This volition update my recent post on the marketplace indicators too approximately of the conclusions from that review. Blogger is non allowing me to post charts, too thus delight excuse their absence.
* New Highs/Lows - Fri nosotros saw levels of novel lows consistent with recent momentum lows inwards markets. There were 224 novel 20-day highs against 3150 novel lows. We too saw 97 novel 65-day highs across the NYSE, NASDAQ, too ASE, against 1225 novel lows. This represents pregnant weakness, but too thus far remains below the orbit of novel lows registered inwards January. Similarly, if nosotros only hold off at the mutual stocks traded on the NYSE, nosotros had 7 novel 52-week highs, but 246 novel lows. Note that 52-week novel lows inwards Jan swelled to over 700. Among S&P 600 pocket-sized caps, Fri had ii novel 52-week highs too eighty novel lows. (January's novel lows exceeded 200). And finally, alongside the S&P 500 large caps, nosotros had no novel highs too 73 fresh annual lows. (January's novel lows too exceeded 200). Long story short, in that location are divergences inwards the high/low information that brand me interrogation the downside from here.
* Sentiment - As my recent post indicated, watch is quite bearish too is showtime to hitting levels associated with recent marketplace bottoms. Shorter-term, nosotros decease on to run across weakness inwards the NYSE TICK, with the cumulative line of piece of employment inwards a clear downtrend. I require to run across prove of buying involvement inwards the TICK earlier aggressively pursuing the upside inwards this market. Seven of the in conclusion 8 trading sessions accept seen internet selling inwards the Cumulative Adjusted TICK; my breakdown of buying vs. selling involvement shows overwhelmingly inwards a higher house average selling delineate per unit of measurement area during that time. The coast is non clear for bulls unless too until this selling delineate per unit of measurement area abates too nosotros run across prove of above-average buying (which has occurred alone i time inwards the by 8 sessions).
* Overbought/Oversold - My Cumulative Demand/Supply indicator is a pilus breadth away from the -30 orbit that has typified recent bottoms inwards the stock market. Supply has exceeded need for vi of the by 7 trading sessions, which shows odd sustained selling activity. (Recall that Supply too Demand are indexes of the publish of stocks closing below vs. inwards a higher house the volatility envelopes surrounding their moving averages). Longer-term, nosotros accept 18% of SPX stocks trading inwards a higher house their 200-day moving averages too 14% trading inwards a higher house their 50-day moving averages--quite oversold, but withal inwards a higher house the really depression levels registered inwards January(14% too 8%, respectively).
* Advance-Decline Lines - We're seeing novel lows inwards the AD Lines for NYSE mutual stocks too for NASDAQ 100 stocks, S&P 500 stocks, too S&P 600 stocks. It is clearly premature to survive aggressively buying the marketplace spell this indicator remains inwards a downtrend across the board.
In sum, we're seeing levels inwards the indicators consistent with momentum marketplace lows. Price lows tin give off beneath such momentum lows, too thus it is non at all inconceivable that nosotros could run across to a greater extent than downside inwards the days to come. Indeed, recent action has been skewed solidly to the downside, making bottom-fishing dangerous. Still, for the firstly fourth dimension inwards this comport market, we're seeing divergences inwards the information fifty-fifty amidst the selling delineate per unit of measurement area too bearish sentiment. That has me questioning the longer-term viability of the downside.
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Info!! Trading Notes For The Calendar Week Of March 14, 2016
Friday, March 18th
* Steve Spencer of SMB emphasizes that cost activity next a catalytic lawsuit provides us amongst of import information. This is especially truthful when nosotros run across a modify inwards the distribution of transactions next a word lawsuit or other catalyst. Increased book together with a novel skew of book lifting offers versus hitting bids, for example, tells us that fresh buying flows receive got come upwards into the market. This calls for an updating of our views of the stock or index.
* This lesson has been especially relevant inwards the wake of the Fed announcement. My cumulative stair out of upticks vs. downticks has hitting novel highs for this displace together with breadth, which had been waning, vaulted to novel highs. Below nosotros tin run across the nautical chart of stocks across all changes making fresh 3-month novel highs vs. lows. The vigor of buying next the Fed annunciation suggests that this, indeed, was a game changer. Central banks globally are opting for accommodation and, historically, that has been favorable toward stocks.
