
-.147
.361
.513
.099
-.797
.425
.000
22
.590
.049
22
-.158
.004
22
.950
.484
22
-.466
-.520
.013
22
.745
.000
22
.866
22
.617
.002
22
.663
.001
22
22
.407
.173
-.473
.026
22
.827
.000
22
.888
.000
.029
.000
.060
.442
.000
22
22
22
22
22
22
.640
-.600
.001
22
1
Pearson Correlation
Pearson Correlation
NLY
.509
.001
Sig. (2-tailed)
WY
MO
.881
.880
.003
22
-.600
22
22
1
.003
22
22
.869
.003
-.600
.000
22
.000
22
-.692
.430
.046
.322
.144
22
22
.328
.014
.136
.951
22
-.229
22
.443
.885
.000
22
.873
.000
22
-.553
.000
.306
.039
.008
22
22
22
22

Page 13
Correlations
ACI
Pearson Correlation
Sig. (2-tailed)
N
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
HGT
.864
cvx
.947
TOT
.059
XOM
.551
W MB
.915
T
.780
.000
.000
.795
.008
.000
.000
22
22
22
22
22
22
.878
.000
22
.717
.982
.000
22
.720
.026
.907
.585
.004
22
22
-.318
.369
.917
.000
22
.647
.753
.000
22
.377
.000
.000
.150
.091
.001
.084
22
22
22
22
22
22
.180
-.248
-.776
-.645
-.617
-.383
.000
.001
.424
.265
.002
.078
22
22
22
22
22
22
-.812
.000
22
.914
-.448
.037
22
.807
.655
.001
.226
.312
22
22
-.250
.250
-.494
.020
22
.700
-.198
.376
22
.778
.000
.000
.261
.262
.000
.000
22
22
22
22
22
22
.895
.670
-.534
.059
.611
.473
.000
.001
.010
.795
.003
.026
22
22
22
22
22
22
- 062
- 051
.783
.823
-.619
.002
22
.807
.000
22
.944
-.102
.653
22
.820
.000
22
.636
.822
.000
.570
.006
22
22
.069
.418
.760
.053
22
-.461
22
- 063
22
.904
.000
22
.660
22
.562
.007
22
.423
.000
.001
.031
.781
.001
.050
22
22
22
22
22
22
.851
.000
22
.885
.000
22
-.581
.957
.000
22
.570
.006
22
-.452
.017
.941
22
-.557
.007
.608
.003
22
-.146
.517
.868
.000
22
.545
.009
22
22
22
.366
- 087
-.202
.803
.000
22
.450
.036
22
-.661
.005
.035
.094
.700
.367
.001
22
22
22
22
22
22

Page 14
Correlations
ACI
Pearson Correlation
Sig. (2-tailed)
N
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
.000
.000
.001
22
22
22
22
-.766
.000
22
-.915
.787
.000
22
.524
.660
.001
.554
.007
22
22
.385
.076
.000
.012
.077
.736
22
22
22
22
.716
-.416
-.451
- 090
.000
.054
.035
.689
22
22
22
22
.477
.025
22
-.483
- 015
.948
22
.593
-.781
.000
22
.780
-.304
.168
22
.531
.023
.004
.000
.011
22
22
22
22
-.676
.367
.684
.239
.284
22
22
Pearson Correlation
.154
.268
Sig. (2-tailed)
.495
.228
Pearson Correlation
Pearson Correlation
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
WY
.001
.000
Sig. (2-tailed)
TIE
WMT
.665
22
SLV
TGT
.768
.093
Sig. (2-tailed)
SJT
.770
22
N
SIVB
vz
.001
N
MON
TEF
-.654
22
-.591
.004
22
-.546
.008
22
.235
.008
22
.832
.000
22
.820
.020
.930
22
.667
.001
22
.436
.009
.292
.000
.043
22
22
22
22
-.717
.000
22
-.519
.013
22
Pearson Correlation
.298
Sig. (2-tailed)
.178
22
22
.548
-.547
.828
.000
22
.251
.259
22
.612
.002
22
.744
.000
.506
.016
22
.375
.085
22
22
-.287
- 083
.018
.196
.714
22
22
22
-.498

Page 15
Correlations
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
N
TOT
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
20
.613
Pearson Correlation
Sig. (2-tailed)
N
22
.557
.375
.086
.600
.003
22
22
.129
.166
.530
.011
22
.663
.446
.037
22
.815
.007
.568
.461
.001
.000
22
22
22
22
22
-.586
.937
.859
.862
.589
.199
.007
.000
.000
.000
.004
.374
20
22
22
22
22
22
-.735
.000
20
-.315
.897
.000
22
.891
.837
.000
22
.839
.874
.000
22
.782
.557
.007
22
.493
.108
.632
22
.273
.176
.000
.000
.000
.020
.218
20
22
22
22
22
22
.009
-.141
-.157
-.027
.000
.970
.531
.485
.907
.013
20
22
22
22
22
22
.415
.265
.145
.228
.055
.234
.520
.307
730
20
-.107
.653
20
-.354
.429
.047
22
.933
.000
22
.654
22
.729
.000
22
.799
22
.689
.000
22
.817
22
.681
.000
.519
22
.472
.026
22
22
.254
.180
.126
.001
.000
.000
.254
.423
20
22
22
22
22
22
-.390
-.321
.126
.073
.145
.578
.149
.004
20
.335
Pearson Correlation
.582
.004
Pearson Correlation
Sig. (2-tailed)
TGT
22
Sig. (2-tailed)
N
vz
.572
22
.287
TEF
.018
22
.251
Sig. (2-tailed)
T
.000
22
Pearson Correlation
Pearson Correlation
MSFT
.127
.000
Sig. (2-tailed)
N
WMB
INTC
.498
22
.767
DYSL
.947
.000
.071
Sig. (2-tailed)
CCF
.922
20
Pearson Correlation
Pearson Correlation
ANSS
.864
.001
Sig. (2-tailed)
N
PSEC
TBF
-.703
20
-.111
.642
20
-.495
-.646
.001
22
.627
.002
22
.829
-.579
.005
22
.728
.000
22
.649
22
.621
.002
22
.792
22
22
.196
.140
.382
.536
22
.793
22
.462
.026
.000
.001
.000
.000
.031
20
22
22
22
22
22

Page 16
Correlations
'eNZ
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
.000
.000
.000
.062
.000
22
22
22
22
22
22
.744
.000
22
.620
.002
.633
.002
.528
.012
.459
.032
.027
22
22
22
.228
.421
.107
.035
.307
.051
.637
.002
.365
22
22
22
22
22
22
.452
.674
.893
.925
.900
22
.470
.625
.522
22
.203
.883
.001
.000
.000
.000
.013
.000
22
22
22
22
22
22
.686
.000
22
.675
.868
.000
22
.763
.888
.000
22
.892
.906
.000
22
.793
.522
.013
22
.294
.834
.000
22
.739
.000
.184
.000
22
22
22
Pearson Correlation
.166
-.189
- 020
-.268
-.123
-.319
Sig. (2-tailed)
.459
.398
.930
.228
.586
.148
22
22
22
22
22
22
Pearson Correlation
.225
.178
.413
.220
-.187
.153
Sig. (2-tailed)
.314
.429
.056
.325
.404
.496
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
TGT
.000
22
Pearson Correlation
vz
KFT
.949
.000
TEF
CAG
.404
22
Sig. (2-tailed)
T
THO
.983
.000
N
WMB
'eNY
.929
22
N
XOM
MCHFX
.964
.001
N
TOT
.757
Pearson Correlation
Sig. (2-tailed)
N
22
.650
.001
22
.766
22
.701
.000
22
.803
22
.855
.000
22
.816
22
.687
.000
22
.817
22
.537
.010
22
.008
22
.702
.000
22
.692
.000
.000
.000
.000
.972
.000
22
22
22
22
22
22
- 083
-.369
.713
.091
22
.494
.019
22
.768
22
.582
.004
22
.846
-.557
.007
22
.722
.000
22
.833
-.482
.023
22
.626
.002
22
.778
-.223
.318
22
-.111
.624
22
.700
-.527
.012
22
.553
.008
22
.805
.000
.000
.000
.000
.000
.000
22
22
22
22
22
22

Page 17
Correlations
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
CPNO
HGT
Pearson Correlation
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
TGT
22
.916
Pearson Correlation
Sig. (2-tailed)
N
.509
.016
22
-.521
.013
-.219
.327
22
22
22
22
.403
.084
-.248
-.027
.030
.063
.709
.265
.907
22
22
22
22
22
.463
.911
.923
.755
-.735
-.752
.000
.000
.000
.000
.000
.000
22
22
22
22
22
22
.897
.000
22
730
.864
.000
22
.947
.878
.000
22
.982
.717
.000
22
.720
-.776
.000
22
-.645
-.812
.000
22
-.448
.000
.000
.000
.000
.001
.037
22
22
22
22
22
22
-.379
.059
.026
-.318
.180
.082
.795
.907
.150
.424
.001
22
22
22
22
22
22
.369
-.248
.226
.091
.265
.312
.681
Pearson Correlation
vz
.980
.093
TEF
.006
.055
Pearson Correlation
Sig. (2-tailed)
T
.414
Sig. (2-tailed)
N
WMB
22
22
XOM
.000
22
.661
Sig. (2-tailed)
TOT
.002
22
Sig. (2-tailed)
cvx
.001
22
.099
Sig. (2-tailed)
EXC
-.719
.000
Pearson Correlation
EGLE
-.613
22
.058
Sig. (2-tailed)
CPN
.652
.000
.410
Pearson Correlation
COP
.885
22
Pearson Correlation
ACI
.881
.000
Sig. (2-tailed)
N
PSEC
MCD
.970
22
.674
.001
22
.682
.551
.008
22
.915
.000
22
.780
.585
.004
22
.917
.000
22
.753
22
.647
.001
22
-.617
.002
.655
22
-.494
.020
22
22
22
.377
-.383
-.198
.000
.000
.000
.084
.078
.376
22
22
22
22
22
22
-.482
.023
22
.488
.021
22
.820
-.654
.001
22
.770
.000
22
.768
-.766
.000
22
.787
.000
22
.660
-.915
.000
22
.524
.012
22
.385
.716
.000
.477
.025
22
22
-.416
- 015
.054
.948
22
-.451
22
-.781
.000
.000
.001
.077
.035
.000
22
22
22
22
22
22

Page 18
Correlations
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
.513
.099
22
Pearson Correlation
Pearson Correlation
.894
.851
-.473
.617
.002
22
.407
.060
.430
.046
22
22
.173
.322
.001
.442
.144
22
22
22
.663
.827
.888
.885
.000
.000
.026
.000
.000
.000
22
22
22
22
22
22
.914
.000
22
.807
.895
.000
22
.670
-.619
.002
22
-.102
.807
.000
22
.820
.944
.000
22
.636
.851
.000
22
.957
.000
.001
.653
.000
.001
.000
22
22
22
22
22
22
-.250
-.534
.822
.069
-.461
.017
.261
.010
.000
.760
.031
.941
22
22
22
22
22
22
Pearson Correlation
.250
.059
.418
- 063
Sig. (2-tailed)
.262
.795
.053
.781
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
TGT
-.147
.162
.017
22
vz
.309
.503
.928
TEF
22
22
Sig. (2-tailed)
.000
22
.579
WMB
.000
22
Sig. (2-tailed)
Sig. (2-tailed)
XOM
.000
22
22
TOT
.013
22
.361
Pearson Correlation
SLV
.880
.000
22
Sig. (2-tailed)
SJT
.866
22
.021
Pearson Correlation
SIVB
.745
.000
22
cvx
MON
-.520
.125
Sig. (2-tailed)
HGT
HSY
.852
Pearson Correlation
N
CPNO
GDX
.939
Pearson Correlation
Sig. (2-tailed)
N
22
.700
.000
22
.778
22
.611
.003
22
.473
.570
.006
22
- 062
.783
22
- 051
22
.904
.000
22
.562
22
.660
.001
22
.423
.608
.003
22
.868
.000
22
.803
.000
.026
.823
.007
.050
.000
22
22
22
22
22
22
-.483
.023
22
.593
.004
22
.780
-.676
.001
.154
.495
22
22
.367
.268
.093
.228
22
.684
22
-.547
-.591
.004
22
.548
.008
22
.832
-.546
.009
22
.235
.292
22
.820
-.717
.000
22
.828
.000
22
.612
.000
.000
.008
.000
.000
.002
22
22
22
22
22
22

Page 19
Correlations
MO
Pearson Correlation
Sig. (2-tailed)
.000
22
22
Pearson Correlation
.328
-.229
Sig. (2-tailed)
.136
.306
N
PSEC
.014
Sig. (2-tailed)
.951
22
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
N
TOT
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
.873
.370
.000
22
22
22
.405
.522
.013
.061
22
22
22
.405
.335
.039
.370
.061
22
22
22
-.553
.940
.459
.127
22
22
.335
.032
.127
22
22
22
.570
.032
22
22
.000
.459
.201
.443
.000
.885
CPNO
.940
.013
22
-.581
.005
22
-.452
.919
.000
22
.821
.530
.011
22
.428
.210
.348
22
.493
22
.934
.000
22
.851
.006
.035
.000
.047
.020
.000
22
22
22
22
22
22
.366
-.244
.158
.007
.094
.274
.481
.002
.314
22
22
22
22
22
22
-.146
- 087
.223
.115
.517
.700
.319
.611
-.557
22
.545
.009
22
.450
22
-.202
.367
22
-.661
22
.753
.000
22
.785
22
.432
.045
22
.579
.614
.500
.018
22
.713
.000
22
.219
-.225
.285
.199
22
.846
.000
22
.653
.036
.001
.000
.005
.327
.001
22
22
22
22
22
22
.001
-.301
.996
.173
-.519
.013
22
.259
PSEC
.201
.008
Pearson Correlation
Sig. (2-tailed)
22
NLY
.522
22
Sig. (2-tailed)
Pearson Correlation
22
.000
.251
N
TGT
22
Pearson Correlation
N
CPNO
MO
WY
-.692
.000
N
NLY
TIE
.869
22
.744
.298
.178
22
-.498
.018
22
-.287
-.542
.009
22
.619
.002
22
.787
22
22
.341
.379
.120
.082
22
.585
22
.349
-.707
.000
22
.608
.003
22
.788
.000
.196
.000
.004
.111
.000
22
22
22
22
22
22

Page 20
Correlations
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
.000
.274
.319
.000
.000
22
22
22
22
22
22
.158
.115
.481
.611
.530
.011
22
22
22
22
.000
.327
22
22
22
-.225
.285
.934
.851
Pearson Correlation
.314
.199
.000
.001
22
22
22
22
22
-.301
.178
.173
.428
1
22
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
22
22
.203
.793
.000
22
.699
.752
.616
.000
22
.931
.002
22
.786
.364
.000
.000
.000
22
22
22
22
22
22
-.301
.203
.226
.213
.173
.364
.001
.312
.342
22
22
22
22
22
.428
Pearson Correlation
.793
.000
.178
.653
.000
Pearson Correlation
Sig. (2-tailed)
.846
22
Sig. (2-tailed)
Pearson Correlation
.219
.000
Pearson Correlation
Pearson Correlation
.713
.005
.018
Pearson Correlation
.500
.579
22
TGT
22
.614
.045
.002
vz
22
.493
.432
22
Sig. (2-tailed)
TEF
.047
.020
.428
22
Sig. (2-tailed)
WMB
T
.785
.348
XOM
WMB
.753
.000
Sig. (2-tailed)
TOT
XOM
.223
Sig. (2-tailed)
cvx
TOT
-.244
.210
Sig. (2-tailed)
HGT
.821
Pearson Correlation
N
CPNO
cvx
HGT
.919
22
.752
.000
22
.616
.699
.000
22
.931
.000
22
.786
22
.668
.668
.001
22
.226
.312
22
.213
.631
.502
.002
22
22
.631
.002
22
.502
22
.000
.342
.017
.003
22
22
22
22
22
.469
.028
22
.793
-.731
.000
22
.852
.000
22
.579
.102
.653
22
.406
.061
-.522
.013
22
.828
.000
22
22
-.299
- 015
22
.607
22
.002
22
.607
.003
.002
-.629
.017
-.736
.000
22
.718
.000
22
.649
1
22
-.264
.235
22
.847
.000
22
.505
.000
.005
.177
.948
.001
.016
22
22
22
22
22
22

