06/30/2012 Weekend Update

[Al_Dente]

Happy Canada Day to Cobra and all Canadians !
http://www.youtube.com/watch?v=Oc1_vfBf ... re=related

Sector view: The far left column shows Friday's leaders in the appropriate order: spain, BOOZE, germany, oy
Hovering over the chart icon just next to the ranking numbers = bolinger chart
Clicking anywhere takes u deeper and deeper
http://www.bollingeronbollingerbands.com/structure/

“Equity funds had estimated outflows of $1.52 billion for the week” [edit: week ending 6/20]
http://www.ici.org/research/stats/flows/flows_06_27_12

[Al_Dente]

Using the “Zig Zag Retrace” feature here, for a quickie view of Fibonacci retracement….
Red circles show the fib retracements from the 2009 low (top panel).
This year’s retracement to the 4 june low was roughly 38%, which is comparable to the july ’10 correction of 36%. (But the current bounce now places us back up to the 17.8% level).
The final “zag” part of the current line is not permanent until it moves up again, so at the moment it’s still showing as part of the correction ……
Also, the green arrows (top panel) show the “diminishing returns” of each rally, in fib numbers.

Just tinkering here, smoothing out the whipsaws to find some straight lines, using a “percentage change” of 10%, then testing other percentage moves over the long term, 20 years, weekly.
It’s revealing to see the repetition of three-push patterns (cobra’s) and impulse waves…

“I buy expensive suits. They just look cheap on me.” [Warren Buffett]

http://www.youtube.com/watch?v=KOZhmsp6 ... re=related

[ocassional observer]

Here is some information on WLI/WLIG based model that I mentioned yesterday (click on the links in the document to learn more about the model).

Improving_on_Buy_and_Hold-When_is_the_Best_Time_to_Sell.pdf

This model is in sell mode since Jun 1st. Historically, an interim low occurred 20-30 trading days after a basic sell signal, followed by an up move that peaked around day 65, and then came the plunge .
Please note charts below are copy/reproduction of the original work reported by G. Vrba.
Average Perfromace after Sell Basic

WLIg Exits.png

Individualized Performance of all signals since 1968

Basic sell Performance.png

And this is what happened after day 65. Odd are heavily stacked against any substantial gains.

Basic sell Performance after day 65.png

This time, trading day 20-30 corresponds to June 29-Jul 13.
Caveat: Last year markets started to fall after day 50 (making it the first failure of the system). This also led to revision of the model (by the author) to initiate sell after 7 days of initial signal. Also to note that signals from this models are for long term investment. However, these can be helpful in ST trading.

Combing short term signals generated by VIX (that I have posted in the day trader forum here) or currency SWAP with signals from this model show an interesting pattern. Long trades initiated by the ST setups (VIX or CS) perform substantially better when WLIg based model is in “Buy” mode and short trades do exceptionally well when the model is in “Sell” mode. Table below lists cumulative returns under various combinations.

Performance.png

*CS = Currency Swap, based on EURUSD or AUDUSD pairs.
VIX, CS signals derived from hourly data, WLIg signals on daily basis. ST signals last from few hours to few days. Although these setups are for ST trading, the time horizon does get extended in protracted up or down moves (to your benefit).
Periods Analyzed: VIX-May 2007-Present,# of L+S trades=114, B&H Return: -10% (as of close of 6/28/12)
CS - Jan 2009-Present, # of L+S trades=116, B&H Return: 41% (as of close of 6/28/12)

If your find this model interesting and would like to know more about this I will be glad to answer any questions you may have.

very interesting model. the wlig is not completely fundamental, its use of the yield curve and the stock market can be seen as technical. i wonder if one can improve on this by using some components of the wlig such as initial jobless claims and adding some other such as rail traffic, commodity prices, and elements from the Aruoba-Diebold-Scotti bussiness conditions index: http://www.philadelphiafed.org/research ... ons-index/.

[Mr. BachNut]

I am thinking about gaps this weekend as the overnight gaps on Friday were very big. I know the futures market drives a lot now, but I still think gaps have some technical significance.
If there are any experts on gaps out there, I would be interested to hear your views on Friday's action.
I think if the action was not bullish, prices should move to close those gaps pretty quickly.

This may be a bit rough as I am not a gap expert:

Common gap - Occurs within a pattern as trade likes to leap to support or resistance within the pattern. Usually closed pretty quickly unless the gap is price breaking out of the pattern.
The QQQ gap could be common. SPY and IWM look like they are breaking out unless some kind of rectangle forms from here.