* The China/deflation thesis, which dominated give-and-take during recent marketplace weakness, is far less discussed I find, given stone oil clit together with USD weakness. For stocks, inwards a negative involvement charge per unit of measurement world, anything rubber amongst yield continues to discovery interest.
Thursday, March 17th
* Interesting commentary on the fright of missing marketplace moves from Victor Niederhoffer. Many a bad merchandise is made because of the ego, non because of the objective marketplace opportunity.
* We saw a ascent to novel highs on the heels of the Fed announcement, amongst enterprise buying interest. Recent posts receive got commented on weak breadth and, for the marketplace overall, the breadth movie did non amend despite the Fed-related strength. Across all exchanges, nosotros saw 753 novel monthly highs against 254 lows. The latter is in 1 lawsuit again an uptick inwards novel lows together with the novel highs are one-half of what nosotros saw 2 weeks ago. Among SPX shares only, stocks making fresh 100-day novel highs versus lows did expand to a marginal novel peak. Much of the weakness is amid small-scale cap shares, though fiscal together with wellness aid stocks inside SPX are likewise lagging. With the mixed breadth picture, I'm non surprised to run across some retracement of yesterday's gains inwards premarket merchandise today.
* Breadth issues notwithstanding, it's clear that this has been a vigorous bull displace from the Feb lows. Note below how we've stayed "overbought" on my multiperiod clit stair out (daily tracking of SPX stocks making 5, 20, together with 100-day novel highs versus lows) for a number of days. This exclusively occurs inwards trending markets. While the breadth issues oft precede correction, my base of operations illustration is to sentiment such a correction equally a buying opportunity.
* I'm working on creating a cycle-based stair out of short-term momentum together with value effects inwards the ES market. The thought is to seat when markets are most probable to proceed versus opposite their most recent directional movement. Interestingly, the market's ascent yesterday occurred on a depression value of the momentum measure. More to come upwards on this research.
Wednesday, March 16th
* Jim Dalton, who has pioneered trading via Market Profile, is offering his in conclusion mentorship computer programme earlier his retirement. I likewise run across Terry Liberman will live doing a webinar amongst Jim afterwards today. When I taught an internship computer programme inwards Chicago many years ago, Jim's piece of occupation was the exclusively mandated reading. I proceed to discovery Market Profile helpful equally a conceptual framework for thinking nearly marketplace behavior.
* After some early on weakness, nosotros saw buying inwards stocks, but small-scale caps proceed to notably underperform large caps. As a result, nosotros run across continuing deterioration amid the breadth measures. New monthly lows ticked upwards to 192, the highest degree since Feb 24th together with monthly highs dipped to 451. Relatively weak sectors lately include unloose energy shares (XLE) together with healthcare (XLV). Today's trading volition live dominated past times the afternoon's Fed announcement.
* We proceed quite stretched on my intermediate clit measure, which looks at the number of SPX shares making fresh 5, 20, together with 100-day highs versus lows. (Data from Index Indicators). If the Fed-related merchandise can't interruption us from the breadth deterioration, I await an intermediate-term correction. That would non necessarily live an terminate to the bull displace from February's lows, but could advise a new, topping stage to the electrical current marketplace cycle. During a topping stage nosotros tin run across higher overall prices for the index, but amongst deterioration inwards some sectors contributing to lagging breadth.
* Here is a unique intraday indicator that looks at buying clit per unit of measurement area amid all U.S. listed shares. It tracks upticks amid all shares (data from e-Signal) together with expresses the final result inwards measure difference units. This shows us when important buying is coming into the market. It likewise shows us when at that topographic point is a meaningful absence of buying. (A corresponding stair out tracks important selling together with absence of selling pressure). It helps longer-term positions when those are going amongst the flows. The nautical chart below shows yesterday's market.
Tuesday, March 15th
* I'll live making an improver to these marketplace notes together with including each 24-hour interval links to readings that I discovery specially informative together with useful. To boot this off, banking concern check out the Paststat blog for daily trading ideas based upon historical patterns, including this 1 based upon seasonality. From my perspective, such patterns are the starting signal for analysis, non an terminate point. Once nosotros run across a pattern, the difficult piece of occupation remains of deciding: 1) is the electrical current marketplace authorities typical of the menstruum covered past times the historical test; 2) is at that topographic point a audio argue for the beingness of the pattern, or mightiness the designing live a random occurrence; together with 3) what is the variability or together with thus the designing (could yous endure the exceptional instances)? Factoring marketplace history into trading decisions is no guarantee of success--it's slow to aspect inwards together with thus many places that some "significant" designing appears--but ignorance of marketplace history is non just a promising alternative.