Page 21
Correlations
MO
Pearson Correlation
Sig. (2-tailed)
.002
.000
.003
22
22
22
Pearson Correlation
.001
.341
Sig. (2-tailed)
.996
.120
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
22
22
.379
.349
.173
.082
.111
.001
22
22
22
22
-.707
.608
.000
.003
.000
.004
22
22
22
22
-.629
.469
.002
22
-.731
.028
22
.852
.793
.434
.000
22
.579
.044
22
.580
.005
22
Pearson Correlation
.102
.406
-.299
.281
Sig. (2-tailed)
.653
.061
.177
.205
22
22
22
22
- 015
.310
.948
.161
Pearson Correlation
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
-.522
.013
22
-.736
.000
22
-.264
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
.000
22
22
.649
.000
22
.847
22
.684
.001
22
.505
.000
22
.583
.235
.000
.016
.004
22
22
22
22
-.285
-.130
.199
.563
Pearson Correlation
.828
.718
-.551
.008
Sig. (2-tailed)
TGT
.583
22
vz
.788
22
.654
.005
Sig. (2-tailed)
TEF
22
-.301
22
.015
.000
Sig. (2-tailed)
WMB
.509
.004
22
N
XOM
.585
.000
N
TOT
WMT
.607
22
N
PSEC
TGT
.787
.619
.009
N
NLY
vz
TEF
-.542
22
-.551
22
22
.275
.008
.216
22
22
22
-.285
.275
.199
.216
22
22
22
.508
.016
22
.709
.000
22
22

Page 22
Correlations
WMT
Pearson Correlation
Sig. (2-tailed)
N
TBF
.097
ANSS
.693
CCF
.510
DYSL
.645
INTC
.625
MSFT
.757
.683
.000
.015
.001
.002
.000
20
22
22
22
22
22
Correlation is significant at the 0.05 level (2-tailed).

Correlation
s
WMT
Pearson Correlation
Sig. (2-tailed)
N
EW2
.789
MCHFX
.705
EWY
.706
THO
.557
CAG
.543
KFT
.614
.000
.000
.000
.007
.009
.002
22
22
22
22
22
22
CPN
.076
EGLE
- 090
EXC
-.304
Correlation
s
WMT
Pearson Correlation
Sig. (2-tailed)
N
MCD
.590
ACI
.665
COP
.554
.004
.001
.007
.736
.689
.168
22
22
22
22
22
22
Correlation
s
WMT
Pearson Correlation
Sig. (2-tailed)
N
GDX
.531
HSY
.239
MON
.020
SIVB
.667
SJT
.436
SLV
.506
.011
.284
.930
.001
.043
.016
22
22
22
22
22
22

Correlation
s
WMT
Pearson Correlation
Sig. (2-tailed)
N
TIE
.375
WY
- 083
MO
.607
NLY
.509
PSEC
.654
CPNO
.583
.085
.714
.003
.015
.001
.004
22
22
22
22
22
22
Page 23
HGT
WMT
Pearson Correlation
Sig. (2-tailed)
N
.434
Correlations
TOT
cvx
.580
XOM
.281
.310
W MB
.684
T
.583
.044
.005
.205
.161
.000
.004
22
22
22
22
22
22

Correlation
s
TEF
WMT
Pearson Correlation
Sig. (2-tailed)
N
-.130
TGT
vz
.508
.709
.563
.016
.000
22
22
22
WMT
1
22
Current Portfolio Stocks Correlation Coefficients in a Bear Market

