This an exponentially smoothed indicator of price. Paul Charbonnet,
it's inventor, describes its calculation as follows:
AccuTrack Parameter 1 is a smoothing factor. Parameter 2 governs the
length of the moving averages.
Exponentially smooth the NAV of the fund and the index by Parameter2
starting from the first date in the database (Fundbuster uses an zero as the
index, which allows more direct comparisons between funds and a default
Accutrack parameter of 6, 24).
Compute the change in NAV of the fund and the index from the previous
day. CP = (Today NAV - YesterdayNAV) / YesterdayNAV.
Subtract the CP computed above for the fund and the index. (Change =
FundCP - IndexCP).
Exponentially smooth Change by Parameter 1.
Draw-down
The amount a fund or a portfolio declines from a peak
Current Draw-down
The amount that a portfolio has declined from its most recent peak.
Maximum Draw-down (Mdd)
The largest amount (usually in percent) that a fund or portfolio dropped
from a peak over its lifetime
Momentum
Compares a fund's current stochastics to its stochastics six market days
ago. If you have two funds with identical power index, the fund with
the greater momentum is doing better.
Sharpe Ratio
A measure of how well a fund rewards risk. Higher Sharpe ratios
indicate better risk-adjusted performance.
Stoch/RSI
The average of stochastics plus rsi.
Ulcer Index (UI)
A measure of volatility (ups and downs) that happens to a fund or a
portfolio.
The Ulcer Index is defined on Pg.75 of Martin & McCann's book entitled
"The Investor's Guide to Fidelity Mutual Funds".
The Ulcer Index is obtained as follows:
Every day, determine the % amount 'R' that a fund is below its highest
previous value. Calculate a running total of R x R. Then divide this product
by N, the total number of days in the period and calculate the square root
of the quotient to obtain UI.
UI = Square Root ( ( The Sum of all R*R values ) / NumDays )
Ulcer Performance Index (UPI)
A combination of annual gain and Ulcer Index.
Essentially, this is a measure of risk vs. return, and how well you can
sleep at night!
Fundbuster systems are designed to produce maximum gains with minimum
draw-downs. In technical lingo, we want to see the following:
This publication is for the benefit of subscribers only and is
not to be summarized, reproduced, or rebroadcast in any fashion without our
written permission. Nothing herein should be construed as an offer, solicitation
or recommendation to buy or sell any security. Fundbuster does not accept
compensation from any mutual fund companies represented in this
newsletter. Past performance does not guarantee or
imply future results. We are not registered investment advisers. Consult your own financial advisor before spending
any money!
