02/25/2012 Weekend Watering

[trendfollower]

Thought I would kickoff the weekend talk.

Here is an interesting economically/stock market article: "Mene, Mene, Tekel, Upharsin"

http://goo.gl/22JNb

[KeiZai]

Hi folks,

here are some charts and slowing signs

1. : Linear trend analysis...The R-square of the weekly mid-values trend line is 0.97 which indicates loss of steam for the up trend
Note that the last two weeks are starting to deviate more and more from the trend line, as is witnessed from this weeks high being on the trendline and not above as with previous weeks. That would suggest topping
BTW: R-square shows 100% market manipulation because nothing in the world is so linear like this trend except when man-controlled but that we already know

2. : Gasoline prices

3. : My silver prediction

4. : Knocking on the stage 3?

5. : is for fun it shows how strong the mother of all science aka mathematics is...this is from last year based on mathematical models btw still actual :

"This cycle will ideally see it's peak sometime made between July and September of this year. Following whatever peak that ends up being registered with the same, the following 360-day/cycle downward phase should take the SPX sharply lower into the Autumn months - with the average decline normally in the range of about 15-20% off the top. Following whatever low that is registered with the cycle into the Autumn of 2011, the next upward phase of this component should take the SPX higher into the Spring of 2012, there setting up another top. Statistically, that rally should be in the range of 20% (or better) off the bottom - but could be as high as 30-40% - depending on how the action plays out into the Autumn of this year.“

At the end my quote :They can fight with QE against the natural laws and temporally won the battle but at the end inevitable will come and they lose the whole war!!

And music: http://www.youtube.com/watch?v=j4OUg4U8 ... re=related
http://www.youtube.com/watch?v=JFTSAjZE ... re=related

Enjoy ur weekend!!!

[Harapa]

I posted this few days ago in Intraday watering, which I believe most of you missed. Here is the updated chart. I still looks good.
This analysis investigate potential of NYSE_TRIN as predictor of SP500 performance. As we all know TRIN is quiet noisy. Here, I use 100 period something to reduce this noise (2nd panel in yellow is simple, 3rd panel purple is exponential and bottom panel cyan is weighted versions of this smoothing) . I use trend lines on the smoothed data to guestimate buy or sell signals. A cross from above of a trend line is a Buy (vertical green line) and cross from below is a sell (vertical red line). Since despite this smoothing TRIN derived lines are at best squiggly, the strength/reliability of the signal is based on the strength of trend line. Transformation shown in 2nd panel (yellow) shows a bottom in Jan 2011 and steady rise till Dec 2011. During this period a number of signals were given. Look at the outcomes to decide the worth of these by yourself.

Coming to the present, notice that this system is in Buy mode since Dec 2011 and TRIN is not only below a number of trend lines (for last upswing period) but is nearing what I consider the strongest of the trend lines since Jan 2011.

While we all are awaiting for a market top and subsequent drop, this indicator, IMHO, offers no support for this outcome. What do you think? .

Back testing of this system since 1965 shows a return of 6.6x B&H (97% max gain & 9% maximum loss on a given trade, 76% win rate using S&P500 Index (without dividend and trading costs) as a bench mark.


As a disclaimer, this is not an advice to buy or sell and this information should be considered nothing more than just information.

[Harapa]

A number of comments posted here hinted on dissatisfaction with technical analysis. Here, I present you a trading strategy that employs lending environment (an interest rate derived indicator inspired by Barron’s Confidence Index, panel 2 and 3) and price (panel 4 & 5) to generate buy and sell signals. This may help you change your perspective/opinion. BTW, this is produced using a 12 year old computer running on Pentium IV and not a HFT machine.

System adapts depending upon the position of lending-environment derived variable in panel 2. When oscillator in panel 2(cyan) is above zero you stay long. During this time you ignore signals from price oscillator in panel 4 (green) except around signal turn points for oscillator in panel 2 or use them to add more positions. When oscillator in panel 2 is below zero you switch to price derived oscillator in panel 4 (green). Price derived oscillator in bottom panel gives you a sense of long-term momentum and serve to reinforce signals from the above two indicators. When oscillator in panel 2 is in sell mode, further refinement of system can be achieved by paying attention to oscillator in panel 3 (yellow).