GET DATA /TYPE=XLSX
/FILE='R,\Cll\IQP\Correlation test\F.D Bear Market.xlsx'
/CELLRANGE=full
/READNAMES=on
/ASSUMEDSTRWIDTH=3
2767. CORRELATIONS
/VARIABLES=ANSS CCF DYSL INTC MSFT EWZ MCHFX EWY THD CAG KFT MCD ACI
COP CP
N EGLE EXC GDX HSY MON SIVB SJT SLV TIE WY MO NLY PSEC CPNO HGT CVX TOT
XOM W MB T TEF VZ TGT WMT
/MISSING=PAIRWISE.
Page 24
Correlations
Correlations
Notes
Output Created
02-May-2011 19:54:08
Comments
Input
Active
Dataset
DataSet1
<none>
Filter
W eight
<none>
<none>
Split File
N of Rows in
W orking
Data File
Cases Used
User-defined missing
values are treated as
missing.
Statistics for each pair of
variables are based on all the
cases with valid data for that
Syntax
Resources
2
0
pair
Processor Time
Elapsed Time
CORRELATIONS
/VARIABLES=ANSS CCF
DYSL INTC MSFT EWZ
MCHFX EW Y THO CAG KFT
MCD ACI COP CPN EGLE
EXC GDX HSY MON SIVB
SJT SLV TIEWY MO NLY
PSEC CPNO HGT CVX TOT
XOM WMB T TEF VZ TGT
WMT
/PRINT=TW OTAIL NOSIG
/MISSING=PAIRW ISE.
0:00:00.157
0:00:00.227
[DataSetl]
Page I
Page 25
Correlations
ANSS
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
N
MCD
Pearson Correlation
Sig. (2-tailed)
N
ACI
Pearson Correlation
Sig. (2-tailed)
N
20
CCF
.760
DYSL
.902
.000
.000
.000
20
20
20
20
.869
.875
.000
20
20
.869
.000
20
20
.875
20
.000
.000
20
20
20
.000
20
.916
.941
.000
20
.853
.813
.000
20
.908
.941
.000
20
.883
.853
.000
20
.813
.000
.000
20
20
20
1
20
.947
.925
.000
.000
20
20
.947
.000
20
.925
20
.000
.000
.000
20
20
20
20
.973
20
.862
.000
.880
.862
.000
20
.950
20
.908
.000
.854
.000
.000
.883
.000
.799
.916
.000
.000
.903
'eNZ
20
.000
20
MSFT
.799
.000
.760
.902
INTC
.903
.978
1
20
.931
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.827
.000
20
.863
.000
16
.826
.926
.000
20
.900
.000
16
.875
.865
.000
20
.832
.000
16
.846
.954
.000
20
.932
.000
16
.954
.950
.000
20
.933
.000
16
.931
.953
.000
20
.970
.000
16
.936
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.822
.000
20
.476
.034
20
.945
.807
.000
.820
.000
.840
.000
.847
.000
.742
.000
20
20
20
20
20
.099
.290
.323
.207
.184
.677
.216
.165
.382
.438
20
.799
20
.954
20
.852
20
.760
20
.938
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
Page 2
Correlations
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
OYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
MCHFX
.854
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
.000
.000
.000
.034
20
16
20
20
20
.950
.926
.000
20
.880
.900
.000
20
.865
.875
.000
16
.832
.807
.000
20
.846
20
.290
.000
.000
.000
.000
.216
20
20
16
20
20
20
.973
.954
.932
.954
.840
.323
.000
.000
.000
.000
.000
.165
20
20
16
20
20
20
.978
.950
.000
20
.931
.933
.000
20
.953
.931
.000
16
.970
.847
.000
20
.936
.207
.000
20
.742
.382
20
.184
.000
.000
.000
.000
.000
.438
20
20
16
20
20
20
20
.983
.964
.000
16
.959
.000
.000
.000
.398
16
20
20
20
.990
.976
.000
20
16
.990
.000
16
.976
16
.000
.000
20
16
.767
.000
20
.980
.708
.002
1
20
20
.219
Sig. (2-tailed)
.398
.594
.146
.353
20
.838
16
.869
20
.810
.594
20
.380
.002
16
.802
.146
16
.219
.000
.353
20
20
.000
16
20
20
.802
.380
.845
.127
.000
.708
16
.980
20
.000
.767
.000
.000
.000
.836
.200
20
.000
20
.836
.000
.983
.964
.959
20
20
.677
.000
.127
Sig. (2-tailed)
.099
.000
.820
20
Pearson Correlation
MCO
.476
.000
.200
N
ACI
KFT
.822
Pearson Correlation
N
MCO
CAG
.826
20
Sig. (2-tailed)
EWY
THO
.863
.827
.000
Pearson Correlation
EWY
.554
.011
20
.554
20
1
.011
20
.767
20
.273
.000
.000
.000
.000
.000
.245
20
20
16
20
20
20
Page 3
Correlations
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
CPN
.948
EGLE
.931
EXC
.912
GDX
.628
.000
.000
.000
.000
.000
.003
20
20
19
20
20
20
.799
.892
.000
20
.954
.000
20
.965
.846
.000
19
.903
.886
.000
20
.970
.895
.000
20
.976
.776
.000
20
.735
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.852
.906
.948
.924
.905
.735
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.760
.865
.000
20
.938
.000
20
.918
.886
.000
19
.982
.857
.000
20
.957
.858
.000
20
.938
.721
.000
20
.849
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.845
.915
.948
.928
.920
.785
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.838
.884
.000
20
.869
.000
20
.844
.000
16
.810
.000
16
.858
.937
.000
19
.946
.000
16
.921
.917
.000
20
.898
.000
16
.899
.908
.000
20
.885
.000
16
.879
.862
.000
20
.823
.000
16
.821
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.767
.885
.000
.000
.803
.000
.834
.000
.848
.000
.436
.054
20
20
19
20
20
20
.273
.342
.235
.280
.296
-.158
Sig. (2-tailed)
.245
.140
.333
.232
.205
.505
N
ACI
COP
.933
Pearson Correlation
N
MCD
ACI
.945
Pearson Correlation
20
1
Sig. (2-tailed)
N
20
20
.964
19
.957
20
.972
20
.961
20
.705
.000
.000
.000
.000
.001
20
19
20
20
20
Page 4
Correlations
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
.002
.002
20
20
20
.462
.040
20
.835
.000
20
.000
20
.000
20
.000
20
.000
20
.000
20
Pearson Correlation
Pearson Correlation
Pearson Correlation
Pearson Correlation
.000
.000
.000
.000
20
20
20
20
20
.656
.002
20
.450
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
.811
.000
20
.948
.783
.000
20
.699
.711
.000
20
.729
.798
.000
20
.855
.941
.000
20
.770
.047
.000
.001
.000
.000
.000
20
20
20
20
20
20
.591
.881
.770
.747
.854
.932
.006
.000
.000
.000
.000
.000
20
20
20
20
20
20
.551
.012
20
.056
.863
.000
Sig. (2-tailed)
Sig. (2-tailed)
.746
20
.487
.723
.739
.002
Pearson Correlation
Pearson Correlation
.785
.782
.942
20
.885
.860
.882
.000
.651
.768
.776
20
Pearson Correlation
.946
730
.000
Sig. (2-tailed)
ACI
.000
20
20
MCD
.000
20
.000
Sig. (2-tailed)
KFT
.000
20
20
CAG
.027
.000
Sig. (2-tailed)
THO
TIE
.653
20
EWY
SLV
.638
.080
Sig. (2-tailed)
MCHFX
SJT
.830
Sig. (2-tailed)
EWZ
SIVB
.843
.400
Sig. (2-tailed)
MSFT
MON
.932
Pearson Correlation
N
INTC
HSY
.494
16
.647
.878
.000
20
.880
.000
16
.847
.672
.001
20
.629
.009
16
.688
.675
.001
20
.641
.007
16
.652
.891
.000
20
.860
.000
16
.820
.907
.000
20
.946
.000
16
.861
.002
.000
.001
.002
.000
.000
20
20
20
20
20
20
.743
.000
20
.482
.031
20
.763
.000
20
.206
.383
20
.000
20
.481
.032
20
.777
.875
.000
.600
.005
.765
.000
20
20
20
.410
-.155
.105
.072
.513
.659
20
.871
20
.774
20
Pearson Correlation
.334
Sig. (2-tailed)
.150
.000
.000
.000
.000
.002
20
20
20
20
20
20
.985
.918
.655
Page 5
Correlations
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
NLY
.476
PSEC
.785
CPNO
.873
HGT
.916
.000
.178
.034
.000
.000
.000
20
20
20
20
20
20
.944
.000
20
.859
.799
.000
20
.473
.839
.000
20
.609
.889
.000
20
.877
.935
.000
20
.938
.755
.000
20
.894
.000
.035
.004
.000
.000
.000
20
20
20
20
20
20
.926
.599
.653
.777
.942
.773
.000
.005
.002
.000
.000
.000
20
20
20
20
20
20
.960
.000
20
.862
.748
.000
20
.474
.760
.000
20
.678
.806
.000
20
.801
.925
.000
20
.951
.722
.000
20
.824
.000
.035
.001
.000
.000
.000
20
20
20
20
20
20
.965
.703
.762
.839
.969
.775
.000
.001
.000
.000
.000
.000
20
20
20
20
20
20
.933
.000
20
.874
.000
16
.919
.678
.001
20
.877
.000
16
.603
.791
.000
20
.777
.000
16
.712
.806
.000
20
.771
.000
16
.788
.961
.000
20
.931
.000
16
.944
.722
.000
20
.771
.000
16
.710
.000
.005
.000
.000
.000
.000
20
20
20
20
20
20
.887
.000
.488
.029
.528
.017
.887
.000
.843
.000
.850
.000
20
20
20
20
20
20
.227
-.189
- 096
.316
.165
.396
Sig. (2-tailed)
.336
.424
.688
.175
.486
.084
N
ACI
MO
.314
Pearson Correlation
N
MCD
WY
.807
Pearson Correlation
Sig. (2-tailed)
N
20
.813
20
.342
20
.537
20
.841
20
.919
20
.939
.000
.140
.015
.000
.000
.000
20
20
20
20
20
20
Page 6
Correlations
cvx
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EW2
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
XOM
.755
W MB
.916
T
.767
TEF
.785
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.842
.000
20
.925
.898
.000
20
.945
.904
.000
20
.875
.918
.000
20
.956
.940
.000
20
.865
.943
.000
20
.847
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.867
.935
.810
.921
.883
.938
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.818
.000
20
.900
.887
.000
20
.975
.832
.000
20
.822
.891
.000
20
.963
.906
.000
20
.877
.962
.000
20
.900
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.880
.950
.876
.948
.943
.978
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.855
.000
20
.845
.000
16
.819
.949
.000
20
.937
.000
16
.918
.857
.000
20
.785
.000
16
.809
.937
.000
20
.912
.000
16
.905
.938
.000
20
.891
.000
16
.893
.977
.000
20
.975
.000
16
.950
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.846
.000
.805
.000
.820
.000
.836
.000
.795
.000
.792
.000
20
20
20
20
20
20
.373
.255
.276
.217
.163
.174
Sig. (2-tailed)
.105
.278
.239
.358
.493
.464
N
ACI
TOT
.920
Pearson Correlation
N
MCD
.913
Pearson Correlation
Sig. (2-tailed)
N
20
.946
20
.948
20
.821
20
.961
20
.821
20
.784
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
Page 7
Correlations
vz
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
.000
.012
20
20
20
.910
.000
20
.801
.884
.000
20
.827
20
.398
.000
.082
20
20
.889
.940
.242
.000
.000
.303
20
20
20
.909
.000
20
.801
.940
.000
20
.908
.101
.673
20
.279
.000
.000
.234
20
20
20
.925
.950
.157
.000
.000
.509
20
20
20
.911
.000
20
.879
.000
16
.860
.943
.000
20
.912
.000
16
.948
.090
.707
20
.540
.031
16
.129
.000
.000
.589
20
20
20
.761
.000
.847
.000
20
Sig. (2-tailed)
.317
.257
.727
20
.266
Sig. (2-tailed)
.083
.000
20
Pearson Correlation
WMT
.550
.000
.236
N
ACI
TGT
.860
Pearson Correlation
N
MCD
.715
20
.714
20
.824
.447
.048
20
.627
.003
20
.510
.000
.000
.022
20
20
20
Page 8
Correlations
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
MO
ANSS
.933
CCF
.892
DYSL
.965
INTC
.906
MSFT
.865
EW Z
.918
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.948
.000
19
.931
.846
.000
19
.886
.903
.000
19
.970
.948
.000
19
.924
.886
.000
19
.857
.982
.000
19
.957
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.912
.895
.976
.905
.858
.938
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.628
.003
20
.494
.776
.000
20
.462
.735
.000
20
.400
.735
.000
20
.651
.721
.000
20
.656
.849
.000
20
.450
.027
.040
.080
.002
.002
.047
20
20
20
20
20
20
.932
.835
.946
.885
.811
.948
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.843
.000
20
.830
.000
20
.638
730
.000
20
.776
.000
20
.882
.768
.000
20
.860
.000
20
.782
.785
.000
20
.723
.000
20
.746
.783
.000
20
.711
.000
20
.798
.699
.001
20
.729
.000
20
.855
.002
.000
.000
.000
.000
.000
20
20
20
20
20
20
.653
.002
20
.807
.000
20
.942
.000
20
.944
.000
20
.000
20
.859
.000
20
.473
.863
.000
20
.926
.000
20
.599
.941
.000
20
.960
.000
20
.748
.770
.000
20
.862
.000
20
Pearson Correlation
.314
Sig. (2-tailed)
.178
.000
.035
.005
.000
.035
20
20
20
20
20
20
.799
.739
.474
Page 9
Correlations
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
MO
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
.915
EWY
.884
THO
.844
CAG
.858
KFT
.885
MCD
.342
.000
.000
.000
.000
.000
.140
20
20
16
20
20
20
.948
.000
19
.928
.937
.000
19
.917
.946
.000
16
.898
.921
.000
19
.899
.803
.000
19
.834
.235
.333
19
.280
.000
.000
.000
.000
.000
.232
20
20
16
20
20
20
.920
.908
.885
.879
.848
.296
.000
.000
.000
.000
.000
.205
20
20
16
20
20
20
.436
-.158
.054
.505
.785
.000
20
.591
.862
.000
20
.551
.823
.000
16
.487
.821
.000
20
.647
20
.743
20
.482
.006
.012
.056
.002
.000
.031
20
20
16
20
20
20
.881
.878
.880
.847
.763
.206
.000
.000
.000
.000
.000
.383
20
20
16
20
20
20
770
.000
20
.747
.000
20
.854
.672
.001
20
.675
.001
20
.891
.629
.009
16
.641
.007
16
.860
.688
.001
20
.652
.002
20
.820
.918
.000
20
.875
.000
20
.600
.481
.032
20
.410
.072
20
-.155
.000
.000
.000
.000
.005
.513
20
20
16
20
20
20
.932
.000
20
.965
.000
20
.703
.907
.000
20
.933
.000
20
.678
.946
.000
16
.874
.000
16
.877
.861
.000
20
.919
.000
20
.603
.765
.000
20
.887
.000
.105
.659
20
.227
.336
20
20
.488
-.189
.001
.001
.000
.005
.029
.424
20
20
16
20
20
20
Page 10
Correlations
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
19
.972
.000
.000
.001
20
20
20
.940
.000
19
.984
19
.000
.000
20
19
.945
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
20
.000
.000
.000
20
19
20
.705
.001
20
.675
.001
20
.985
.470
.758
.000
19
.961
.445
.956
.745
.000
20
.758
.000
19
.984
.000
19
.745
.000
.000
20
20
.984
20
19
Pearson Correlation
.000
.056
Pearson Correlation
.945
19
.956
20
.985
.956
.000
.000
.961
GDX
.675
19
20
MO
.000
EXC
.985
.000
.036
Sig. (2-tailed)
WY
.957
20
20
TIE
20
EGLE
.984
.150
Sig. (2-tailed)
SLV
.000
CPN
.940
Sig. (2-tailed)
SJT
.334
Sig. (2-tailed)
SIVB
COP
Pearson Correlation
N
MON
ACI
.964
.733
.000
20
20
.733
.000
20
20
.442
.201
.044
.051
.397
20
20
20
.455
.976
.955
.734
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.777
.000
20
.871
.000
20
.774
.856
.000
20
.926
.000
20
.800
.781
.000
19
.806
.000
19
.809
.799
.000
20
.869
.000
20
.827
.780
.000
20
.880
.000
20
.850
.321
.167
20
.397
.083
20
.850
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.655
.002
20
.813
.000
20
.789
.000
20
.917
.000
20
.000
19
.878
.000
19
.397
.784
.000
20
.911
.000
20
.490
.794
.000
20
.900
.000
20
.495
.729
.000
20
.685
.001
20
Pearson Correlation
.342
Sig. (2-tailed)
.140
.025
.092
.028
.027
.004
20
20
19
20
20
20
.500
.801
.618
Page 11
Correlations
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
EXC
.000
.000
.000
.000
20
20
20
20
19
.455
.000
.000
.000
.000
.000
20
20
20
20
20
20
.000
.000
.000
.000
20
20
20
20
.321
.397
.167
.083
Pearson Correlation
.201
Sig. (2-tailed)
.397
.955
.780
.734
.000
20
20
.374
Pearson Correlation
.880
20
.620
.850
.794
.850
.729
.000
.000
20
20
20
.391
.272
.559
.104
.004
.088
.247
.010
20
20
20
20
20
20
Pearson Correlation
.374
Sig. (2-tailed)
.104
Pearson Correlation
20
.620
.004
20
Pearson Correlation
.391
Sig. (2-tailed)
.088
20
20
.783
.849
.000
.000
.001
20
20
20
20
.000
20
.000
20
.903
.490
.000
20
20
.903
.000
20
20
Sig. (2-tailed)
.247
.000
.028
.002
20
20
20
20
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
.559
.010
20
.635
.003
.704
.001
20
.860
.000
.490
.635
.003
20
.827
.000
.028
20
.644
20
.644
.627
.003
20
.814
.000
.635
.003
20
.627
.002
.272
Pearson Correlation
.798
.704
.000
.783
.849
.798
Pearson Correlation
MO
19
.784
20
WY
19
.827
.000
.000
TIE
19
.869
.801
.000
20
Sig. (2-tailed)
SLV
19
.799
.809
.000
.051
SJT
19
.976
.806
.000
Sig. (2-tailed)
SIVB
.781
.000
.044
Sig. (2-tailed)
MON
.956
.442
N
HSY
TIE
.789
Pearson Correlation
N
GDX
SLV
.800
20
.056
SJT
.926
.000
.445
Sig. (2-tailed)
SIVB
.856
20
Sig. (2-tailed)
Pearson Correlation
MON
.961
.036
Pearson Correlation
N
EGLE
HSY
.470
.003
20
.826
.000
20
20
.826
.000
20
.824
.000
.000
20
20
20
20
Pearson Correlation
.369
.416
.377
.355
Sig. (2-tailed)
.110
.068
.101
.125
.002
.000
20
20
20
20
20
20
20
20
.918
.660
20
.888
Page 12
Correlations
MO
.500
WY
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
WY
.917
Sig. (2-tailed)
N
CPNO
.959
HGT
.940
.025
.004
.000
.000
.000
20
20
20
20
20
20
.878
.397
.000
19
.911
.092
19
.490
.600
.007
19
.629
.833
.000
19
.893
.946
.000
19
.975
.908
.000
19
.907
.000
.028
.003
.000
.000
.000
20
20
20
20
20
20
.900
.495
.655
.913
.962
.906
.000
.027
.002
.000
.000
.000
20
20
20
20
20
20
.685
.618
.001
20
.791
.004
.000
.585
.007
.000
.489
.029
20
20
.373
.003
.110
.105
.026
.016
.086
20
20
20
20
20
20
.860
.416
.570
20
.787
.369
.635
.497
.835
20
20
.529
.394
.947
.912
.000
.068
.009
.000
.000
.000
20
20
20
20
20
20
.377
.357
.101
.123
.827
.000
20
.814
.000
20
.824
20
20
.355
.427
.125
.061
20
.660
20
.826
.805
.000
20
.919
.000
20
.806
.790
.000
20
.821
.000
20
.878
.905
.000
20
.964
.000
20
.654
.000
.002
.000
.000
.000
.002
20
20
20
20
20
20
.918
.888
.000
20
1
Pearson Correlation
Pearson Correlation
PSEC
.920
.000
Sig. (2-tailed)
MO
NLY
.617
.854
.000
20
.707
20
20
1
.000
20
20
.723
.000
.707
.000
20
.000
20
.832
.771
.000
20
.896
.000
20
.527
.866
.000
20
.957
.000
20
.620
.585
.007
20
.794
.000
20
.268
.000
.017
.004
.254
20
20
20
20
Page 13
Correlations
cvx
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
.000
.000
.000
.000
.000
20
20
20
20
20
20
.924
.000
19
.958
.971
.000
19
.979
.826
.000
19
.887
.972
.000
19
.987
.866
.000
19
.911
.900
.000
19
.880
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.978
.981
.936
.987
.929
.892
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.625
.003
20
.793
.000
20
.001
20
.000
20
.000
20
.000
20
.026
.009
20
20
20
Pearson Correlation
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
.809
.967
.495
.823
.048
.950
.447
.742
20
.932
.418
.769
.066
Pearson Correlation
.444
.664
20
MO
.000
.050
Sig. (2-tailed)
WY
TEF
.865
20
TIE
T
.903
.054
Sig. (2-tailed)
SLV
W MB
.981
Sig. (2-tailed)
SJT
XOM
.906
.436
Sig. (2-tailed)
SIVB
TOT
.963
Pearson Correlation
N
MON
.975
.847
.570
.815
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.799
.000
20
.909
.000
20
.806
.743
.000
20
.810
.000
20
.866
.673
.001
20
.828
.000
20
.874
.800
.000
20
.867
.000
20
.875
.677
.001
20
.775
.000
20
.921
.671
.001
20
.675
.001
20
.878
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.747
.000
20
.872
.000
20
.821
.000
20
.898
.000
20
.000
20
.874
.000
20
.600
.822
.000
20
.923
.000
20
.543
.907
.000
20
.941
.000
20
.675
.940
.000
20
.935
.000
20
Pearson Correlation
.415
Sig. (2-tailed)
.069
.019
.005
.013
.001
.000
20
20
20
20
20
20
.521
.852
.734
Page 14
Correlations
vz
COP
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
MO
Pearson Correlation
Sig. (2-tailed)
N
.829
TGT
.886
WMT
.457
.000
.000
.043
20
20
20
.818
.000
19
.830
.914
.000
19
.899
.468
.043
19
.412
.000
.000
.071
20
20
20
.858
.866
.390
.000
.000
.089
20
20
20
.712
.000
20
.538
.734
.000
20
.677
-.172
.469
20
.169
.014
.001
.477
20
20
20
.745
.872
.450
.000
.000
.047
20
20
20
.606
.005
20
.659
.002
20
.823
.806
.000
20
.739
.000
20
.774
.607
.005
20
.642
.002
20
- 010
.000
.000
.968
20
20
20
.946
.000
20
.896
.000
20
.758
.852
.000
20
.957
.000
20
.612
-.100
.674
20
.238
.313
20
-.421
.000
.004
.064
20
20
20
Page 15
Correlations
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
N
TOT
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
Pearson Correlation
Sig. (2-tailed)
N
ANSS
.476
CCF
.839
DYSL
.609
INTC
.653
MSFT
.760
EWZ
.678
.034
.000
.004
.002
.000
.001
20
20
20
20
20
20
.785
.000
20
.873
.889
.000
20
.935
.877
.000
20
.938
.777
.000
20
.942
.806
.000
20
.925
.801
.000
20
.951
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.916
.755
.894
.773
.722
.824
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.913
.000
20
.920
.842
.000
20
.898
.925
.000
20
.945
.867
.000
20
.935
.818
.000
20
.887
.900
.000
20
.975
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.755
.904
.875
.810
.832
.822
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.916
.000
20
.767
.000
20
.785
.918
.000
20
.940
.000
20
.943
.956
.000
20
.865
.000
20
.847
.921
.000
20
.883
.000
20
.938
.891
.000
20
.906
.000
20
.962
.963
.000
20
.877
.000
20
.900
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.715
.000
20
.860
.000
.910
.000
20
.884
.000
.801
.000
20
.827
.000
.889
.000
20
.940
.000
.909
.000
20
.940
.000
.801
.000
20
.908
.000
20
20
20
20
20
20
.550
.083
.398
.242
.101
.279
.012
.727
.082
.303
.673
.234
20
20
20
20
20
20
Page 16
Correlations
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
N
TOT
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
MCHFX
.762
'eNY
.791
THO
.777
CAG
.712
KFT
.528
MCD
- 096
.000
.000
.000
.000
.017
.688
20
20
16
20
20
20
.839
.000
20
.969
.806
.000
20
.961
.771
.000
16
.931
.788
.000
20
.944
.887
.000
20
.843
.316
.175
20
.165
.000
.000
.000
.000
.000
.486
20
20
16
20
20
20
.775
.722
.771
.710
.850
.396
.000
.000
.000
.000
.000
.084
20
20
16
20
20
20
.880
.000
20
.950
.855
.000
20
.949
.845
.000
16
.937
.819
.000
20
.918
.846
.000
20
.805
.373
.105
20
.255
.000
.000
.000
.000
.000
.278
20
20
16
20
20
20
.876
.857
.785
.809
.820
.276
.000
.000
.000
.000
.000
.239
20
20
16
20
20
20
.948
.000
20
.943
.000
20
.978
.937
.000
20
.938
.000
20
.977
.912
.000
16
.891
.000
16
.975
.905
.000
20
.893
.000
20
.950
.836
.000
20
.795
.000
20
.792
.217
.358
20
.163
.493
20
.174
.000
.000
.000
.000
.000
.464
20
20
16
20
20
20
.925
.000
20
.950
.000
.911
.000
20
.943
.000
.879
.000
16
.912
.000
.000
20
.948
.000
.000
20
.847
.000
.317
20
.266
.257
20
20
.090
Sig. (2-tailed)
.509
.707
.031
.589
.048
.003
20
20
16
20
20
20
.129
20
.236
.157
.540
20
.761
Pearson Correlation
16
.860
.447
20
.627
Page 17
Correlations
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
N
TOT
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
Pearson Correlation
Sig. (2-tailed)
N
ACI
.537
COP
.617
CPN
.600
EGLE
.629
EXC
.655
GDX
.791
.015
.004
.007
.003
.002
.000
20
20
19
20
20
20
.841
.000
20
.919
.920
.000
20
.959
.833
.000
19
.946
.893
.000
20
.975
.913
.000
20
.962
.585
.007
20
.787
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.939
.940
.908
.907
.906
.489
.000
.000
.000
.000
.000
.029
20
20
19
20
20
20
.946
.000
20
.948
.975
.000
20
.963
.924
.000
19
.971
.958
.000
20
.979
.978
.000
20
.981
.625
.003
20
.793
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.821
.906
.826
.887
.936
.664
.000
.000
.000
.000
.000
.001
20
20
19
20
20
20
.961
.000
20
.821
.000
20
.784
.981
.000
20
.903
.000
20
.865
.972
.000
19
.866
.000
19
.900
.987
.000
20
.911
.000
20
.880
.987
.000
20
.929
.000
20
.892
.769
.000
20
.742
.000
20
.823
.000
.000
.000
.000
.000
.000
20
20
19
20
20
20
.714
.000
20
.824
.000
.829
.000
20
.886
.000
20
20
.510
.457
.818
.000
19
.914
.000
19
.468
.830
.000
20
.899
.000
.858
.000
20
.866
.000
.712
.000
20
.734
.000
20
20
20
.412
.390
-.172
.022
.043
.043
.071
.089
.469
20
20
19
20
20
20
Page 18
Correlations
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
.061
.000
.000
20
20
20
20
.497
.026
20
.529
.835
.000
20
.947
.805
.000
20
.790
.919
.000
20
.821
.806
.000
20
.878
.771
.000
20
.866
.016
.000
.000
.000
.000
.000
20
20
20
20
20
20
.000
.002
.007
20
20
20
20
Pearson Correlation
.436
Sig. (2-tailed)
.054
Pearson Correlation
20
.444
.912
.932
.000
20
.950
.905
.799
.000
20
.743
.964
.909
.000
20
.810
.654
.806
.000
20
.866
.585
.747
.000
20
.821
.050
.000
.000
.000
.000
.000
20
20
20
20
20
20
Pearson Correlation
.418
Sig. (2-tailed)
.066
.000
.001
.000
.000
.000
20
20
20
20
20
20
Pearson Correlation
Pearson Correlation
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
WMT
.123
20
.000
Sig. (2-tailed)
TGT
.009
20
20
vz
.105
.000
Sig. (2-tailed)
TEF
TIE
.854
20
SLV
.826
.086
WMB
SJT
.427
Sig. (2-tailed)
Sig. (2-tailed)
XOM
SIVB
.357
.394
N
TOT
MON
.570
Pearson Correlation
cvx
HSY
.373
.447
.048
20
.495
.026
20
.570
.809
.967
.000
20
.847
.000
20
.815
.673
.800
.000
20
.677
.001
20
.671
.867
.000
20
.775
.000
20
.675
.874
.875
.000
20
.921
.000
20
.878
.852
.822
.000
20
.907
.000
20
.940
.009
.000
.001
.001
.000
.000
20
20
20
20
20
20
.538
.014
20
.677
.001
.745
.000
20
.872
.000
.606
.005
20
.806
.000
20
20
Pearson Correlation
.169
.450
Sig. (2-tailed)
.477
.047
.005
20
20
20
.828
20
.607
.659
.002
20
.739
.000
20
.823
.000
20
.774
.000
.946
.000
20
.852
.000
20
20
- 010
-.100
.002
.968
.674
20
20
20
.642
Page 19
Correlations
WY
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
N
TOT
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
.723
MO
.832
.000
.000
20
20
.896
.000
20
.957
.527
.017
20
.620
NLY
1
20
PSEC
.683
CPNO
.715
.001
.000
.074
20
20
20
.683
.001
20
.715
HGT
.408
.888
.881
.000
20
20
.888
.000
.004
.000
.000
20
20
20
20
.268
.408
.000
.254
.074
.000
.000
20
20
20
20
20
.794
.872
.000
20
.898
.415
.069
20
.521
.590
.006
20
.685
.881
.907
.000
20
.860
.000
20
.851
.000
20
20
.851
.916
.000
20
.964
1
20
.922
.000
20
.861
.000
.019
.001
.000
.000
.000
20
20
20
20
20
20
.874
.600
.747
.923
.885
.785
.000
.005
.000
.000
.000
.000
20
20
20
20
20
20
.923
.000
20
.941
.000
20
.935
.543
.013
20
.675
.001
20
.734
.676
.001
20
.791
.000
20
.826
.901
.000
20
.901
.000
20
.822
.982
.000
20
.936
.000
20
.931
.906
.000
20
.751
.000
20
.692
.000
.000
.000
.000
.000
.001
20
20
20
20
20
20
.896
.000
20
.957
.000
.758
.000
20
.612
.004
.808
.000
20
.703
.001
.794
.000
20
.836
.000
.864
.000
20
.937
.000
.621
.003
20
.781
.000
20
20
20
20
20
Pearson Correlation
.238
-.421
-.263
.422
.261
Sig. (2-tailed)
.313
.064
.262
.064
.266
.001
20
20
20
20
20
20
20
.668
Page 20
Correlations
cvx
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
TOT
.685
.590
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
Pearson Correlation
Sig. (2-tailed)
N
T
.791
TEF
.826
.001
.000
.001
.000
.000
20
20
20
20
20
20
.907
.860
.000
20
.916
.923
.000
20
.964
.901
.000
20
.885
.901
.000
20
.982
.822
.000
20
.936
.000
20
.931
.000
.000
.000
.000
.000
.000
20
20
20
20
20
20
.922
.861
.785
.906
.751
.692
.000
.000
.000
.000
.000
.001
20
20
20
20
20
20
Pearson Correlation
WMB
.676
.006
.959
.932
.000
Sig. (2-tailed)
TOT
XOM
.747
20
20
.959
.000
20
.932
20
.000
20
20
.960
.000
20
.913
.000
20
.841
20
.912
.985
.000
20
.933
.000
20
.922
.913
.000
20
.985
.841
.000
20
.933
.000
.000
.000
20
20
20
20
20
.907
.960
.000
.000
.000
20
20
20
.907
.000
20
.960
.000
20
.888
.888
.928
.907
.000
20
20
.928
.000
20
.907
20
.000
.000
.000
20
20
20
20
20
.833
.000
20
.000
20
.888
.000
.917
.000
20
.778
.000
.845
.000
20
.905
.000
20
.950
20
.950
.000
.875
.000
.000
20
.000
20
.922
.000
.835
.000
.000
.912
.000
.960
.000
.953
.000
20
.873
.000
1
20
.949
.000
20
.915
.000
20
20
20
20
20
.310
.237
.347
.172
.056
.028
.184
.314
.134
.470
.816
20
20
20
20
20
20
.491
Page 21
Correlations
TGT
WMT
.703
-.263
vz
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
N
TOT
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
.808
.000
20
.794
Pearson Correlation
Sig. (2-tailed)
N
WMT
20
.422
.000
.064
20
20
20
.864
.937
.000
20
.621
.261
.000
20
.781
.003
20
.835
.266
20
.668
.000
20
.833
.001
20
.491
.000
.000
.028
20
20
20
.875
.888
.310
.000
.000
.184
20
20
20
.917
.778
.000
20
.845
.237
.000
20
.905
.314
20
.347
.000
.000
.134
20
20
20
.953
.873
.172
.000
.000
.470
20
20
20
.949
.915
.000
20
1
Sig. (2-tailed)
TGT
20
.836
.262
.000
Pearson Correlation
.001
20
.825
.056
.000
20
.825
.816
20
.032
.000
.893
20
20
.267
.000
.255
20
20
20
Pearson Correlation
.032
.267
Sig. (2-tailed)
.893
.255
20
20
20
Page I
Correlations
Porter Stansberry Stocks Correlation Coefficients in a Bull Market
DATA /TYPE=XlSX
/FILE='R,\Cll\IQP\Cbrrelation test\Bull Market\Porter Stansberry Bull Market.xlsx'