* The relative absence of selling clit per unit of measurement area inwards Monday's session was noteworthy together with helped atomic number 82 to higher prices for much of the session earlier a belatedly selling burst. Selling has continued overnight amongst no novel shot inwards the arm from the Bank of Japan. Trading was unusually wearisome on Mon together with nosotros could larn to a greater extent than of the same ahead of tomorrow's Fed announcement. Note how short-term breadth has been potent for a number of days; the stair out below tracks the percent of SPX stocks closing to a higher house their 3, 5, together with 10-day moving averages. (Data from Index Indicators).
* The marketplace looks tired to me--for the origin fourth dimension since the liftoff from the Feb lows. Specifically, we're getting fewer shares registering novel highs during marketplace rallies. Much of that relative weakness is coming from small-scale cap shares. Yesterday nosotros saw 921 stocks across all exchanges brand fresh monthly highs against over 2000 in conclusion week. (Data from the Barchart site). No private sector inside the SPX looks distinctively weak together with I'm non at all convinced that we're going into deport mode. Rather, I await a normal correction inside a bull move. With the absence of selling having problem bringing us higher, I'm leaning toward selling bounces that cannot maintain us to a higher house the overnight highs. Of course, the upcoming Fed annunciation volition supply a major catalyst for stocks tomorrow.
Monday, March 14th
* Those who know me good know that I create non subscribe to the thought that successful trading is by together with large a operate of psychology. Without an objective trading edge, one's frame of bespeak heed volition but dictate the charge per unit of measurement at which nosotros portion amongst our capital. Still, psychology is necessary, if non sufficient, for success together with yesterday's post service was mayhap my clearest explanation why.
* We shut close the highs on Friday, continuing the upswing next the post-ECB selloff. The ascent left us quite stretched short-term, amongst over 90% of SPX stocks trading to a higher house their 3, 5, 10, together with 20-day moving averages. This inwards itself is non a mutual occurrence. Going dorsum to 2006, I could exclusively discovery 12 instances of this happening when VIX has been below 20. Interestingly, three were up, ix downward the side past times side 24-hour interval for a internet loss, but 10 were up, 2 downward after three days. We're trading a fighting lower premarket equally I write; the depth of a side past times side pullback volition state us a lot nearly possible upside momentum over the side past times side few days.
* One line of piece of occupation concern starting to travel inwards my caput is that Friday's highs were the origin inwards which nosotros saw sizable breadth divergences. If nosotros aspect at all stocks across all exchanges, nosotros tin run across that 1087 made fresh monthly highs on Fri against 2082 the prior Friday. Much of this is a operate of relative weakness amid small-scale caps. We exclusively had 92 novel monthly lows on Friday, together with thus naught is standing out equally weak together with I'm non expecting whatsoever grand reversal. I am concerned, however, that nosotros could run across a decent pullback from these levels equally portion of the start of a topping process. Bottom line is that I was happy to receive got profits belatedly Fri together with I'm happy to remain on the sidelines together with run across what the bears tin bring. Ideally, I'd similar to live a buyer of weakness early on inwards the calendar week for at to the lowest degree a retest of highs thereafter. But I'm non seeing favorably skewed risk/reward right here, right now.
* Steve Spencer of SMB emphasizes that cost activity next a catalytic lawsuit provides us amongst of import information. This is especially truthful when nosotros run across a modify inwards the distribution of transactions next a word lawsuit or other catalyst. Increased book together with a novel skew of book lifting offers versus hitting bids, for example, tells us that fresh buying flows receive got come upwards into the market. This calls for an updating of our views of the stock or index.
* This lesson has been especially relevant inwards the wake of the Fed announcement. My cumulative stair out of upticks vs. downticks has hitting novel highs for this displace together with breadth, which had been waning, vaulted to novel highs. Below nosotros tin run across the nautical chart of stocks across all changes making fresh 3-month novel highs vs. lows. The vigor of buying next the Fed annunciation suggests that this, indeed, was a game changer. Central banks globally are opting for accommodation and, historically, that has been favorable toward stocks.