Since Jan 1991, this strategy produced a return that is 3.65x B&H (dividend included), 65% win rate, max profit /loss for a single trade 80%/11%, maximum draw down from consecutive trades 11% (using Vanguard Small Cap Index Fund as a proxy for Russell 2000 Index). When combined with switching to an inverse vehicle return improved to 9.46x B&H (max profit /loss for a single trade 40%/15% on the short side, maximum draw down from consecutive trades 15%). Since July 2011 system returned 15% for long and 15% for short side of the market (maximum loss of 1% for both sides based on closed positions) and total return of 34%.

As a disclaimer, this information is to illustrate that technical analysis do work even in this environment and is not an advice to buy or sell anything.

GLTA!

[BullBear52x]

Wow! thank you all, this is nice way to look at both side of the coin. Is it half full or half empty? let see what will it bring short term for us.
SPY, I see bear flag, for time like this MACD as I shown here is not too bad of an indicator if you are a scalper, this is 1min.

and here is a look at \ES, normally it leads, see 5min below 5dma and forming a bear flag here. on 1hr chart we can see double top clearly. so for time being, it is what it is.GLTA.

[Cobra]

Institutions selling keeps increasing while accumulation keeps decreasing.

[oldpigwang]

"Institutions selling keeps increasing while accumulation keeps decreasing."
This tells the truth on the mkt.

[Al_Dente]

These are new-ish yield curve symbols from stockcharts.com
Anyone care to comment on if/how they can help us?
(notes are from stockcharts explanation)
http://stockcharts.com/h-sc/ui?s=$YC2YR ... =258246486

PAGING JARBO
Did u notice munis did a crash-ette on thurs and fri.
(corporates and junk are still “risk-on”)
I wonder if your bond bud will have any chatter on Monday about this?
http://stockcharts.com/h-sc/ui?s=MUB&p= ... =258865126

[jarbo456]

These are new-ish yield curve symbols from stockcharts.com
Anyone care to comment on if/how they can help us?
(notes are from stockcharts explanation)
http://stockcharts.com/h-sc/ui?s=$YC2YR ... =258246486

PAGING JARBO
Did u notice munis did a crash-ette on thurs and fri.
(corporates and junk are still “risk-on”)
I wonder if your bond bud will have any chatter on Monday about this?
http://stockcharts.com/h-sc/ui?s=MUB&p= ... =258865126

Already looking into it with a number of other things.

[Al_Dente]

The dollar and TED are still supporting the rally
http://stockcharts.com/h-sc/ui?s=$TED&p ... =248214703

In the past four years $SPXA50R has gone above 80 about thirteen times. It triggers a sell signal when it pulls back down below 80. This happened each time except one (the one failure is marked as a blue dashed line), and each sell signal was followed by an SPX decline of 1 to 9 weeks duration.
$SPXA50R closed at 83.20 Friday, and should start pulling back to the 80 line soon.
http://stockcharts.com/h-sc/ui?s=$SPXA5 ... listNum=15

Some of you may recall the Norm Fosbach “Disparity Index” that I posted in December, which showed long-term bearish disparity in the narrow “glamour” indices (like $INDU) compared to the broader-based indices (like $WLSH). Fosbach found that such disparity always resolved in favor of the broad based indices, although historically it could take up to 14 months to resolve.
Here is an update of that disparity chart, showing that the current rally is attempting to “cure” said bearish disparity.
http://stockcharts.com/h-sc/ui?s=$INDU& ... =250791110

[jarbo456]

i've been taking a closer look at a lot of these new vol products that the CBOE is spitting out like candy. one in particular that is interesting is the SKEW index, and it's relationship with VIX and the SPX, etc. etc.

here's an interesting starter's chart - would love to see what else other people can gain from taking a look at it. SKEW measures the tail risk of the S&P in the next 30 days. i'm reading that it can be potentially more accurate than VIX alone as VIX assumes a normal distribution, however the distribution of S&P log returns is not normal.

the included percentages are estimated probabilities for 2 and 3 standard deviation negative moves in the S&P over the next 30 days.