/SHEEI=name 'Sheetl'
/CELLRANGE=full
/READNAME'S=on
/ASSUMEDSIRWIDTH=32767.
ffiRREIATIOOS
/VARIABLES=WMT JNJ EXC NLY INIC
W'l
PSEC HSY SIVB TIE CPN mP MCN ACI EGLE SJT SLV GDX
/PRINI=1WOTAIL NC\SIG
/MISSING=PAIRWISE.
Correlations
Note
s
Output Created
25-May-2011 19:55:41
Comments
Input
Active Dataset
DataSet1
Filter
<none>
W eight
<none>
Split
<none>
File
N of Rows in
W orking
Data File
Missing
Definition of
Cases Used
Syntax
Resources
Processor Time
Elapsed Time
User-defined missing values

are treated as missing.
Statistics for each pair of variables
are based on all the cases with
valid data for that pair
CORRELATIONS
/VARIABLES=W MT JNJ EXC NLY
INTC WY PSEC HSY SIVB TIE
CPN COP MON ACI EGLE SJT SLV
GDX/PRINT=TW OTAIL NOSIG
/MISSING=PAIRW ISE.
0:00:00.032
0:00:00.048
[DataSetl]
Page I
Correlations
WMT
WMT
Pearson Correlation
JNJ
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
.168
.015
.002
.714
22
22
22
22
22
- 050
.792
.000
.523
.648
.339
.826
.013
.001
.123
22
22
22
22
22
22
-.304
- 050
-.219
.168
.826
22
22
.509
.523
.008
.116
22
22
22
22
-.219
.013
.327
22
22
22
.648
.345
.327
.015
.625
-.553
-.553
22
.530
-.229
.011
.306
22
22
.184
.530
.002
.001
.008
.011
22
22
22
22
22
22
- 083
.339
.345
-.229
.184
.714
.123
.116
.306
.412
22
22
22
22
22
-.027
.405
.654
.675
.412
.663
22
.443
.907
.061
.001
.039
22
22
22
22
22
Pearson Correlation
.239
- 067
Sig. (2-tailed)
.284
.767
.000
.162
.015
.004
22
22
22
22
22
22
Pearson Correlation
.667
.449
-.832
-.595
.309
.617
.512
.856
-.582
-.158
.001
.036
.004
.002
.000
.484
22
22
22
22
22
22
Pearson Correlation
.375
.025
Sig. (2-tailed)
.085
.911
.000
.136
.035
.003
22
22
22
22
22
22
Pearson Correlation
.076
-.333
.006
.331
Sig. (2-tailed)
.736
.130
.980
.133
N
CPN
WY
- 083
.001
Sig. (2-tailed)
TIE
INTC
.625
22
N
SIVB
22
NLY
.509
.001
N
HSY
EXC
-.304
.000
Sig. (2-tailed)
N
JNJ
.792
-.872
-.591
.004
.328
.452
-.600
-.469
.028
Page I
Correlations
WMT
Pearson Correlation
Sig. (2-tailed)
N
JNJ
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
.007
22
22
22
22
22
.025
-.333
.114
.449
.767
.036
.911
.130
.612
22
22
22
22
22
22
-.027
-.832
-.595
-.872
-.591
-.585
22
22
22
22
22
22
Pearson Correlation
.405
.309
.328
.006
.414
Sig. (2-tailed)
.061
.162
.002
.136
.980
.055
22
22
22
22
22
22
Pearson Correlation
Pearson Correlation
.663
.512
.617
.856
.452
.331
.521
.001
.015
.000
.035
.133
.013
22
22
22
22
22
22
.443
-.582
-.158
-.600
-.469
-.525
.039
.004
.484
.003
.028
.012
22
22
22
22
22
22
.021
.014
.084
.403
Pearson Correlation
.663
.928
.001
.951
.709
.063
22
22
22
22
22
22
Pearson Correlation
.021
Sig. (2-tailed)
.928
N
Pearson Correlation
Sig. (2-tailed)
N
22
.663
22
.670
.001
22
22
.000
.000
22
22
22
22
22
Sig. (2-tailed)
.951
.000
.004
22
22
22
.084
Sig. (2-tailed)
.709
.838
.000
.777
.000
.014
Pearson Correlation
.896
.838
.001
.670
.001
.896
Pearson Correlation
N
CPN
.736
.001
Sig. (2-tailed)
TIE
.085
.004
SIVB
.001
.004
Sig. (2-tailed)
HSY
COP
.554
.284
- 067
.675
CPN
.076
.000
PSEC
22
TIE
.375
.004
Sig. (2-tailed)
WY
.001
SIVB
.667
.000
N
INTC
HSY
.239
.907
N
NLY
PSEC
.654
.590
.005
.836
.004
.005
.000
22
22
22
.590
.573
.573
22
.674
.001
.674
.698
.001
.000
22
22
.788
.000
Page I
Correlations
WMT
Pearson Correlation
.011
22
22
22
22
22
22
Pearson Correlation
.142
.250
.118
.122
.078
.141
Sig. (2-tailed)
.529
.263
.602
.588
.729
.531
22
22
22
22
22
22
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
PSEC
-.922
-.527
-.723
.000
.006
.011
.000
.012
.000
22
22
22
22
22
22
-.147
.509
-.521
.407
.430
.503
.513
.016
.013
.060
.046
.017
22
22
22
22
22
22
-.225
.595
-.431
.582
.443
.466
.314
.004
.045
.004
.039
.029
22
22
22
22
22
22
.425
-.493
.386
-.466
-.600
-.663
.049
.020
.076
.029
.003
.001
22
22
22
22
22
22
-.248
.173
.322
.125
.099
.030
.265
.442
.144
.579
22
22
22
22
22
22
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
CPN
.529
Sig. (2-tailed)
TIE
-.563
.361
Sig. (2-tailed)
SIVB
.837
Pearson Correlation
N
HSY
GDX
.531
.016
WY
SLV
.506
.043
Sig. (2-tailed)
INTC
SJT
.436
.689
NLY
EGLE
- 090
.001
EXC
ACI
.665
.930
Sig. (2-tailed)
JNJ
MON
.020
Pearson Correlation
Sig. (2-tailed)
-.714
.463
.712
-.722
.885
.750
.810
.000
.000
.000
.000
.000
.000
22
22
22
22
22
22
-.220
.892
-.671
.724
.780
.709
.326
.000
.001
.000
.000
.000
22
22
22
22
22
22
-.797
.664
-.605
.950
.640
.824
.000
.001
.003
.000
.001
.000
22
22
22
22
22
22
-.365
.095
.669
.001
-.701
.000
.648
.001
.749
.000
.626
.002
Page I
Correlations
CPN
COP
Pearson Correlation
.521
WY
22
-.525
.055
.013
.012
22
22
22
22
Pearson Correlation
.020
.142
-.147
-.225
Sig. (2-tailed)
.930
.529
.000
.513
.314
.049
22
22
22
22
22
22
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
GDX
.414
INTC
22
.004
SLV
-.585
NLY
22
22
Sig. (2-tailed)
SJT
.114
EXC
22
.612
EGLE
22
22
ACI
.554
JNJ
.007
Sig. (2-tailed)
MON
WMT
22
Pearson Correlation
Sig. (2-tailed)
N
.665
.250
.837
-.563
.509
.595
.425
-.493
.001
.263
.006
.016
.004
.020
22
22
22
22
22
22
- 090
.118
.689
.602
.011
.013
.045
.076
22
22
22
22
22
22
.436
.122
.529
-.922
-.521
.407
-.431
.582
.386
-.466
.043
.588
.000
.060
.004
.029
22
22
22
22
22
22
.506
.078
-.527
.430
.443
-.600
.016
.729
.012
.046
.039
.003
22
22
22
22
22
22
.531
.141
-.723
.503
.466
-.663
.011
.531
.000
.017
.029
.001
22
22
22
22
22
22
Page I
Correlations
PSEC
22
HSY
22
SIVB
22
.777
.836
TIE
COP
22
COP
Pearson Correlation
.403
Sig. (2-tailed)
.063
.000
.000
.000
.000
22
22
22
22
22
22
N
MON
ACI
-.365
-.258
.099
.000
.326
.000
.095
.245
22
22
22
22
22
22
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
SJT
.892
.664
.669
.966
.030
.000
.000
.001
.001
.000
22
22
22
22
22
22
-.248
-.722
-.671
-.605
-.701
-.696
.265
.000
.001
.003
.000
.000
22
22
22
22
22
22
.173
Sig. (2-tailed)
.442
.000
.000
.000
.001
.000
22
22
22
22
22
22
.885
.750
.724
.144
.000
.000
.001
.000
.000
22
22
22
22
22
22
.626
.974
Pearson Correlation
.125
Sig. (2-tailed)
.579
.000
.000
.000
.002
.000
22
22
22
22
22
22
.824
.749
.750
Sig. (2-tailed)
.709
.640
.648
.322
.810
.780
.950
Pearson Correlation
N
GDX
.712
Pearson Correlation
N
SLV
.361
.463
-.797
.788
Sig. (2-tailed)
Pearson Correlation
-.220
.698
Pearson Correlation
-.714
22
CPN
22
CPN
.875
Page I
CPN
COP
Pearson Correlation
Sig. (2-tailed)
N
MON
MON
22
-.258
Pearson Correlation
Sig. (2-tailed)
N
EGLE
SLV
22
22
22
22
22
22
-.222
.377
.321
.084
.000
.329
.009
22
22
22
22
22
22
-.222
22
22
22
22
Sig. (2-tailed)
N
GDX
.321
.002
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
.875
.000
.084
.974
.000
Sig. (2-tailed)
Sig. (2-tailed)
GDX
22
.000
.377
Pearson Correlation
.750
SLV
22
.000
Pearson Correlation
N
SJT
-.696
22
.000
Sig. (2-tailed)
ACI
.966
SJT
.245
Pearson Correlation
Correlations
ACI
EGLE
22
22
-.767
-.630
.734
.000
.000
22
22
22
22
-.647
22
22
22
-.662
-.662
.001
.005
22
22
22
22
.000
.001
.000
22
22
22
22
-.581
.693
.842
.842
.000
.000
22
22
.693
.329
.869
-.581
.001
-.647
.001
-.546
.869
.000
.000
.948
.948
-.546
22
.000
-.218
-.218
.002
-.630
.734
-.767
.885
.000
22
.885
.009
.000
.005
.000
.000
22
22
22
22
22
22
1
22
Porter Stansberry Stocks Correlation Coefficients in a Bear Market