* The China/deflation thesis, which dominated give-and-take during recent marketplace weakness, is far less discussed I find, given stone oil clit together with USD weakness. For stocks, inwards a negative involvement charge per unit of measurement world, anything rubber amongst yield continues to discovery interest.
Thursday, March 17th
* Interesting commentary on the fright of missing marketplace moves from Victor Niederhoffer. Many a bad merchandise is made because of the ego, non because of the objective marketplace opportunity.
* We saw a ascent to novel highs on the heels of the Fed announcement, amongst enterprise buying interest. Recent posts receive got commented on weak breadth and, for the marketplace overall, the breadth movie did non amend despite the Fed-related strength. Across all exchanges, nosotros saw 753 novel monthly highs against 254 lows. The latter is in 1 lawsuit again an uptick inwards novel lows together with the novel highs are one-half of what nosotros saw 2 weeks ago. Among SPX shares only, stocks making fresh 100-day novel highs versus lows did expand to a marginal novel peak. Much of the weakness is amid small-scale cap shares, though fiscal together with wellness aid stocks inside SPX are likewise lagging. With the mixed breadth picture, I'm non surprised to run across some retracement of yesterday's gains inwards premarket merchandise today.
* Breadth issues notwithstanding, it's clear that this has been a vigorous bull displace from the Feb lows. Note below how we've stayed "overbought" on my multiperiod clit stair out (daily tracking of SPX stocks making 5, 20, together with 100-day novel highs versus lows) for a number of days. This exclusively occurs inwards trending markets. While the breadth issues oft precede correction, my base of operations illustration is to sentiment such a correction equally a buying opportunity.
* I'm working on creating a cycle-based stair out of short-term momentum together with value effects inwards the ES market. The thought is to seat when markets are most probable to proceed versus opposite their most recent directional movement. Interestingly, the market's ascent yesterday occurred on a depression value of the momentum measure. More to come upwards on this research.
Wednesday, March 16th
* Jim Dalton, who has pioneered trading via Market Profile, is offering his in conclusion mentorship computer programme earlier his retirement. I likewise run across Terry Liberman will live doing a webinar amongst Jim afterwards today. When I taught an internship computer programme inwards Chicago many years ago, Jim's piece of occupation was the exclusively mandated reading. I proceed to discovery Market Profile helpful equally a conceptual framework for thinking nearly marketplace behavior.
* After some early on weakness, nosotros saw buying inwards stocks, but small-scale caps proceed to notably underperform large caps. As a result, nosotros run across continuing deterioration amid the breadth measures. New monthly lows ticked upwards to 192, the highest degree since Feb 24th together with monthly highs dipped to 451. Relatively weak sectors lately include unloose energy shares (XLE) together with healthcare (XLV). Today's trading volition live dominated past times the afternoon's Fed announcement.
* We proceed quite stretched on my intermediate clit measure, which looks at the number of SPX shares making fresh 5, 20, together with 100-day highs versus lows. (Data from Index Indicators). If the Fed-related merchandise can't interruption us from the breadth deterioration, I await an intermediate-term correction. That would non necessarily live an terminate to the bull displace from February's lows, but could advise a new, topping stage to the electrical current marketplace cycle. During a topping stage nosotros tin run across higher overall prices for the index, but amongst deterioration inwards some sectors contributing to lagging breadth.
* Here is a unique intraday indicator that looks at buying clit per unit of measurement area amid all U.S. listed shares. It tracks upticks amid all shares (data from e-Signal) together with expresses the final result inwards measure difference units. This shows us when important buying is coming into the market. It likewise shows us when at that topographic point is a meaningful absence of buying. (A corresponding stair out tracks important selling together with absence of selling pressure). It helps longer-term positions when those are going amongst the flows. The nautical chart below shows yesterday's market.