Initiation or breakaway gap - Occurs at the start of a move often to breakout of a trend or consolidation pattern. This could fit the bill for SPY and IWM as the declining tops line was blown out in what appears to be a triangle. Further new highs from here would be confirming.

Continuation or measuring gap - Occurs in the middle of a trend usually to breakout of a consolidation to start the next leg of a trend. If you interpret the June 6 gaps to be initiation gaps, then Friday may be the continuation gap. Thus, we are about half way done with a rally from the June 4 low with the old highs for the year as the target area.

Exhaustion gap - Occurs at the end of a move. Often a wide gap on high volume. Usually rolls over pretty quickly. Friday's SPY gap was strikingly wide. Volume was high and up but did not seem huge. It is plausible that the end of the move up from June 4 is about done.

I think my point here is that the gaps on Friday signal a probable change in trading of technical importance and that next week give or take will confirm where we're headed (holidays notwithstanding). The market ended Friday pretty overbought IMO, but if it doesn't roll over and get deep into closing those gaps by the end of next week, it should be bullish.

[Harapa]

very interesting model. the wlig is not completely fundamental, its use of the yield curve and the stock market can be seen as technical. i wonder if one can improve on this by using some components of the wlig such as initial jobless claims and adding some other such as rail traffic, commodity prices, and elements from the Aruoba-Diebold-Scotti bussiness conditions index: http://www.philadelphiafed.org/research ... ons-index/.

WLI is constructed using stock prices, interest rate, unemployment data, commodity prices, etc (exact composition of the WLI is not disclosed to public). However, some folks have figured out the matrix. Check this site for postpartum of WLI (http://www.advisorperspectives.com/dshort/). In there you will also see discussions on other economic indicator/measures as a guide to predict the state of US economy (including Aruoba-Diebold-Scotti business conditions index ). Also, Regular updates of WLIg model are posted on this site (access to site and information is free).

[KeiZai]

I ain’t say nothing

DO or DIE

all roads lead to $

Short-term $

Thanks ZimZeb

[xfradnex]

I want to point out the unnatural curve that occured on Thursday. After the breakdown occured on chart, there should have good movement to the second lower horizontal line. That did not happen. We (I) should have known something was wrong at that point. I felt I really did not known something was wrong until the end of day when the rebound was stronger than expected. The point I was trying to make, was that a change in the state of my mind was not made because it was focused on Health Care news. Lesson learned. Must be open to market changes instantly.

[xfradnex]

Happy Canada Day to Cobra and all Canadians !
http://www.youtube.com/watch?v=Oc1_vfBf ... re=related

Sector view: The far left column shows Friday's leaders in the appropriate order: spain, BOOZE, germany, oy
Hovering over the chart icon just next to the ranking numbers = bolinger chart
Clicking anywhere takes u deeper and deeper
http://www.bollingeronbollingerbands.com/structure/

“Equity funds had estimated outflows of $1.52 billion for the week” [edit: week ending 6/20]
http://www.ici.org/research/stats/flows/flows_06_27_12

DrAl. Converted Equity funds outflow into a graph. Estimated last week of june based upon last three weeks. I added the chart. Tell me what it means?

[Al_Dente]

“Equity funds had estimated outflows of $1.52 billion for the week” [edit: week ending 6/20]
http://www.ici.org/research/stats/flows/flows_06_27_12

DrAl. Converted Equity funds outflow into a graph. Estimated last week of june based upon last three weeks. I added the chart. Tell me what it means?

X……….mmmmm… As you well know, MF flows are used as contrary indicators.
(e.g.: mutual fund investors “”historically”” jump into equities near mkt tops and bail out near bottoms).
Problem is that MFs are so unpopular these days that this can be used as only one of many flow indicators…
I’m having a hard time telling these apart: THE THREE BLUE LINES….
I think I’m seeing “total equity” buys (blue) near the 4/2011 mark, and approaching the 2008 levels, with bond “sells” down from Feb highs, but I’m not sure of my “read” on all the blue lines…… the rest, including the important red eq line, just goes honey-badger on my eyeballs (MY bad)….
How to make it a simpler, easier-on-the-eyeballs read ?

Also, FWIW…here are the May margin interest numbers for that cool spy overlay chart u worked up 4 us a while back
http://www.nyxdata.com/nysedata/asp/fac ... category=8
but it looks like NYX changed up the data format on us... I hate exchange data that is REALLY LATE and really screwy (?)
Your last chart on margin interest showed how important that data is: e.g.: a spy high that is not supported with additional long margin interest
is a REAL top…. but what good is that info when it is sooooo stale???