GET DATA /TYPE=XLSX
/FILE='R,\Cll\IQP\Correlation test\P.S Bear Market.xlsx'
/CELLRANGE=full
/READNAMES=on
/ASSUMEDSTRWIDTH=3
2767. CORRELATIONS
/VARIABLES=WMT JNJ EXC NLY INTC WY PSEC HSY SIVB TIE CPN COP MON ACI
EGLE S
JT SLV GDX
/MISSING=PAIRWISE.
Page I
Correlations
Correlations
Notes
Output Created
02-May-2011 19:59:46
Comments
Input
Active
Dataset
DataSet1
<none>
Filter
W eight
<none>
<none>
Split File
N of Rows in
W orking
Data File
Cases Used
Syntax
Resources
Processor Time
Elapsed Time
missing.
Statistics for each pair of
variables are based on all the
cases with valid data for that
pairCORRELATIONS
/VARIABLES=W MT JNJ EXC
NLY INTC WY PSEC HSY
SIVB TIE CPN COP MON ACI
EGLE SJT SLV GDX
/MISSING=PAIRW ISE.
0:00:00.046 0:00:00.039
[DataSetl]
Page I
Correlations
WMT
WMT
Pearson Correlation
Sig. (2-tailed)
N
JNJ
Pearson Correlation
Sig. (2-tailed)
N
EXC
19
.577
.010
19
.861
.449
.000
19
19
.283
.054
.001
19
19
19
Pearson Correlation
.237
Sig. (2-tailed)
.328
19
.861
.851
.000
19
.853
19
.054
19
.682
.000
19
19
.916
19
.000
.000
19
19
19
1
19
.657
.753
.002
.000
19
19
.657
.002
19
.753
19
.419
.000
.000
.000
.000
19
19
19
19
19
19
.939
19
.386
Sig. (2-tailed)
.103
.000
.000
.001
.000
.000
19
19
19
19
19
19
.256
Sig. (2-tailed)
.291
Pearson Correlation
Pearson Correlation
19
.595
.007
19
-.143
19
.946
.000
19
.673
.541
.017
19
.774
.000
19
.788
.376
.112
19
.369
.120
19
.874
.698
.001
19
.788
.000
19
.867
.750
.000
19
.823
.000
19
.917
.002
.000
.000
.000
.000
19
19
19
19
19
19
.465
Sig. (2-tailed)
.052
18
Pearson Correlation
.422
Sig. (2-tailed)
.072
.000
.891
.559
Pearson Correlation
.759
.790
Pearson Correlation
Pearson Correlation
.718
.939
.000
Sig. (2-tailed)
.908
.000
.895
.197
.865
.895
.853
.000
.001
.682
.916
.851
Pearson Correlation
Sig. (2-tailed)
MON
.419
19
.449
COP
.328
19
-.260
Pearson Correlation
Sig. (2-tailed)
CPN
.283
19
19
TIE
.132
19
.000
SIVB
.010
19
HSY
WY
.197
.132
PSEC
INTC
.237
Sig. (2-tailed)
WY
NLY
-.260
.358
Sig. (2-tailed)
INTC
EXC
.358
Pearson Correlation
N
NLY
19
JNJ
.577
19
.819
.000
18
.910
.000
19
.000
18
.986
.000
19
.953
.608
.007
18
.653
.002
19
.599
.949
.000
18
.926
.000
19
.899
.884
.000
18
.913
.000
19
Pearson Correlation
.418
Sig. (2-tailed)
.075
.000
.000
.007
.000
.000
19
19
19
19
19
19
.816
.952
.853
Page I
Correlations
WMT
Pearson Correlation
Sig. (2-tailed)
N
JNJ
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
PSEC
.386
HSY
.256
.103
.291
19
19
.865
.759
.000
19
.908
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
COP
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
Sig. (2-tailed)
N
CPN
.465
COP
.422
.007
.559
.052
.072
19
19
18
19
.946
.000
19
.541
.673
.000
19
.774
.819
.002
19
.788
.910
.000
18
.952
.000
19
.986
.017
.000
.000
.000
.000
19
19
19
19
18
19
.376
.369
.001
.112
.120
.000
.007
.002
19
19
19
19
18
19
.718
.790
.698
.000
19
.891
.788
.001
19
.750
.874
.608
.867
.000
19
.823
.653
.949
.000
19
.917
.926
.000
18
.884
.000
19
.913
.000
.000
.000
.000
.000
.000
19
19
19
19
18
19
Sig. (2-tailed)
HSY
TIE
-.143
.000
Pearson Correlation
SIVB
.595
19
.617
.801
.000
19
.765
.000
.000
.000
.000
19
19
18
19
.704
.642
.001
19
19
.704
.001
19
.642
19
.003
.004
19
19
18
.914
.000
19
.825
.508
.031
18
.593
.007
19
.478
19
.626
.780
.000
18
.855
.000
19
.778
.031
18
.780
19
.626
19
.000
.508
.003
.004
.000
.842
.914
19
.005
19
.842
.005
.617
.801
.765
1
19
18
.801
.000
19
.695
19
.000
19
.785
.000
.000
18
19
.000
18
.007
.855
.000
.801
.785
.593
.954
.000
18
18
.954
.000
18
.967
19
.959
.000
.039
.000
.001
.000
.000
19
19
19
19
18
19
Page I
Correlations
WMT
Pearson Correlation
Sig. (2-tailed)
N
JNJ
Pearson Correlation
Sig. (2-tailed)
N
EXC
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
WY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
HSY
Pearson Correlation
Sig. (2-tailed)
N
SIVB
Pearson Correlation
Sig. (2-tailed)
N
TIE
Pearson Correlation
Sig. (2-tailed)
N
CPN
Pearson Correlation
Sig. (2-tailed)
N
COP
Pearson Correlation
Sig. (2-tailed)
N
MON
Pearson Correlation
MON
.418
EGLE
.376
SJT
.615
SLV
- 054
GDX
-.184
.075
.036
.113
.005
.826
.451
19
19
19
19
19
19
.816
.821
.000
19
.953
.000
19
.959
.861
.000
19
.984
.923
.000
19
.882
.528
.020
19
.844
.422
.072
19
.744
.000
.000
.000
.000
.000
.000
19
19
19
19
19
19
.599
.562
.662
.477
.849
.793
.007
.012
.002
.039
.000
.000
19
19
19
19
19
19
.899
.862
.000
19
.853
.000
19
.803
.942
.000
19
.907
.757
.000
19
.807
.750
.000
19
.818
.735
.000
19
.696
.000
.000
.000
.000
.000
.001
19
19
19
19
19
19
.825
.833
.886
.917
.799
.597
.000
.000
.000
.000
.000
.007
19
19
19
19
19
19
.345
.219
.148
.367
.478
.039
19
.778
.427
.068
19
.771
.000
19
.695
.000
19
.644
.570
.011
19
.795
.000
19
.778
.558
.013
19
.920
.000
19
.618
19
.476
.040
19
.821
19
.321
.181
19
.734
.001
.003
.000
.005
.000
.000
19
19
19
19
19
19
.967
.966
.000
18
.959
.000
18
.962
.000
19
1
Sig. (2-tailed)
N
ACI
.484
19
.000
19
.984
.968
.000
18
.983
.000
19
.975
.835
.000
18
.924
.000
19
.842
.810
.000
18
.793
.000
19
.790
.759
.000
18
.692
.001
19
.749
.000
.000
.000
.000
.000
19
19
19
19
19
Page I
Correlations
ACI
Pearson Correlation
Sig. (2-tailed)
N
EGLE
SLV
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
INTC
.862
WY
.803
.000
.012
.000
.000
19
19
19
19
19
.113
NLY
.562
.000
.376
Sig. (2-tailed)
EXC
.959
19
Sig. (2-tailed)
Pearson Correlation
JNJ
.821
.036
Pearson Correlation
N
SJT
WMT
.484
19
.615
.861
.984
.000
.000
19
.923
19
.882
.662
.002
19
.477
.942
.000
19
.757
.907
.000
19
.807
.005
.000
.000
.039
.000
.000
19
19
19
19
19
19
- 054
.528
.844
.849
.750
.818
.826
.020
.000
.000
.000
.000
19
19
19
19
19
19
-.184
.422
.451
.072
.000
.000
.000
.001
19
19
19
19
19
19
.744
.793
.735
.696

Correlation
s
ACI
Pearson Correlation
Sig. (2-tailed)
N
EGLE
Pearson Correlation
Sig. (2-tailed)
N
SJT
Pearson Correlation
Sig. (2-tailed)
N
SLV
Pearson Correlation
Sig. (2-tailed)
N
GDX
Pearson Correlation
Sig. (2-tailed)
N
PSEC
.833
HSY
.427
SIVB
.771
TIE
.644
CPN
.966
COP
.962
.000
.068
.000
.003
.000
.000
19
19
19
19
18
19
.886
.000
19
.917
.570
.011
19
.558
.795
.000
19
.920
.778
.000
19
.618
.968
.000
18
.835
.983
.000
19
.924
.000
.013
.000
.005
.000
.000
19
19
19
19
18
19
.799
.345
.476
.821
.810
.793
.000
.148
.040
.000
.000
.000
19
19
19
19
18
19
.597
.219
.321
.007
.367
.181
.734
.000
.759
.000
.692
.001
19
19
19
19
18
19
Page I
ACI
Pearson Correlation
MON
.984
Sig. (2-tailed)
.000
N
EGLE
.975
Pearson Correlation
.000
19
19
.842
.000
Sig. (2-tailed)
Pearson Correlation
.790
Sig. (2-tailed)
.000
N
GDX
.870
.000
19
N
SLV
19
.749
Sig. (2-tailed)
1
19
.000
19
.862
19
.821
.000
19
.761
GDX
.716
.000
19
.761
.000
.000
.000
19
19
19
.631
.415
.004
19
.077
19
.631
19
.859
.004
19
.415
.000
19
19
.859
.000
.001
.000
.077
.000
19
19
19
19
19
.001
19
.821
.000
19
.716
SLV
.766
.000
.862
19
.766
19
Pearson Correlation
19
.970
.000
SJT
.870
.000
19
Pearson Correlation
Sig. (2-tailed)
SJT
Correlations
ACI
EGLE
1
.970
19
Breakfast Club Meeting Stocks Correlation Coefficients in a Bull Market
DATA /TYPE=XlSX
/FILE='R,\Cll\IQP\Cbrrelation test\Bull Market\Breakfast Club Bull Market.xlsx'

/CELLRANGE=full
/READNAME'S=on
ffiRREIATIOOS
/VARIABLES=TEF ANSS CCF DYSL

PNO !!:IT CJX
XCM WMB T
TEF
INIC MSFI EWZ
VZ
MrnFX
EWY 1HD CAG KFT TOR
MCD
liD
NLY PSEC C
WMT
/PRINT=1WOTAIL NOSIG
/MISSING=PAIRWISE.
Page I
Correlations
Correlations
Note
s
Output Created
25-May-2011 20:45:55
Comments
Input
Active Dataset
DataSet1
Filter
<none>
W eight
<none>
Split
<none>
File
N of Rows in
W orking
Data File
Missing
Definition of