Tuesday, March 15th
* I'll live making an improver to these marketplace notes together with including each 24-hour interval links to readings that I discovery specially informative together with useful. To boot this off, banking concern check out the Paststat blog for daily trading ideas based upon historical patterns, including this 1 based upon seasonality. From my perspective, such patterns are the starting signal for analysis, non an terminate point. Once nosotros run across a pattern, the difficult piece of occupation remains of deciding: 1) is the electrical current marketplace authorities typical of the menstruum covered past times the historical test; 2) is at that topographic point a audio argue for the beingness of the pattern, or mightiness the designing live a random occurrence; together with 3) what is the variability or together with thus the designing (could yous endure the exceptional instances)? Factoring marketplace history into trading decisions is no guarantee of success--it's slow to aspect inwards together with thus many places that some "significant" designing appears--but ignorance of marketplace history is non just a promising alternative.
* The relative absence of selling clit per unit of measurement area inwards Monday's session was noteworthy together with helped atomic number 82 to higher prices for much of the session earlier a belatedly selling burst. Selling has continued overnight amongst no novel shot inwards the arm from the Bank of Japan. Trading was unusually wearisome on Mon together with nosotros could larn to a greater extent than of the same ahead of tomorrow's Fed announcement. Note how short-term breadth has been potent for a number of days; the stair out below tracks the percent of SPX stocks closing to a higher house their 3, 5, together with 10-day moving averages. (Data from Index Indicators).
* The marketplace looks tired to me--for the origin fourth dimension since the liftoff from the Feb lows. Specifically, we're getting fewer shares registering novel highs during marketplace rallies. Much of that relative weakness is coming from small-scale cap shares. Yesterday nosotros saw 921 stocks across all exchanges brand fresh monthly highs against over 2000 in conclusion week. (Data from the Barchart site). No private sector inside the SPX looks distinctively weak together with I'm non at all convinced that we're going into deport mode. Rather, I await a normal correction inside a bull move. With the absence of selling having problem bringing us higher, I'm leaning toward selling bounces that cannot maintain us to a higher house the overnight highs. Of course, the upcoming Fed annunciation volition supply a major catalyst for stocks tomorrow.
Monday, March 14th
* Those who know me good know that I create non subscribe to the thought that successful trading is by together with large a operate of psychology. Without an objective trading edge, one's frame of bespeak heed volition but dictate the charge per unit of measurement at which nosotros portion amongst our capital. Still, psychology is necessary, if non sufficient, for success together with yesterday's post service was mayhap my clearest explanation why.
* We shut close the highs on Friday, continuing the upswing next the post-ECB selloff. The ascent left us quite stretched short-term, amongst over 90% of SPX stocks trading to a higher house their 3, 5, 10, together with 20-day moving averages. This inwards itself is non a mutual occurrence. Going dorsum to 2006, I could exclusively discovery 12 instances of this happening when VIX has been below 20. Interestingly, three were up, ix downward the side past times side 24-hour interval for a internet loss, but 10 were up, 2 downward after three days. We're trading a fighting lower premarket equally I write; the depth of a side past times side pullback volition state us a lot nearly possible upside momentum over the side past times side few days.
* One line of piece of occupation concern starting to travel inwards my caput is that Friday's highs were the origin inwards which nosotros saw sizable breadth divergences. If nosotros aspect at all stocks across all exchanges, nosotros tin run across that 1087 made fresh monthly highs on Fri against 2082 the prior Friday. Much of this is a operate of relative weakness amid small-scale caps. We exclusively had 92 novel monthly lows on Friday, together with thus naught is standing out equally weak together with I'm non expecting whatsoever grand reversal. I am concerned, however, that nosotros could run across a decent pullback from these levels equally portion of the start of a topping process. Bottom line is that I was happy to receive got profits belatedly Fri together with I'm happy to remain on the sidelines together with run across what the bears tin bring. Ideally, I'd similar to live a buyer of weakness early on inwards the calendar week for at to the lowest degree a retest of highs thereafter. But I'm non seeing favorably skewed risk/reward right here, right now.
Info!! Trading Notes For The Calendar Week Of March 28, 2016
Friday, Apr 1st
* Top twenty people to follow on Stock Twits as well as Twitter for corking marketplace position content. Of course, Ivaylo is besides pocket-size to include himself, hence I'll nominate him hither both for his spider web log content as well as his books.
