Chaikin Power Gauge PerformanceModel Performance through Q4 of 2017
What is the Chaikin Power Gauge?
A reliable indication of a stock’s potential, with a history of success
- Very Bullish-to-Very Bearish rating for U.S. equities
- Indicates likely 1-to-6 month relative performance
- 20-factor model looks at:
Financials, Earnings, Technicals, Expert Activity
- 12 years backtesting, 5 years real-world performance
20-factor quantamental model
• LT Debt to Equity Ratio
• Price to Book Value
• Return on Equity
• Price to Sales Ratio
• Free Cash Flow
• Earnings Growth
• Earnings Surprise
• Earnings Trend
• Projected P/E Ratio
• Earnings Consistency
• Relative Strength vs. Market
• Chaikin Money Flow
• Price Strength
• Price Trend Rate of Change
• Volume Trend
• Earnings Estimate Trend
• Short Interest
• Insider Activity
• Analyst Ratings
• Industry Relative Strength
Standard “buy-all” evaluation method process:
Universe: Russell 3000 stocks*
*minus MLPs and non-US domiciled stocks
1. Start at first trading day of period
2. Buy all stocks in each rating group, equal-weighted
3. Rebalance every 4 weeks, until end of period
4. Determine annualized performance for each rating
5. Compare to Index ETF and avg stock during same period
Power Gauge Ratings: Life To Date
Model Performance 1/2/99 – 12/31/17 (all returns annualized)
Includes Test Period & Real World results
** Performance results combines backtesting and real world performance
Power Gauge Ratings: Real-World Performance
Model Performance 1/2/11 – 12/31/17
Russell 3000 stock universe (minus MLPs & non-US domiciled stocks). Annualized return by rating group vs benchmark, 4-week rebalancing.
Results are equal-weighted. Russell 3000 ETF is cap-weighted. Both include dividends.
• Dividends are included in results & benchmark; transaction costs are not included.
• Results are equal-weighted; Benchmark index ETF is cap-weighted.
• Results show 1-month rebalancing; past testing has shown similar returns with 3 and 6-month rebalancing.
• Chaikin Technical Overlay not shown in test results; past testing has shown similar returns, with lower drawdown.
• Model results are based on a universe which closely tracks the Russell 3000.
• Chaikin assigns a Rating to all US-traded non-OTCBB/Pink Sheet stocks.
• The Chaikin Power Gauge is not a portfolio construction strategy.
CFTC RULE 4.41: Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under or over compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.
Read the full disclaimer here.
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