Cases Used

Syntax
Resources
Processor Time
Elapsed Time
CORRELATIONS
/VARIABLES=TBF ANSS CCF
DYSL INTC MSFT EW2 MCHFX
EWY THO CAG KFT TUR MCD MO
NLY PSEC CPNO HGT CVX TOT
XOM WMB T TEF VZ TGT WMT
/MISSING=PAIRW ISE.
0:00:00.047 0:00:00.047
[DataSetl]
Page I
Correlations
TBF
TBF
Pearson Correlation
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
.003
.633
.006
20
20
20
20
20
20
-.347
.000
20
22
-.635
.000
.000
.041
22
22
22
22
.385
.003
.000
.077
.989
22
22
22
.796
.007
.839
22
.907
.907
.003
.000
.000
20
22
22
22
22
22
22
.003
.204
Pearson Correlation
Pearson Correlation
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
.440
.385
20
.588
.722
.440
.000
.026
Sig. (2-tailed)
CAG
-.584
22
.722
.077
THO
20
.839
.000
Sig. (2-tailed)
EWY
.134
.796
.633
Pearson Correlation
MSFT
.588
.007
Sig. (2-tailed)
MCHFX
INTC
.114
.114
Sig. (2-tailed)
EWZ
DYSL
-.635
Pearson Correlation
N
MSFT
CCF
-.584
.134
Sig. (2-tailed)
N
ANSS
-.347
.474
.026
.361
22
22
.474
22
.989
.361
.001
20
22
22
22
22
.640
.829
22
.644
.041
.768
.644
.001
.006
-.260
.204
.574
22
.604
.269
.000
.001
.000
.005
.003
20
22
22
22
22
22
-.640
.850
.872
.970
.545
.276
.002
.000
.000
.000
.009
.213
20
22
22
22
22
22
-.458
.943
.890
.917
.651
.333
.043
.000
.000
.000
.001
.130
20
22
22
22
22
22
-.726
.825
.942
.964
.444
.061
.000
.000
.000
.000
.038
.787
20
22
22
22
22
22
.165
.330
.464
.133
Pearson Correlation
.033
Sig. (2-tailed)
.889
.610
.003
.795
.000
.642
.001
Page I
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
OYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
EWZ
-.260
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
THO
-.726
CAG
.033
KFT
-.648
.002
.043
.000
.889
.002
20
20
20
20
20
20
.768
.850
.943
.825
.610
.793
.000
.000
.000
.000
.003
.000
22
22
22
22
22
22
.640
.872
.890
.942
.165
.879
.001
.000
.000
.000
.464
.000
22
22
22
22
22
22
.829
.970
.917
.964
.330
.871
.000
.000
.000
.000
.133
.000
22
22
22
22
22
22
.574
.545
.651
.444
.795
.576
.005
.009
.001
.038
.000
.005
22
22
22
22
22
22
.276
.333
.061
.003
.213
.130
.787
.001
.633
22
22
22
22
22
22
.604
Sig. (2-tailed)
MCHFX
EW Y
-.458
.269
Pearson Correlation
MCHFX
-.640
22
.868
.810
.000
.011
.001
22
22
22
22
22
.932
22
22
.964
.964
.038
.000
22
22
22
22
22
.923
.000
.000
22
22
22
.011
.038
.916
.000
.000
.445
.445
.000
.932
.000
.532
.666
.000
.000
.756
.532
22
.000
.810
.108
.000
.868
22
.756
.642
.455
.033
.923
.455
.890
.000
.033
.000
22
22
22
.314
.929
.155
.000
22
22
22
.314
.424
.155
.049
Page I
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
.000
.000
.001
.767
.004
.007
20
20
20
20
20
20
.731
.816
.864
.582
.557
.937
.000
.000
.000
.004
.007
.000
22
22
22
22
22
22
.375
.129
.801
.881
.922
.859
.000
.000
.000
.086
.568
.000
22
22
22
22
22
22
.906
.929
.947
.600
.166
.862
.000
.000
.000
.003
.461
.000
22
22
22
22
22
22
.542
.474
.498
.530
.663
.589
.004
22
22
22
22
22
22
Pearson Correlation
.199
.115
.127
Sig. (2-tailed)
.374
.610
.572
.037
.000
.374
22
22
22
22
22
22
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
CAG
CPNO
-.586
.001
THO
PSEC
.613
.011
Sig. (2-tailed)
EWY
NLY
.071
.018
MCHFX
MO
-.703
.026
EWZ
MCD
-.760
.009
Sig. (2-tailed)
MSFT
TUR
-.721
Pearson Correlation
Sig. (2-tailed)
.802
.729
.757
.446
.744
.815
.452
.199
.674
.000
.000
.000
.000
.035
.001
22
22
22
22
22
22
.946
.952
.964
.620
.228
.893
.000
.000
.000
.002
.307
.000
22
22
22
22
22
22
.844
.868
.929
.633
.421
.925
.000
.000
.000
.002
.051
.000
22
22
22
22
22
22
.917
.960
.983
.528
.107
.900
.000
.000
.000
.012
.637
.000
22
22
22
22
22
22
.462
.030
.430
.046
.404
.062
.459
.032
.625
.002
.522
.013
Page I
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
T
-.354
.000
.176
.000
.287
.653
.126
20
20
20
20
20
20
.897
.891
.009
.429
.933
.654
.000
.000
.970
.047
.000
.001
22
22
22
22
22
22
-.141
.415
.837
.839
.729
.799
.000
.000
.531
.055
.000
.000
22
22
22
22
22
22
-.157
.265
.874
.782
.689
.817
.000
.000
.485
.234
.000
.000
22
22
22
22
22
22
-.027
.145
.557
.493
.681
.254
.254
22
22
22
22
22
22
Pearson Correlation
.108
.273
Sig. (2-tailed)
.632
.218
.013
.307
.026
.423
22
22
22
22
22
22
.166
.225
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
CAG
W MB
-.107
.000
THO
XOM
.251
.520
Sig. (2-tailed)
EWY
TOT
730
.907
MCHFX
-.315
.020
EW2
cvx
.007
Sig. (2-tailed)
MSFT
HGT
-.735
Pearson Correlation
Sig. (2-tailed)
.686
.675
.519
.228
.472
.650
.180
.766
.000
.001
.459
.314
.001
.000
22
22
22
22
22
22
-.189
.178
.868
.763
.701
.803
.000
.000
.398
.429
.000
.000
22
22
22
22
22
22
- 020
.413
.888
.892
.855
.816
.000
.000
.930
.056
.000
.000
22
22
22
22
22
22
-.268
.220
.906
.793
.687
.817
.000
.000
.228
.325
.000
.000
22
22
22
22
22
22
.294
-.123
-.187
.184
.586
.404
.522
.013
.537
.010
.008
.972
Page I
Correlations
TBF
Pearson Correlation
Sig. (2-tailed)
N
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
.026
.683
20
20
20
20
-.646
.627
.829
.693
.001
.002
.000
.000
22
22
22
22
-.579
.728
.649
.510
.005
.000
.001
.015
22
22
22
22
-.390
.621
.792
.645
22
22
-.321
.196
.145
.382
.000
.002
22
22
22
22
Pearson Correlation
.126
.140
Sig. (2-tailed)
.578
.536
.031
.000
22
22
22
22
Pearson Correlation
Pearson Correlation
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
CAG
.642
22
Sig. (2-tailed)
THO
.149
22
EWY
WMT
.097
.001
MCHFX
TGT
-.495
.000
Sig. (2-tailed)
EWZ
-.111
.002
MSFT
vz
.073
Sig. (2-tailed)
INTC
TEF
.335
Pearson Correlation
Sig. (2-tailed)
- 083
.494
.793
.462
.768
.625
.757
.789
.713
.019
.000
.000
22
22
22
22
-.369
.582
.846
.705
.091
.004
.000
.000
22
22
22
22
-.557
.722
.833
.706
.007
.000
.000
.000
22
22
22
22
-.482
.626
.778
.557
.023
.002
.000
.007
22
22
22
22
-.223
-.111
.318
.624
.700
.000
.543
.009
Page I
Correlations
CAG
TBF
20
ANSS
22
CCF
22
DYSL
22
INTC
22
KFT
Pearson Correlation
-.648
.793
.879
.871
.576
Sig. (2-tailed)
N
TUR
Pearson Correlation
Sig. (2-tailed)
N
MCD
Pearson Correlation
Sig. (2-tailed)
N
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
.005
.633
22
22
22
-.721
.731
.801
.906
.542
.199
.000
.000
.000
.000
.009
.374
20
22
22
22
22
22
-.760
.816
.881
.929
.474
.115
.000
.000
.000
.000
.026
.610
20
22
22
22
22
22
-.703
.864
.922
.947
.498
.127
.001
.000
.000
.000
.018
.572
20
22
22
22
22
22
.086
.003
.011
.037
20
22
22
22
22
22
.129
.166
Pearson Correlation
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
XOM
.000
22
.004
TOT
.000
22
.767
Sig. (2-tailed)
cvx
.000
20
Sig. (2-tailed)
HGT
.002
.071
Sig. (2-tailed)
CPNO
.108
Pearson Correlation
N
PSEC
MSFT
22
.613
.582
.557
.375
.600
.530
.663
.446
.815
.004
.007
.568
.461
.001
.000
20
22
22
22
22
22
-.586
.937
.859
.862
.589
.199
.007
.000
.000
.000
.004
.374
20
22
22
22
22
22
-.735
.897
.837
.874
.557
.108
.000
.000
.000
.000
.007
.632
20
22
22
22
22
22
-.315
.891
.839
.782
.493
.273
.176
.000
.000
.000
.020
.218
20
22
22
22
22
22
.009
-.141
-.157
-.027
.000
.970
.531
.485
.907
.013
20
22
22
22
22
22
.415
.265
.145
.228
730
Pearson Correlation
.251
Sig. (2-tailed)
.287
.047
.055
.234
.520
.307
20
22
22
22
22
22
.429
.519
Page I
Correlations
'eNZ
CAG
KFT
Pearson Correlation
Sig. (2-tailed)
N
TUR
Pearson Correlation
Sig. (2-tailed)
N
MCD
Pearson Correlation
Sig. (2-tailed)
N
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
.916
'eNY
22
THO
22
CAG
22
KFT
22
.890
.929
.424
.001
.000
.000
.000
.049
22
22
22
22
22
.802
.946
.844
.917
.462
22
.904
.000
.000
.000
.000
.030
.000
22
22
22
22
22
22
.729
.952
.868
.960
.430
.922
.000
.000
.000
.000
.046
.000
22
22
22
22
22
22
.757
.964
.929
.983
.404
.949
.000
.000
.000
.000
.062
.000
22
22
22
22
22
22
.744
.620
.633
.528
.459
.470
.000
.002
.002
.012
.032
.027
22
22
22
22
22
22
.228
.421
.107
.035
.307
.051
.637
.002
.365
22
22
22
22
22
22
.452
.674
.893
.925
.900
.625
.522
.203
.883
.001
.000
.000
.000
.013
.000
22
22
22
22
22
22
.686
.868
.888
.906
.522
.834
.000
.000
.000
.000
.013
.000
22
22
22
22
22
22
.675
.763
.892
.793
.294
.739
.000
.000
.000
.184
.000
22
22
22
22
22
22
Pearson Correlation
.166
-.189
- 020
-.268
-.123
-.319
Sig. (2-tailed)
.459
.398
.930
.228
.586
.148
22
22
22
22
22
22
Pearson Correlation
.225
.178
.413
.220
-.187
.153
Sig. (2-tailed)
.314
.429
.056
.325
.404
.496
22
22
22
22
22
22
N
XOM
.666
MCHFX
22
.001
Sig. (2-tailed)
TOT
22
Page I
Correlations
CAG
KFT
Pearson Correlation
Sig. (2-tailed)
N
TUR
TUR
22
MCD
22
.904
.922
MCD
Sig. (2-tailed)
N
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
.027
.365
.000
22
22
22
22
HGT
22
22
22
22
22
.410
.099
.000
.058
.661
.000
22
22
22
22
22
.970
.970
.000
22
22
.410
22
.522
.117
.099
Sig. (2-tailed)
.606
22
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
XOM
.000
.000
.609
Pearson Correlation
Sig. (2-tailed)
N
.799
.522
.201
.916
.940
.013
.370
.000
22
22
22
.405
.459
.061
.032
22
22
22
.201
.405
.335
.661
.370
.061
22
22
22
.916
.940
.459
.127
22
22
.335
.000
.000
.000
.032
.127
22
22
22
22
22
.824
.799
.606
.000
.916
.117
.003
.911
22
.609
.000
Pearson Correlation
TOT
.916
.000
22
Sig. (2-tailed)
cvx
22
.911
22
.883
.000
22
Sig. (2-tailed)
.203
CPNO
22
22
.013
Pearson Correlation
PSEC
22
.000
.058
N
CPNO
.470
.003
N
PSEC
.949
NLY
22
22
Pearson Correlation
Pearson Correlation
22
.000
Sig. (2-tailed)
N
MO
.897
.919
.530
.210
22
.934
.000
.000
.000
.011
.348
.000
22
22
22
22
22
22
.593
730
.821
.428
.493
.851
.004
.000
.000
.047
.020
.000
22
22
22
22
22
22
-.327
-.379
-.244
.158
.138
.082
.274
.481
.002
.314
22
22
22
22
22
22
- 061
.093
.223
.115
.786
.681
.319
.611
.018
.199
22
22
22
22
22
22
.614
.500
-.225
.285
Page I
Correlations
CAG
KFT
Pearson Correlation
Sig. (2-tailed)
N
TUR
Pearson Correlation
Sig. (2-tailed)
N
MCD
Pearson Correlation
Sig. (2-tailed)
N
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
.739
-.319
.153
WMB
22
.702
T
22
.692
.000
.148
.496
.000
.000
22
22
22
22
22
22
-.327
- 061
.824
.593
.546
.715
.000
.004
.138
.786
.009
.000
22
22
22
22
22
22
-.379
.093
.897
730
.674
.682
.000
.000
.082
.681
.001
.000
22
22
22
22
22
22
-.244
.223
.919
.821
.753
.785
.000
.000
.274
.319
.000
.000
22
22
22
22
22
22
.158
.115
.530
.428
.432
.579
.011
.047
.481
.611
.045
.005
22
22
22
22
22
22
.348
.020
.002
.018
.000
.327
22
22
22
22
22
22
-.225
.285
Pearson Correlation
.934
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
.493
.851
.614
.500
.846
.219
.653
.000
.314
.199
.000
.001
22
22
22
22
22
22
-.301
.178
.000
.173
.428
.000
.002
22
22
22
22
22
.203
22
.793
.793
.000
.931
.616
.786
.000
.000
.000
22
22
22
.226
.213
.001
.312
.342
22
22
22
22
22
22
-.301
.203
.173
.364
22
22
.699
.699
.752
.364
22
Pearson Correlation
.178
Sig. (2-tailed)
.428
.000
.001
22
22
22
.713
.000
Pearson Correlation
XOM
XOM
22
.000
Sig. (2-tailed)
TOT
TOT
22
Sig. (2-tailed)
cvx
22
.210
Sig. (2-tailed)
HGT
.834
cvx
Pearson Correlation
N
CPNO
HGT
22
.668
.668
22
.631
.502
.002
.017
22
22
Page I
Correlations
CAG
KFT
Pearson Correlation
Sig. (2-tailed)
N
TUR
Pearson Correlation
Sig. (2-tailed)
N
MCD
Pearson Correlation
Sig. (2-tailed)
N
MO
Pearson Correlation
Sig. (2-tailed)
.012
.008
.000
.002
22
22
22
22
-.223
.389
.318
.074
.000
.002
22
22
22
22
-.482
.488
.852
.820
.619
.590
.023
.021
.000
.004
22
22
22
22
-.542
.619
.787
.607
22
22
Pearson Correlation
.001
.341
Sig. (2-tailed)
.996
.120
.004
.015
22
22
22
22
-.301
.379
.349
.173
.082
.111
.001
22
22
22
22
Pearson Correlation
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
-.707
.608
.585
.788
.509
.654
.583
.000
.003
.000
.004
22
22
22
22
-.629
.469
.793
.434
.002
.028
.000
.044
22
22
22
22
-.731
.852
.579
.580
.000
.000
.005
.005
22
22
22
22
Pearson Correlation
.102
.406
-.299
.281
Sig. (2-tailed)
.653
.061
.177
.205
22
22
22
22
- 015
.310
Sig. (2-tailed)
N
N
XOM
.614
22
TOT
.805
22
Sig. (2-tailed)
cvx
WMT
22
.003
HGT
.553
TGT
22
.000
Sig. (2-tailed)
CPNO
22
.002
N
PSEC
-.527
vz
.009
N
NLY
TEF
22
Pearson Correlation
Sig. (2-tailed)
N
-.522
.828
.013
.000
.948
.161
22
22
22
22
Page I
Correlations
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
DYSL
.689
INTC
.681
MSFT
.472
.653
.000
.000
.000
.000
.026
20
22
22
22
22
22
.254
.180
-.354
.654
.799
.817
.126
.001
.000
.000
.254
.423
20
22
22
22
22
22
-.390
-.321
.126
Sig. (2-tailed)
.149
.001
.005
.073
.145
.578
20
22
22
22
22
22
.196
.140
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
WMT
CCF
.729
.335
Pearson Correlation
TGT
ANSS
.933
Pearson Correlation
vz
TBF
-.107
-.111
-.646
.627
-.579
.728
.621
.642
.002
.000
.002
.382
.536
20
22
22
22
22
22
-.495
.829
.649
.792
.793
.462
.026
.000
.001
.000
.000
.031
20
22
22
22
22
22
Pearson Correlation
.097
Sig. (2-tailed)
.683
.000
.015
.001
.002
.000
20
22
22
22
22
22
.693
.510
.645
.625
.757
Page I
Correlations
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
Pearson Correlation
Sig. (2-tailed)
N
EW Z
.650
MCHFX
.701
EW Y
.855
THO
.687
CAG
.537
KFT
.702
.001
.000
.000
.000
.010
.000
22
22
22
22
22
22
.766
.803
.816
.817
.008
.692
.000
.000
.000
.000
.972
.000
22
22
22
22
22
22
- 083
-.369
.713
.091
.007
.023
.318
.012
22
22
22
22
22
22
.494
.582
-.557
.722
-.482
.626
-.223
-.111
-.527
.553
.019
.004
.000
.002
.624
.008
22
22
22
22
22
22
.768
.846
.833
.778
.700
.805
.000
.000
.000
.000
.000
.000
22
22
22
22
22
22
.789
.705
.706
.557
.543
.614
.000
.000
.000
.007
.009
.002
22
22
22
22
22
22
Page I
Correlations
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
MO
.753
NLY
.432
PSEC
.713
CPNO
.846
.009
.001
.000
.045
.000
.000
22
22
22
22
22
22
.715
.682
.785
.579
.219
.653
.000
.000
.000
.005
.327
.001
22
22
22
22
22
22
.001
-.301
-.223
-.482
-.542
-.707
.318
.023
.009
.996
.173
.000
22
22
22
22
22
22
.341
.379
.389
Sig. (2-tailed)
.074
.021
.002
.120
.082
.003
22
22
22
22
22
22
Pearson Correlation
Sig. (2-tailed)
N
WMT
MCD
.674
Pearson Correlation
N
TGT
TUR
.546
Pearson Correlation
Sig. (2-tailed)
N
.852
.488
.820
.619
.787
.585
.349
.608
.788
.000
.000
.000
.004
.111
.000
22
22
22
22
22
22
.619
.590
.607
.509
.654
.583
.002
.004
.003
.015
.001
.004
22
22
22
22
22
22
Page I
Correlations
HGT
WMB
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
Pearson Correlation
Sig. (2-tailed)
N
.752
cvx
.931
TOT
.226
XOM
.000
.000
.312
.002
22
22
22
22
.616
.786
.213
WMB
.631
.502
T
1
.003
22
.000
.342
.017
.003
22
22
22
22
22
-.731
.102
-.522
22
.607
.002
-.629
.607
-.736
22
-.264
.002
.000
.653
.013
.000
.235
22
22
22
22
22
22
.469
.852
.406
.828
.718
.847
.028
.000
.061
.000
.000
.000
22
22
22
22
22
22
-.299
- 015
.793
.579
.649
.505
.000
.005
.177
.948
.001
.016
22
22
22
22
22
22
.281
.310
.434
.580
.684
.583
.044
.005
.205
.161
.000
.004
22
22
22
22
22
22
Page I
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Correlations
TGT
.718
.649
vz
TEF
-.736
.000
.000
.001
.000
22
22
22
22
-.264
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
Pearson Correlation
Sig. (2-tailed)
N
.505
.583
.000
.016
.004
22
22
22
22
Sig. (2-tailed)
vz
.847
.235
Pearson Correlation
WMT
.684
22
-.551
-.551
-.285
-.130
.008
.199
.563
22
22
22
.275
.008
.216
.016
22
22
22
22
-.285
.275
.199
.216
22
22
-.130
.508
.508
.709
.000
22
.709
.563
.016
.000
22
22
22
22
1
22
Breakfast Club Meeting Stocks Correlation Coefficients in a Bear Market