* We've pulled dorsum from recent highs, equally my measures of realized resultant fourth dimension volatility hold lower--a province of affairs that, inwards the past, has been associated amongst subnormal forrard returns. Stocks making novel monthly highs across all exchanges declined from 1221 to 822; monthly lows ticked upward from 106 to 137. So it's difficult to say that nosotros pick out weak breadth. As noted yesterday, my mensurate of upticks vs. downticks has continued positive. Yesterday was positive, but full institutional participation contracted least since the rally began. Again, this has been associated historically amongst subnormal returns. Institutional participation is a mensurate of full upticks as well as downticks across all NYSE shares (not mass traded). The depression mass as well as volatility brand me non peculiarly bullish; the absence of novel lows as well as downticks brand me non peculiarly bearish.
* My cycle mensurate continues inwards positive territory but off its highs. Many of my breadth measures await this way: positive, but off their peaks. Note how we've stayed positive for much longer than during recent cycles--again a tell that this has been to a greater extent than than a comport marketplace position rally or fifty-fifty a bounce higher inwards a make market.
* Are in that location microtrends inside the marketplace position as well as are these tradeable? Hell, I pick out no idea, but I'm researching it. Will permit y'all know what I find. This volition live on a purely systematic implementation. My other inquiry projection is identifying longer term cycles inwards the stock market, amongst information going dorsum to 1980. This is based on a unique implementation of the resultant fourth dimension concept. Basing resultant fourth dimension on mass doesn't move because of the secular differences inwards mass over the catamenia of decades. If you're non innovating, you're stagnating. Too many traders pat themselves on the dorsum for doing the same affair 1 time again as well as 1 time again as well as calling it discipline. Influenza A virus subtype H5N1 disciplined implementation of an outmoded approach volition lose coin amongst admirable consistency.
* If y'all await at stocks exterior the U.S., such equally the EFA ETF, the longer-term motion painting is pretty unimpressive. It is non clear to me that negative rates are having the desired affect overseas. If this is the case, nosotros could run into to a greater extent than aggressive key depository fiscal establishment stimulation of economies, peculiarly if those indicators of deflation--strengthening currencies, weakening commodities, etc.--become to a greater extent than problematic.
Thursday, March 31st
* Is the housing marketplace position strong or weak? See It Market notes mixed signals amidst furnish constraints.
* Oil as well as commodities overall (DBC) pick out been lagging stock toll gains recently; keeping an oculus on that relationship. I'm also noticing high yield bonds (JNK) lagging recent toll gains inwards stocks. These relationships were key during the catamenia of marketplace position weakness.
* Stocks rallied nicely early on yesterday, 1 time again posting fresh rally highs earlier pulling back. Breadth 1 time once again expanded, amongst over one m stocks across all exchanges posting fresh monthly highs. My mensurate of upticks vs. downticks continued quite strong; below nosotros tin run into a 10-day moving average. As mentioned before, mass has non been impressive, but the mass traded has been quite skewed toward the buyers:
* One of my pure volatility measures continues at levels to a greater extent than consistent amongst marketplace position highs than lows. Note VIX straightaway trading a flake higher upward 13. This has the potential to significantly constrain directional movement across all fourth dimension frames. There is less mass traded, *and* each unit of measurement of mass moves toll less.
* Note the continued forcefulness of liquid, high character corporate bonds (LQD). In a globe of depression as well as fifty-fifty negative rates, whatever yield becomes a prophylactic haven. Hence the surroundings inwards which stocks as well as bonds pick out been jointly outperforming (the conduct a chance parity trade).
Wednesday, March 30th
* New Trader U highlights 22 bad trading habits. Notice how many of them boil downwards to non existence rule-governed, where the rules reverberate trading strengths as well as identified best trading practices. That suggests that traders are suffering, non simply because they don't written report markets, but because they haven't genuinely studied their ain performance.
* Stocks liked the statements of the Fed chair as well as that has lifted us to a novel high for this rally. Interestingly, across all stocks on all exchanges, iii calendar month novel highs versus lows are lagging their peak from a dyad of weeks agone (see below). Among SPX shares, however, fresh 100-day highs vs. lows did hitting a marginal novel peak. I would larn concerned nearly the uptrend if stocks making fresh novel lows were to expand from here.