If anyone can find more current data on margin interest, PLEASE post.

Ps: X: yr diligence is impressive, and much appreciated

[Al_Dente]

PAGING HARAPA
Awesome
It will take me a long while to digest all of that
Just saying: if u get only little response from boardies, DON’T THINK that folks don’t care…. because we do…
I’m devouring jeff miller overview right now [edit: possibly one of the best links of the year??]
Thank you very much

[xfradnex]

“Equity funds had estimated outflows of $1.52 billion for the week” [edit: week ending 6/20]
http://www.ici.org/research/stats/flows/flows_06_27_12

DrAl. Converted Equity funds outflow into a graph. Estimated last week of june based upon last three weeks. I added the chart. Tell me what it means?

X……….mmmmm… As you well know, MF flows are used as contrary indicators.
(e.g.: mutual fund investors “”historically”” jump into equities near mkt tops and bail out near bottoms).
Problem is that MFs are so unpopular these days that this can be used as only one of many flow indicators…
I’m having a hard time telling these apart: THE THREE BLUE LINES….
I think I’m seeing “total equity” buys (blue) near the 4/2011 mark, and approaching the 2008 levels, with bond “sells” down from Feb highs, but I’m not sure of my “read” on all the blue lines…… the rest, including the important red eq line, just goes honey-badger on my eyeballs (MY bad)….
How to make it a simpler, easier-on-the-eyeballs read ?

Also, FWIW…here are the May margin interest numbers for that cool spy overlay chart u worked up 4 us a while back
http://www.nyxdata.com/nysedata/asp/fac ... category=8
but it looks like NYX changed up the data format on us... I hate exchange data that is REALLY LATE and really screwy (?)
Your last chart on margin interest showed how important that data is: e.g.: a spy high that is not supported with additional long margin interest
is a REAL top…. but what good is that info when it is sooooo stale???

If anyone can find more current data on margin interest, PLEASE post.

Ps: X: yr diligence is impressive, and much appreciated

Update chart

[rocket]

Broadening bottom in TZA? Notice 2nd and 3rd touches to the bottom all have been around 88.6% retrace.

[Cobra]

sorry guys, I was busy with my other server. got hacked and unbelievably I had to pay all the bandwidth being used by the spam, not a small money, really frustrating.

On 2nd thought, my decision last year to separate the cobrasmarketview.com from the hutong9.com server was a wise decision, at least cobrasmarketview.com is still running.

So seeing good things from bad things should be the way I treat my trading errors...

[xfradnex]

“Equity funds had estimated outflows of $1.52 billion for the week” [edit: week ending 6/20]
http://www.ici.org/research/stats/flows/flows_06_27_12

DrAl. Converted Equity funds outflow into a graph. Estimated last week of june based upon last three weeks. I added the chart. Tell me what it means?

X……….mmmmm… As you well know, MF flows are used as contrary indicators.
(e.g.: mutual fund investors “”historically”” jump into equities near mkt tops and bail out near bottoms).
Problem is that MFs are so unpopular these days that this can be used as only one of many flow indicators…
I’m having a hard time telling these apart: THE THREE BLUE LINES….
I think I’m seeing “total equity” buys (blue) near the 4/2011 mark, and approaching the 2008 levels, with bond “sells” down from Feb highs, but I’m not sure of my “read” on all the blue lines…… the rest, including the important red eq line, just goes honey-badger on my eyeballs (MY bad)….
How to make it a simpler, easier-on-the-eyeballs read ?

Also, FWIW…here are the May margin interest numbers for that cool spy overlay chart u worked up 4 us a while back
http://www.nyxdata.com/nysedata/asp/fac ... category=8
but it looks like NYX changed up the data format on us... I hate exchange data that is REALLY LATE and really screwy (?)
Your last chart on margin interest showed how important that data is: e.g.: a spy high that is not supported with additional long margin interest
is a REAL top…. but what good is that info when it is sooooo stale???

If anyone can find more current data on margin interest, PLEASE post.

Ps: X: yr diligence is impressive, and much appreciated

Update chart

Update old chart. Not much change.

[Al_Dente]

“Equity funds had estimated outflows of $1.52 billion for the week” [edit: week ending 6/20]
http://www.ici.org/research/stats/flows/flows_06_27_12

DrAl. Converted Equity funds outflow into a graph. Estimated last week of june based upon last three weeks. I added the chart. Tell me what it means?