GET DATA /TYPE=XLSX
/FILE='R,\Cll\IQP\Correlation test\Breakfast Bear Market.xlsx'
/CELLRANGE=full
/READNAMES=on
/ASSUMEDSTRWIDTH=3
2767. CORRELATIONS
/VARIABLES=ANSS CCF DYSL INTC MSFT EWZ MCHFX EWY THD CAG KFT TUR MCD MO
NLY PSEC CPNO HGT CVX TOT XOM WMB T TEF VZ TGT WMT
/MISSING=PAIRWISE.
Page I
Correlations
Correlations
Notes
Output Created
11-May-2011 15:04:47
Comments
Input
Active Dataset
DataSet1
Filter
<none>
W eight
<none>
Split
<none>
File
N of Rows in
W orking
Data File
Missing
Definition of
Cases Used
Syntax
Resources
Processor Time
Elapsed Time
missing. Statistics for each
pair of variables are based
on all the cases with valid
data for that pair

CORRELATIONS/VARIAB
LES=ANSS CCF DYSL
INTC MSFT EW2 MCHFX
EW Y THO CAG KFT TUR
MCD MO NLY PSEC
CPNO HGT CVX TOT
XOM WMB T TEF VZ TGT
WMT /PRINT=TW OTAIL
NOSIG
/MISSING=PAIRW ISE.
0:00:00.094
0:00:00.093
[DataSetl]
Page I
Correlations
ANSS
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
N
TUR
Pearson Correlation
Sig. (2-tailed)
N
CCF
.753
DYSL
.901
.000
18
18
.753
.000
18
.901
18
.000
18
18
.940
.000
18
.867
.873
18
.853
18
18
18
.924
.000
18
.910
.910
.000
.000
18
18
18
.924
.842
.842
.000
18
.934
.954
.000
.000
18
18
.934
.000
18
.954
18
.000
.000
.000
18
18
18
18
18
.906
.968
18
.880
.000
.952
.880
.000
.000
.874
18
.853
18
18
18
18
.952
.000
18
.000
.913
.000
.000
18
.000
.913
.000
.000
.000
18
'eNZ
.000
18
.952
.000
.873
.000
.819
MSFT
.819
.000
.867
.000
INTC
.940
.975
18
.954
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.835
.925
.884
.948
.942
.968
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.869
.000
15
.836
.918
.000
15
.870
.850
.000
15
.867
.932
.000
15
.948
.933
.000
15
.920
.972
.000
15
.949
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.822
.780
.820
.819
.827
730
.000
.000
.000
.000
.000
.001
18
18
18
18
18
18
.946
.912
.890
.982
.951
.935
.000
.000
.000
.000
.000
.000
15
15
15
15
15
15
Page I
Correlations
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
OYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
MCHFX
.874
.000
18
.952
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
N
TUR
Pearson Correlation
Sig. (2-tailed)
N
.000
18
.925
CAG
.836
.000
15
.918
KFT
.822
.000
18
.870
TUR
.946
.000
18
.780
.000
15
.912
.000
.000
.000
.000
.000
18
18
15
18
18
15
.906
.884
.850
.867
.820
.890
.000
.000
.000
.000
.000
.000
18
18
15
18
18
15
.968
.948
.932
.948
.819
.982
.000
.000
.000
.000
.000
.000
18
18
15
18
18
15
.975
.942
.000
18
.954
.933
.000
18
.968
.920
.000
15
.972
.827
.000
18
.949
.951
.000
18
730
.000
15
.935
.000
.000
.000
.000
.001
.000
18
18
15
18
18
15
Sig. (2-tailed)
EWY
THO
.869
.835
.000
Pearson Correlation
EWY
18
.981
.967
.000
15
.954
.000
.000
18
15
18
18
15
18
.990
.972
.000
.001
.000
18
18
15
.000
15
.980
.713
.000
15
15
.980
.000
.000
18
18
15
.730
.713
18
.001
.003
.000
18
18
15
18
.937
.929
.960
.929
.003
15
.775
.000
15
.960
.000
.000
18
15
.775
.000
.961
.937
15
.990
.972
730
.000
.000
.809
.961
.000
.000
.967
.809
.000
.981
18
.954
.000
.813
.000
18
.813
.000
.000
.000
.000
.000
15
15
15
15
15
15
1
15
Page I
Correlations
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
18
18
18
18
Pearson Correlation
.256
.441
Sig. (2-tailed)
.304
.067
.006
.000
.000
.000
18
18
18
18
18
18
Sig. (2-tailed)
.295
.047
.006
.000
.000
.000
18
18
18
18
18
18
Sig. (2-tailed)
.608
.678
.002
.744
.000
.861
.000
.939
.000
.812
.000
18
18
.436
Sig. (2-tailed)
.568
.070
.002
.000
.000
.000
18
18
18
18
18
18
.121
.633
.006
.000
.000
.000
.000
18
18
18
18
18
18
.049
Sig. (2-tailed)
.847
.008
.000
.000
.000
.000
18
18
18
18
18
18
.386
Sig. (2-tailed)
.155
15
.892
.000
15
.000
15
.000
15
.000
15
.000
15
.544
.030
.002
.000
.000
.000
18
18
18
18
18
18
N
Pearson Correlation
Sig. (2-tailed)
N
.491
.912
.953
.797
Sig. (2-tailed)
.374
.825
.945
.153
.523
.687
.800
.785
Pearson Correlation
Pearson Correlation
.512
.795
.968
.854
Pearson Correlation
Pearson Correlation
.839
.980
18
.848
Sig. (2-tailed)
.779
.882
.957
Pearson Correlation
.604
.752
.808
18
.874
.144
.668
18
.960
Pearson Correlation
.617
18
.829
.902
.261
.130
.621
.939
.784
Pearson Correlation
Pearson Correlation
.474
.871
.927
18
18
.616
.900
18
18
Sig. (2-tailed)
TUR
18
.000
N
KFT
18
.852
.000
.000
N
CAG
18
.779
.000
.000
N
THO
18
.000
.000
N
EWY
.054
HGT
.935
.000
N
MCHFX
.306
CPNO
.873
.922
N
EWZ
.058
PSEC
.784
Sig. (2-tailed)
N
MSFT
NLY
.461
.025
N
INTC
MO
.256
Pearson Correlation
N
DYSL
MCD
.454
.826
.778
.904
.026
.127
.038
.000
.000
.000
18
18
18
18
18
18
.569
.944
.615
.797
.938
.862
.027
.000
.015
.000
.000
.000
15
15
15
15
15
15
Page I
Correlations
cvx
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EW2
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
N
TUR
Pearson Correlation
Sig. (2-tailed)
N
.921
.000
18
.828
TOT
.922
.000
18
.886
XOM
.757
.000
18
.890
W MB
.917
.000
18
.912
T
.768
.000
18
.931
TEF
.805
.000
18
.957
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.922
.946
.877
.954
.868
.883
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.902
.953
.801
.951
.880
.922
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.844
.000
18
.911
.895
.000
18
.981
.831
.000
18
.832
.913
.000
18
.969
.909
.000
18
.891
.953
.000
18
.925
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.900
.959
.869
.968
.942
.975
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.871
.955
.854
.951
.941
.976
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.880
.000
15
.836
.952
.000
15
.924
.820
.000
15
.805
.931
.000
15
.920
.917
.000
15
.893
.975
.000
15
.943
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.844
.784
.800
.826
.764
.762
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.848
.914
.724
.916
.814
.921
.000
.000
.002
.000
.000
.000
15
15
15
15
15
15
Page I
Correlations
vz
ANSS
Pearson Correlation
Sig. (2-tailed)
N
CCF
Pearson Correlation
Sig. (2-tailed)
N
DYSL
Pearson Correlation
Sig. (2-tailed)
N
INTC
Pearson Correlation
Sig. (2-tailed)
N
MSFT
Pearson Correlation
Sig. (2-tailed)
N
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
CAG
Pearson Correlation
Sig. (2-tailed)
N
KFT
Pearson Correlation
Sig. (2-tailed)
N
TUR
Pearson Correlation
Sig. (2-tailed)
N
.753
.000
18
.927
TGT
.858
.000
18
.875
WMT
.640
.004
18
.158
.000
.000
.531
18
18
18
.854
.827
.454
.000
.000
.058
18
18
18
.866
.947
.448
.000
.000
.062
18
18
18
.898
.000
18
.848
.945
.000
18
.906
.272
.275
18
.358
.000
.000
.145
18
18
18
.916
.954
.317
.000
.000
.200
18
18
18
.914
.940
.224
.000
.000
.371
18
18
18
.891
.000
15
.852
.913
.000
15
.947
.585
.022
15
.278
.000
.000
.265
18
18
18
.724
.830
.610
.001
.000
.007
18
18
18
.818
.954
.732
.000
.000
.002
15
15
15
Page I
Correlations
MCD
Pearson Correlation
Sig. (2-tailed)
N
MO
.608
.568
18
18
.779
18
18
18
18
Pearson Correlation
.461
.054
.000
.006
.006
.000
.002
18
18
18
18
18
18
Pearson Correlation
Pearson Correlation
Pearson Correlation
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
Pearson Correlation
Sig. (2-tailed)
N
.784
.900
.871
.829
.744
.436
Sig. (2-tailed)
Pearson Correlation
.621
.678
18
18
.616
.474
18
18
.852
.441
18
18
TEF
.295
.070
Sig. (2-tailed)
.304
.002
WMB
.922
.047
Sig. (2-tailed)
XOM
.058
.067
TOT
EWZ
.144
.000
Sig. (2-tailed)
cvx
MSFT
.130
.306
HGT
INTC
.261
Sig. (2-tailed)
Sig. (2-tailed)
CPNO
DYSL
.256
.256
N
PSEC
CCF
.025
Pearson Correlation
N
NLY
ANSS
.454
.861
.668
.808
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.873
.000
18
.935
.927
.000
18
.784
.939
.000
18
.902
.960
.000
18
.874
.939
.000
18
.812
.957
.000
18
.848
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.921
.828
.922
.902
.844
.911
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.922
.886
.946
.953
.895
.981
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.757
.000
18
.917
.890
.000
18
.912
.877
.000
18
.954
.801
.000
18
.951
.831
.000
18
.913
.832
.000
18
.969
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.768
.931
.868
.880
.909
.891
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.805
.957
.883
.922
.953
.925
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
Page I
Correlations
MCD
Pearson Correlation
Sig. (2-tailed)
N
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
N
TOT
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
.121
'eNY
.049
THO
.386
CAG
.153
.633
.847
.155
.544
18
.617
18
.604
15
.892
18
.512
KFT
.523
.026
18
.374
TUR
.569
.027
15
.944
.006
.008
.000
.030
.127
.000
18
18
15
18
18
15
.752
.779
.795
.687
.491
.615
.000
.000
.000
.002
.038
.015
18
18
15
18
18
15
.882
.839
.800
.825
.912
.797
.000
.000
.000
.000
.000
.000
18
18
15
18
18
15
.980
.000
18
.854
.968
.000
18
.785
.945
.000
15
.797
.953
.000
18
.778
.826
.000
18
.904
.938
.000
15
.862
.000
.000
.000
.000
.000
.000
18
18
15
18
18
15
.900
.871
.880
.836
.844
.848
.000
.000
.000
.000
.000
.000
18
18
15
18
18
15
.959
.955
.952
.924
.784
.914
.000
.000
.000
.000
.000
.000
18
18
15
18
18
15
.869
.000
18
.968
.854
.000
18
.951
.820
.000
15
.931
.805
.000
18
.920
.800
.000
18
.826
.724
.002
15
.916
.000
.000
.000
.000
.000
.000
18
18
15
18
18
15
.942
.941
.917
.893
.764
.814
.000
.000
.000
.000
.000
.000
18
18
15
18
18
15
.975
.976
.975
.943
.762
.921
.000
.000
.000
.000
.000
.000
18
18
15
18
18
15
Page I
Correlations
MCD
MCD
Pearson Correlation
Sig. (2-tailed)
N
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
.680
.100
18
18
-.370
.130
18
-.159
18
18
.857
.000
18
18
.105
Sig. (2-tailed)
.680
.567
.014
18
.286
.022
.014
.249
18
18
18
18
18
18
Pearson Correlation
.535
18
.567
.000
.857
.529
18
.535
.001
.717
.001
446
.001
.063
18
18
18
.717
.714
.714
.001
18
.893
.880
.000
.000
18
18
.893
.000
.000
18
18
18
400
.286
446
Sig. (2-tailed)
.100
.249
.063
.000
.000
18
18
18
18
18
Pearson Correlation
.340
.338
Sig. (2-tailed)
.168
.170
.008
.000
.000
.000
18
18
18
18
18
18
Pearson Correlation
.204
447
Sig. (2-tailed)
418
.063
.002
.000
.000
.000
18
18
18
18
18
18
Pearson Correlation
.216
Sig. (2-tailed)
.390
18
.514
.029
18
492
.601
.680
.769
.000
18
.880
.903
.862
.940
.000
18
18
.911
.960
.871
.000
18
18
.940
.889
.820
.000
18
Sig. (2-tailed)
.505
.038
.002
.000
.000
.000
18
18
18
18
18
18
Pearson Correlation
.084
.739
.008
.000
.000
.000
.000
18
18
18
18
18
18
.884
.948
.790
Pearson Correlation
.091
Sig. (2-tailed)
.718
.003
.000
.000
.000
.000
18
18
18
18
18
18
.821
.930
.927
Sig. (2-tailed)
.658
.921
.982
.168
.808
.900
18
.880
Pearson Correlation
.601
.681
18
.880
Pearson Correlation
N
TEF
.237
18
N
T
.529
.022
N
WMB
.130
18
N
XOM
HGT
400
.237
N
TOT
CPNO
.105
Sig. (2-tailed)
cvx
PSEC
.293
.293
N
HGT
NLY
-.159
Pearson Correlation
N
CPNO
MO
-.370
.782
Page I
Correlations
cvx
MCD
Pearson Correlation
.340
TOT
.204
XOM
.216
WMB
.168
T
.084
TEF
.091
Sig. (2-tailed)
.168
.418
.390
.505
.739
.718
N
MO
18
18
Pearson Correlation
.338
.447
Sig. (2-tailed)
.170
.063
.029
.038
.008
.003
18
18
18
18
18
18
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
.601
.680
TOT
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
.681
18
.601
18
.658
.808
.821
.002
.000
.002
.000
.000
18
18
18
18
18
18
.903
.862
.940
.900
.921
.884
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.911
.960
.000
18
.940
.871
.000
18
.889
.982
.000
18
.820
.930
.000
18
.927
.948
.000
18
.790
.000
18
.782
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
Pearson Correlation
Pearson Correlation
.769
18
.492
.008
Sig. (2-tailed)
N
18
.514
18
.960
.928
.000
18
.957
.000
.000
18
18
18
18
18
18
.905
.985
.000
.000
.000
18
18
18
.000
18
.902
.953
.000
18
18
.902
.000
.000
18
18
18
.928
.953
18
.000
.000
.000
18
18
18
18
.939
.902
.935
.902
.000
18
.926
.000
18
.935
.000
.000
18
18
.926
.000
.874
.939
18
.905
.985
.928
.000
.000
.912
.874
.000
.000
.928
.912
.000
.960
18
.957
.000
.965
.000
18
.965
.000
.000
.000
.000
.000
18
18
18
18
18
18
1
18
Page I
Correlations
vz
MCD
Pearson Correlation
.141
TGT
.215
Sig. (2-tailed)
.578
.391
N
MO
Pearson Correlation
Sig. (2-tailed)
N
NLY
Pearson Correlation
Sig. (2-tailed)
N
PSEC
Pearson Correlation
Sig. (2-tailed)
N
CPNO
Pearson Correlation
Sig. (2-tailed)
N
HGT
Pearson Correlation
Sig. (2-tailed)
N
cvx
Pearson Correlation
Sig. (2-tailed)
N
TOT
Pearson Correlation
Sig. (2-tailed)
N
XOM
Pearson Correlation
Sig. (2-tailed)
N
WMB
Pearson Correlation
Sig. (2-tailed)
N
T
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
18
.650
18
.558
WMT
.749
.000
18
-.373
.003
.016
.127
18
18
18
.846
.685
-.190
.000
.002
.451
18
18
18
.874
.852
.451
.000
.000
.060
18
18
18
.881
.000
18
.728
.935
.000
18
.820
.351
.154
18
.686
.001
.000
.002
18
18
18
.874
.835
.572
.000
.000
.013
18
18
18
.899
.881
.403
.000
.000
.097
18
18
18
.932
.000
18
.879
.764
.000
18
.905
.332
.178
18
.422
.000
.000
.081
18
18
18
.969
.868
.274
.000
.000
.272
18
18
18
.953
.917
.222
.000
.000
.375
18
18
18
Page I
Correlations
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
Pearson Correlation
Sig. (2-tailed)
N
ANSS
.753
.000
18
.858
CCF
.927
DYSL
.854
.000
.000
18
.875
18
.827
INTC
.866
.000
18
.947
MSFT
.898
.000
18
.945
EW Z
.848
.000
18
.906
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.640
.158
.454
.448
.272
.358
.004
.531
.058
.062
.275
.145
18
18
18
18
18
18
Correlation
s
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
MCHFX
.916
EWY
.914
THO
.891
CAG
.852
KFT
.724
TUR
.818
.000
.000
.000
.000
.001
.000
18
18
15
18
18
15
.954
.000
.940
.913
.000
.000
.000
.000
.000
18
18
.224
Sig. (2-tailed)
.200
.371
.022
.265
.007
.002
18
18
15
18
18
15
.278
18
.954
.317
.585
18
.830
Pearson Correlation
15
.947
.610
15
.732
**.Correlation is significant at the 0.01 level (2-tailed).