* Once again, nosotros saw buying pressure level completely dominate selling pressure level via the uptick/downtick measures. This lifted the cumulative uptick/downtick mensurate to novel highs (see below). As noted yesterday, mass has non been stellar (though it picked upward yesterday), but what mass has been in that location has been strongly skewed to the buyers as well as that has been associated historically amongst favorable near-term returns (upside momentum).
Tuesday, March 29th
* How tin y'all honor merchandise opportunities that others miss? Here is a procedure that tin assistance y'all larn amend at perceiving opportunity.
* Meh. Volume has been quite lackluster, as well as that is to a greater extent than typical of marketplace position tops than bottoms. We remain inwards relatively oversold territory on my swing measures as well as my measures of upticks vs. downticks remain strong. So my base of operations illustration remains a continued displace higher, but I can't say I'm peculiarly impressed amongst recent action. Financial as well as unloosen energy shares pick out been relatively weak as well as I hold to hold an oculus on little caps. Perhaps calendar month end/quarter cease flows volition convey about life to the market. Stocks making fresh monthly highs did uptick yesterday as well as I'm non seeing an influx of selling at all. Of the (low) mass acquaint yesterday, buyers were dominant.
* Put/call ratios were depression yesterday; shares outstanding for SPY pick out been modestly elevated. Bears are relatively absent.
* We're working off quite an overbought level, per the intermediate-term forcefulness nautical chart below, which tracks the release of SPX shares making novel highs vs. lows on multiple fourth dimension frames. To the extent that nosotros tin produce hence amongst minimal toll damage, it is supportive to the bulls.
Monday, March 28th
* In illustration y'all missed, here's my latest podcast; thank y'all to Chat With Traders.
* We've bounced from a swing oversold degree and, equally nosotros tin run into below, are non yet at an overbought level.
* Buying involvement hitting a novel rally high amongst this most recent bounce. This mensurate tracks upticks versus downticks for all listed stocks, non simply those on NYSE.
* The 1 wing inwards the ointment that I run into is the depression mass as well as volatility, which are associated historically amongst subnormal forrard returns over an intermediate-term horizon. My mensurate of cumulative upticking as well as downticking is non yet at such a depression request that would advise pathetic near-term returns. As a rule, bull moves decease amongst an absence of buyers. It's something I'm monitoring daily.
* Top twenty people to follow on Stock Twits as well as Twitter for corking marketplace position content. Of course, Ivaylo is besides pocket-size to include himself, hence I'll nominate him hither both for his spider web log content as well as his books.
* We've pulled dorsum from recent highs, equally my measures of realized resultant fourth dimension volatility hold lower--a province of affairs that, inwards the past, has been associated amongst subnormal forrard returns. Stocks making novel monthly highs across all exchanges declined from 1221 to 822; monthly lows ticked upward from 106 to 137. So it's difficult to say that nosotros pick out weak breadth. As noted yesterday, my mensurate of upticks vs. downticks has continued positive. Yesterday was positive, but full institutional participation contracted least since the rally began. Again, this has been associated historically amongst subnormal returns. Institutional participation is a mensurate of full upticks as well as downticks across all NYSE shares (not mass traded). The depression mass as well as volatility brand me non peculiarly bullish; the absence of novel lows as well as downticks brand me non peculiarly bearish.
* My cycle mensurate continues inwards positive territory but off its highs. Many of my breadth measures await this way: positive, but off their peaks. Note how we've stayed positive for much longer than during recent cycles--again a tell that this has been to a greater extent than than a comport marketplace position rally or fifty-fifty a bounce higher inwards a make market.
* Are in that location microtrends inside the marketplace position as well as are these tradeable? Hell, I pick out no idea, but I'm researching it. Will permit y'all know what I find. This volition live on a purely systematic implementation. My other inquiry projection is identifying longer term cycles inwards the stock market, amongst information going dorsum to 1980. This is based on a unique implementation of the resultant fourth dimension concept. Basing resultant fourth dimension on mass doesn't move because of the secular differences inwards mass over the catamenia of decades. If you're non innovating, you're stagnating. Too many traders pat themselves on the dorsum for doing the same affair 1 time again as well as 1 time again as well as calling it discipline. Influenza A virus subtype H5N1 disciplined implementation of an outmoded approach volition lose coin amongst admirable consistency.
