Portfolio Selection

Portfolio Construction: Linear Regression Based Strategy

Selection Summary

Step 1: SLmean

74

Top 50% Selected

threshold: 0.0244

Step 2: RSmean

24

Top 33% Selected

threshold: 0.9701

Step 3: Corr

6

Bottom 25% Selected

threshold: 0.1945

Final Portfolio

6

Final Selected Holdings

Portfolio Visualization

Criteria: RSmean (x-axis) | SLmean (y-axis)

Reference lines: Horizontal SLmean threshold, Vertical RSmean threshold

Investment Filter

Momentum Strategy Condition Verification and Investment Allocation

Selected Stocks

6

Step 3 Result

Actual Investment

6

Stocks Meeting Conditions

SHV (Cash)

0.0%

Unqualified Allocation

Investment Criteria

  • SL12 ≥ 0
  • MACDhist ≥ 0
  • If conditions not met → Invest in cash equivalent (SHV)

Filter Application Results

Ticker Name SLmean RSmean Corr SL12 MACDhist Allocation Invest_Target Reason
PALL abrdn Physical Palladium Shares ETF 0.063 0.986 -0.067 0.057 8.300 16.7% PALL None
EPOL iShares MSCI Poland ETF 0.034 0.979 0.114 0.032 3.116 16.7% EPOL None
GLD SPDR Gold Trust 0.067 0.980 0.171 0.045 5.254 16.7% GLD None
EWP iShares MSCI Spain ETF 0.032 0.989 0.184 0.039 3.627 16.7% EWP None
XME State Street SPDR S&P Metals & Mining ETF 0.053 0.975 0.187 0.071 6.838 16.7% XME None
SLX VanEck Steel ETF 0.065 0.986 0.194 0.043 4.749 16.7% SLX None

Final Investment Allocation

Ticker Allocation
PALL 16.7%
EPOL 16.7%
GLD 16.7%
EWP 16.7%
XME 16.7%
SLX 16.7%

Portfolio Holdings

Detailed information on 6 finally selected holdings.

Ticker Name Price SL12 MRmean RS12 RSmean RS1 RS3 RS6 Corr MR1 MR3 MR6 MR12
PALL abrdn Physical Palladium Shares ETF 162.390 0.057 0.452 0.950 0.986 1.000 0.981 0.955 -0.067 0.055 0.226 0.605 0.922
EPOL iShares MSCI Poland ETF 38.130 0.032 0.250 0.931 0.979 1.000 0.941 0.962 0.114 0.014 0.157 0.243 0.586
GLD SPDR Gold Trust 483.750 0.045 0.423 0.930 0.980 1.000 0.945 0.963 0.171 0.087 0.247 0.521 0.837
EWP iShares MSCI Spain ETF 57.240 0.039 0.246 0.985 0.989 1.000 0.950 0.977 0.184 0.017 0.123 0.216 0.627
XME State Street SPDR S&P Metals & Mining ETF 119.350 0.071 0.438 0.964 0.975 1.000 0.907 0.934 0.187 0.005 0.231 0.453 1.064
SLX VanEck Steel ETF 101.080 0.043 0.360 0.925 0.986 1.000 0.993 0.968 0.194 0.075 0.270 0.444 0.650