X……….mmmmm… As you well know, MF flows are used as contrary indicators.(e.g.: mutual fund investors “”historically”” jump into equities near mkt tops and bail out near bottoms)

Update chart

Got yr update MF chart. Yup, I totally screwed up, now I see the top line is SPX (duh, right)
Okay then here is my “read” at the moment, only bcuz u asked me
My red-arrow channel lines imply that MFs have been “roughly” selling equity (your “domestic equity” line), albeit with bounces, since 5/2009.
Then from 8/2011, the green-arrow uptrend channel to today (drawn to connect your “domestic equity” points),
show that MFs have been channel buying equity.
And my blue arrow line shows they have been selling bond funds since Feb this year (or “swapping” out of bond funds into stock funds).
If (IF, IF) MFs persist in longing equities, a contrarian would call that a bear-spy signal, intermediate term, and the signal would get stronger if the buying continues up to touch the top of the red downtrend-channel line.
[IMHO ….. BIG grain-of-salt……..Also, sorry, I have extremely imprecise drawing tools on Jing screencasts…]
THANKS X
http://screencast.com/t/Vs7rlF7LlWdv

[xfradnex]

sorry guys, I was busy with my other server. got hacked and unbelievably I had to pay all the bandwidth being used by the spam, not a small money, really frustrating.

On 2nd thought, my decision last year to separate the cobrasmarketview.com from the hutong9.com server was a wise decision, at least cobrasmarketview.com is still running.

So seeing good things from bad things should be the way I treat my trading errors...

Sorry to hear. . I have Norton, it will not find anything.

[Cobra]

sorry guys, I was busy with my other server. got hacked and unbelievably I had to pay all the bandwidth being used by the spam, not a small money, really frustrating.

On 2nd thought, my decision last year to separate the cobrasmarketview.com from the hutong9.com server was a wise decision, at least cobrasmarketview.com is still running.

So seeing good things from bad things should be the way I treat my trading errors...

Sorry to hear. . I have Norton, it will not find anything.

Norton wouldn't help this kind of hack. Server is meant to be hacked. Nobody knows when cobrasmarketview.com would get hacked. The good news is the next time, I'd have a little more experiences to respond.

[Al_Dente]

PAGING XFRADNEX
re yr updated MARGIN INTEREST chart
margin debt (your blue line) did NOT confirm the last SPX high
that is bearish (one month old).
do u have a different "read" on it?

Luv u, thnx, green day http://www.youtube.com/watch?v=Z9PyKsEX ... re=related

[xfradnex]

“Equity funds had estimated outflows of $1.52 billion for the week” [edit: week ending 6/20]
http://www.ici.org/research/stats/flows/flows_06_27_12

DrAl. Converted Equity funds outflow into a graph. Estimated last week of june based upon last three weeks. I added the chart. Tell me what it means?

X……….mmmmm… As you well know, MF flows are used as contrary indicators.(e.g.: mutual fund investors “”historically”” jump into equities near mkt tops and bail out near bottoms)

Update chart

Got yr update MF chart. Yup, I totally screwed up, now I see the top line is SPX (duh, right)
Okay then here is my “read” at the moment, only bcuz u asked me
My red-arrow channel lines imply that MFs have been “roughly” selling equity (your “domestic equity” line), albeit with bounces, since 5/2009.
Then from 8/2011, the green-arrow uptrend channel to today (drawn to connect your “domestic equity” points),
show that MFs have been channel buying equity.
And my blue arrow line shows they have been selling bond funds since Feb this year (or “swapping” out of bond funds into stock funds).
If (IF, IF) MFs persist in longing equities, a contrarian would call that a bear-spy signal, intermediate term, and the signal would get stronger if the buying continues up to touch the top of the red downtrend-channel line.
[IMHO ….. BIG grain-of-salt……..Also, sorry, I have extremely imprecise drawing tools on Jing screencasts…]
THANKS X
http://screencast.com/t/Vs7rlF7LlWdv

Thank you. Looks like domestic equities need to reach peaks to signal a market down turn. . Sometimes.

[xfradnex]

PAGING XFRADNEX
re yr updated MARGIN INTEREST chart
margin debt (your blue line) did NOT confirm the last SPX high
that is bearish (one month old).
do u have a different "read" on it?

Luv u, thnx, green day http://www.youtube.com/watch?v=Z9PyKsEX ... re=related

It looks like the blue line is lossing upward momentum. If there was a blue down turn, it would be telling. It still is following a less dramatic Oct 07 senario. I think that Credit balances in margins accounts first would have to be higher for the crash and burn senario.