Portfolio Selection

Portfolio Construction: Linear Regression Based Strategy

Selection Summary

Step 1: SLmean

72

Top 50% Selected

threshold: 0.0193

Step 2: RSmean

23

Top 33% Selected

threshold: 0.8408

Step 3: Corr

5

Bottom 25% Selected

threshold: 0.1149

Final Portfolio

5

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

5

Step 3 Result

Actual Investment

5

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
XOP State Street SPDR S&P Oil & Gas Expl & Prod ETF 0.043 0.935 0.012 0.035 3.974 20.0% XOP None
OILK ProShares K-1 Free Crude Oil 0.086 0.898 0.026 0.029 4.243 20.0% OILK None
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF 0.044 0.963 0.055 0.030 3.720 20.0% BCI None
IXC iShares Global Energy ETF 0.038 0.956 0.111 0.038 4.063 20.0% IXC None
XLE State Street Energy Select Sector SPDR ETF 0.033 0.943 0.115 0.036 3.658 20.0% XLE None

Final Investment Allocation

Ticker Allocation
XOP 20.0%
OILK 20.0%
BCI 20.0%
IXC 20.0%
XLE 20.0%

Portfolio Holdings

Detailed information on 5 finally selected holdings.

Ticker Name Price SL12 MRmean RS12 RSmean RS1 RS3 RS6 Corr MR1 MR3 MR6 MR12
XOP State Street SPDR S&P Oil & Gas Expl & Prod ETF 178.210 0.035 0.331 0.787 0.935 1.000 0.856 0.863 0.012 -0.020 0.276 0.421 0.648
OILK ProShares K-1 Free Crude Oil 59.090 0.029 0.447 0.537 0.898 1.000 0.933 0.798 0.026 0.110 0.442 0.547 0.689
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF 25.310 0.030 0.246 0.879 0.963 1.000 0.900 0.934 0.055 0.042 0.165 0.331 0.447
IXC iShares Global Energy ETF 56.810 0.038 0.291 0.878 0.956 1.000 0.854 0.924 0.111 -0.014 0.199 0.390 0.589
XLE State Street Energy Select Sector SPDR ETF 59.650 0.036 0.263 0.850 0.943 1.000 0.798 0.913 0.115 -0.026 0.176 0.374 0.530