Today the signal I've been studying
using a GMMA crossover married with 2-Month momentum signaled a
short on the TNA. The principle behind this signal is that the GMMA crossover
indicates a change in trend while waning momentum indicates weakness
in price. One of the primary reasons I'm looking at using a trend filter is that with the exception of day trading 3x ETFs, the best way to play them is directional. If there is no direction, trying to trade them in a flat market offers poor risk/reward, but if there is a direction these can offer significant returns when managed properly. Since July 2011 there have been 6 short signals: 07/28/11,
03/06/12, 04/04/12, 07/24/12, 10/10/12 (10/18/12 is ambiguous since
there was a GMMA crossover, but no positive momentum shift), and
today. .
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| TNA Short Signal |
I keep in mind that TNA is a derivative
of the Russell so for comparison this index should most likely be the
preferred signal for taking a TNA short, or at least used in conjunction. On the Russell the signals
came on 07/14 (false signal), 07/27/11, 11/21/11, 12/14/21,
03/05/12, 04/05/12, 07/24/12, 10/9/12, 10/19/12 (ambiguous due to
above issue with TNA), and 04/03. There's a difference of 3 signals
between using the Russell and TNA, but a noticeable pattern is that the Russell
signal coinciding with or followed the next trading session by a TNA
confirmation signal has more reliability.
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| Russell 2000 |
Also worth looking at quickly is the
TZA which produces few signals and those that it does are not
particularly effective or long in duration with the exception of the
short signals which makes sense due to the internal structure of this
leveraged ETF.
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| TZA |