[minthan]

Hey guys, what is the most rewarding investment vehicle for this coming correction?

[proteus46]

USO ended Friday at a key level. 78.6

Using May 2, 2011 high of 45.60
Using Oct 4, 2011 low of 29.10

The range between the upper and lower is 16.50

0.786 * 16.50 = 12.969

The 78.6 level is 29.10 + 12.969 = 42.069

Friday, Feb 24, 2012 high was 42.07

[ZimZeb]

[trendfollower]

Nice educational piece on options:

http://goo.gl/nZPuo

[Al_Dente]

Long term view of total NYSE volume.
A 50sma simple moving average on $NYTV shows that we are currently at the lowest total volume level in 12 years (pink circle). Low volume = low demand.
I’ve highlighted a few SPY tops on this chart (red dotted lines) to identify signals given by previous low volume “troughs.”
You can see that in the past 5 years the low-volume troughs always coincided with SPY top zones, while the previous years were not as unanimous.
(This is just an “arbitrary” eyeball backtest that could be more valuable in the hands of someone with a computer backtest program.)
http://stockcharts.com/h-sc/ui?s=$NYTV& ... =257249822

All volatility, 60 min, 2 months
http://stockcharts.com/h-sc/ui?s=VXX&p= ... listNum=15

http://www.youtube.com/watch?v=ua2k52n_Bvw

[waverider]

Great stuff guys. Al, the lowest volume in 12 years? This is sad! I remember ZH posted a chart at the beginning of the year illustrating that if the decline in volume continued, there would be zero by the end of the year...

We keep making spikes in new 52 week highs, and history shows that we typically drop a bit after this:

Something I found interesting is that VXX (the 1x VIX short term futures) closed +4%, while TVIX (2x) closed at about +4% as well, strange?

And an interesting quote from Jeremy Grantham's quarterly letter:

"Total remuneration in the U.S. for senior officers, unopposed by typical boards, rose as a percentage of the average worker’s pay from 40 times in Eisenhower’s era to over 600 times today, with no indication of any general improvement in talent. Such an increase in inequality was caused by all of the benefits of the substantial productivity flowing to a few, while the average hour’s pay stayed unprecedentedly unchanged for 40 years!".

I'm not by an means an OWS sympathizer, but if one chooses to dismiss the level of inequality that has justifiably developed, he/she has their head up their...

http://www.zerohedge.com/sites/default/ ... 02/GMO.pdf

[Zouk]

Thanks all for a great board. I feel I must contribute on the very intriguing trading of TVIX.

After doing some digging I found that the shares outstanding of TVIX has eclipsed that of VXX hence the premium the market is pricing in. Credit Suisse has said that there has been so much demand for the product that they have had to suspend issuing new shares of TVIX citing "internal limits on the size of ETN's." So therefore, if demand exceeds supply (which it has) TVIX will trade at a premium. Since TVIX is the derivative of VXX, and not the other way around, it begs the question where is the demand coming from when there is more shares outstanding of the derivative than the underlying asset? This explains the price action over the last few days because every man and his dog on wall street wants to trade TVIX. But where it gets fishy and unlawful is who did Credit Suisse notify of the impending issuance suspension? My speculation is that someone in the know has been accumulating large amounts of TVIX with this in mind. Quite shifty indeed.

[TWT]

Sorry but I have no time for writing
I post below, in my opinion, a few interesting charts.

(thewavetrading.com)

[proteus46]

Not enough data points to validate this chart, however, it's interesting
to focus on the 40 day sma for T2107 (% of stocks above their 40 sma).

We may be in a topping location if the blue line rolls over.