Correlation
s
vz
Pearson Correlation
Sig. (2-tailed)
N
TGT
MO
.650
NLY
.846
PSEC
.874
CPNO
.881
HGT
.728
.578
.003
.000
.000
.000
.001
18
18
18
18
18
18
Pearson Correlation
.215
Sig. (2-tailed)
.391
.016
.002
.000
.000
.000
18
18
18
18
18
18
-.373
-.190
.451
.351
.000
.127
.451
.060
.154
.002
18
18
18
18
18
18
N
WMT
MCD
.141
Pearson Correlation
Sig. (2-tailed)
N
.749
.558
.685
.852
.935
.820
.686
Page I
cvx
vz
Pearson Correlation
Sig. (2-tailed)
.874
Pearson Correlation
Sig. (2-tailed)
Pearson Correlation
Sig. (2-tailed)
WMB
.932
.879
TEF
.969
.953
.000
.000
.000
.000
.000
18
18
18
18
18
18
.835
.881
.764
.905
.868
.917
.000
.000
.000
.000
.000
.000
18
18
18
18
18
18
.403
.332
.422
.274
.222
.013
.097
.178
.081
.272
.375
18
18
18
18
18
18
WMT
XOM
.899
.000
TGT
Correlations
TOT
.572

Correlation
s
vz
vz
TGT
1
Pearson Correlation
Sig. (2-tailed)
N
TGT
Pearson Correlation
Sig. (2-tailed)
N
WMT
WMT
.833
.216
.000
18
.833
.389
18
18
.384
.000
.115
18
18
18
Pearson Correlation
.216
.384
Sig. (2-tailed)
.389
.115
18
18
18
**.Correlation is significant at the 0.01 level (2-tailed).
Foreign Stocks Correlation Coefficients in a Bull Market
DATA /TYPE=XlSX
/FILE='R,\Cll\IQP\Cbrrelation test\Bull Market\Foreign Stocks in a bull market.xlsx'

/CELLRANGE=full
/READNAME'S=on
ffiRREIATIOOS
/VARIABLES=EWZ MrnFX EWY THD TEF TOR
/PRINT=1WOTAIL NC\SIG
150
/MISSING=PAIRWISE.
Correlations
Correlations
Note
s
Output Created
25-May-2011 20:53:29
Comments
Input
Active Dataset
DataSet1
Filter
<none>
W eight
<none>
Split
<none>
File
22
N of Rows in
W orking
Data File
Missing
Definition of
Cases Used
Syntax
Resources
Processor Time
Elapsed Time

CORRELATIONS
/VARIABLES=EW 2 MCHFX
EWY THDTEFTUR
/MISSING=PAIRW ISE.
0:00:00.016
0:00:00.016
[DataSetl]
150
Correlations
Correlation
s
EW Z
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
22
Pearson Correlation
Sig. (2-tailed)
N
EWY
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
TUR
Pearson Correlation
Sig. (2-tailed)
N
**. Correlation
TEF
- 083
.713
.000
22
22
22
22
22
.932
.964
.000
22
22
.932
.000
22
22
.964
22
-.369
.000
22
22
22
22
22
22
- 083
-.369
.713
.091
.007
.023
22
22
22
22
-.482
22
-.482
.917
.917
.023
.000
22
22
-.223
.318
22
22
-.223
.000
.000
.000
.000
.318
22
22
22
22
22
1s s1gn1f1cant at the 0.01 level (2-talled).
Foreign Stocks Correlation Coefficients in a Bear Market

GET DATA /TYPE=XLSX
/FILE='R,\Cll\IQP\Correlation test\F.D Bear Market.xlsx'
/SHEET=name 'Sheet2'
/CELLRANGE=full
/READNAMES=on
/ASSUMEDSTRWIDTH=32767
. CORRELATIONS
/VARIABLES=EWZ MCHFX EWY THD TEF
/MISSING=PAIRWISE.
15
22
.844
.000
.000
.844
.000
.007
.000
.946
22
-.557
.946
.000
.923
-.557
.091
22
.923
.000
.802
TUR
.802
.000
.000
.756
THO
.756
.000
.000
.810
EWY
.810
.000
.868
22
Pearson Correlation
MCHFX
.868
22
Correlations
Correlations
Notes
Output Created
11-May-2011 20:07:11
Comments
Input
Active
Dataset
DataSet1
<none>
Filter
W eight
<none>
<none>
Split
File
N of Rows in
W orking
Data File
Cases Used
20
CORRELATIONS
/VARIABLES=EW 2 MCHFX EWY
THO TEF
/MISSING=PAIRW ISE.
Syntax
0:00:00.000
Resources
Processor Time
0:00:00.036
Elapsed Time
[DataSetl]
16
Correlations
Correlation
s
EWZ
EWZ
Pearson Correlation
Sig. (2-tailed)
N
MCHFX
Pearson Correlation
Sig. (2-tailed)
N
EWY
Pearson Correlation
Sig. (2-tailed)
N
THO
Pearson Correlation
Sig. (2-tailed)
N
TEF
Pearson Correlation
Sig. (2-tailed)
N
**.
20
MCHFX
EWY
THO
TEF
.931
.953
.970
.900
.000
.000
.000
.000
20
20
16
20
.931
.000
20
.953
.000
20
.970
20
.983
.964
.000
.000
.000
20
16
20
.983
.000
20
.964
20
.977
16
.990
.000
.000
16
16
16
.978
.990
.000
.000
.900
.978
.977
16
.975
.000
.000
.000
20
20
20
16
20
.975
.000
.000
Correlation 1s s1gn1f1cant at the 0.01 level (2-talled).
.000
16
1
20

Trading System For Limited Investors

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Trading System For Limited Investors

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Computerized Stock Trading System

An Interactive Qualifying Project Report

May 30, 2011

Fundamental Analysis, Value Investing and Growth Investing..8

3.3 Charlie Wright....11

4.3.2.3 Porter Stansberry Stocks Correlation in a Bull Market....27

2. Introduction and Statement of the Problem

suggestions to improve their performance. We collected the Clubs historical trading

3. Background Research & Literature Review

3.2.5 Average True Range (ATR)

Charlie Wright is an experienced trader and author of Trading as a Business. His

Karl Pearson and Pearson Correlation Coefficient

3.4.1 Test of Significance

3.6.2 Entry Strategies

Trading Strategy Analysis for Limited Investors

4.2 Equity Curve

Figure 4 : Limited Investors (blue) vs S&P 500 (red)

4.3 Correlation Analysis

Table 1: Limited Investors Current Portfolio Correlation Coefficients

Figure 5: TEF vs THD

Figure 7: Transition to Bear Market in October 2000

Highly Positively Correlated

Moderately Positively Correlated

Slightly Positively Correlated

Slightly Negatively Correlated

Moderately Negatively Correlated

Highly Negatively Correlated

Table 4: Current Portfolio Correlation in a Bear Market (partial)

4.3.2.3 Porter Stansberry Stocks Correlation in a Bull Market

As it is shown in the correlation matrix, the correlations between Porter

Compared with Porter Stansberry correlation coefficients in a Bull market, its

4.3.3 Foreign and Domestic Stocks Correlation

4.4 Expectancy of Limited Investors

4.5 Creating a Trading System with Tradestation

4.5.1 Entry Strategy

4.5.2 Exit Strategy

This screenshot is an example of how Tradestation is used to back test a strategy in

Figure 11: Optimization Process

4.5.2.2 Profit Maximizing Rule ATR

Sell next bar at EntryPrice + FrATR * ATR limit;

Table 11: Citigroup Profit Maximizing with ATR Report

Select Total Net Profit

Select Gross Profit

Select Gross Loss

Select Profit Factor

Total Number of Trades

Return on Initial Capital 0.91%

Buy & Hold Return

How much a strategy made or lost

The number of dollars (profit) made for every dollar lost

Total Number of Trades -

The total number of trades that were generated by the strategy

The percentage of trades that was profitable

Avg. Trade Net Profit -

The amount of money won or lost in the average trade.

Account Size Required -

This field calculates the amount of money you must have in

Return on Initial Capital -

Return on Initial Capital displays the percentage return of the

Annual Rate of Return -

Displays the percentage return of the strategy for the testing

Buy & Hold Return -