* If y'all await at stocks exterior the U.S., such equally the EFA ETF, the longer-term motion painting is pretty unimpressive. It is non clear to me that negative rates are having the desired affect overseas. If this is the case, nosotros could run into to a greater extent than aggressive key depository fiscal establishment stimulation of economies, peculiarly if those indicators of deflation--strengthening currencies, weakening commodities, etc.--become to a greater extent than problematic.
Thursday, March 31st
* Is the housing marketplace position strong or weak? See It Market notes mixed signals amidst furnish constraints.
* Oil as well as commodities overall (DBC) pick out been lagging stock toll gains recently; keeping an oculus on that relationship. I'm also noticing high yield bonds (JNK) lagging recent toll gains inwards stocks. These relationships were key during the catamenia of marketplace position weakness.
* Stocks rallied nicely early on yesterday, 1 time again posting fresh rally highs earlier pulling back. Breadth 1 time once again expanded, amongst over one m stocks across all exchanges posting fresh monthly highs. My mensurate of upticks vs. downticks continued quite strong; below nosotros tin run into a 10-day moving average. As mentioned before, mass has non been impressive, but the mass traded has been quite skewed toward the buyers:
* One of my pure volatility measures continues at levels to a greater extent than consistent amongst marketplace position highs than lows. Note VIX straightaway trading a flake higher upward 13. This has the potential to significantly constrain directional movement across all fourth dimension frames. There is less mass traded, *and* each unit of measurement of mass moves toll less.
* Note the continued forcefulness of liquid, high character corporate bonds (LQD). In a globe of depression as well as fifty-fifty negative rates, whatever yield becomes a prophylactic haven. Hence the surroundings inwards which stocks as well as bonds pick out been jointly outperforming (the conduct a chance parity trade).
Wednesday, March 30th
* New Trader U highlights 22 bad trading habits. Notice how many of them boil downwards to non existence rule-governed, where the rules reverberate trading strengths as well as identified best trading practices. That suggests that traders are suffering, non simply because they don't written report markets, but because they haven't genuinely studied their ain performance.
* Stocks liked the statements of the Fed chair as well as that has lifted us to a novel high for this rally. Interestingly, across all stocks on all exchanges, iii calendar month novel highs versus lows are lagging their peak from a dyad of weeks agone (see below). Among SPX shares, however, fresh 100-day highs vs. lows did hitting a marginal novel peak. I would larn concerned nearly the uptrend if stocks making fresh novel lows were to expand from here.
* Once again, nosotros saw buying pressure level completely dominate selling pressure level via the uptick/downtick measures. This lifted the cumulative uptick/downtick mensurate to novel highs (see below). As noted yesterday, mass has non been stellar (though it picked upward yesterday), but what mass has been in that location has been strongly skewed to the buyers as well as that has been associated historically amongst favorable near-term returns (upside momentum).
Tuesday, March 29th
* How tin y'all honor merchandise opportunities that others miss? Here is a procedure that tin assistance y'all larn amend at perceiving opportunity.
* Meh. Volume has been quite lackluster, as well as that is to a greater extent than typical of marketplace position tops than bottoms. We remain inwards relatively oversold territory on my swing measures as well as my measures of upticks vs. downticks remain strong. So my base of operations illustration remains a continued displace higher, but I can't say I'm peculiarly impressed amongst recent action. Financial as well as unloosen energy shares pick out been relatively weak as well as I hold to hold an oculus on little caps. Perhaps calendar month end/quarter cease flows volition convey about life to the market. Stocks making fresh monthly highs did uptick yesterday as well as I'm non seeing an influx of selling at all. Of the (low) mass acquaint yesterday, buyers were dominant.
* Put/call ratios were depression yesterday; shares outstanding for SPY pick out been modestly elevated. Bears are relatively absent.
* We're working off quite an overbought level, per the intermediate-term forcefulness nautical chart below, which tracks the release of SPX shares making novel highs vs. lows on multiple fourth dimension frames. To the extent that nosotros tin produce hence amongst minimal toll damage, it is supportive to the bulls.
Monday, March 28th
* In illustration y'all missed, here's my latest podcast; thank y'all to Chat With Traders.
* We've bounced from a swing oversold degree and, equally nosotros tin run into below, are non yet at an overbought level.
* Buying involvement hitting a novel rally high amongst this most recent bounce. This mensurate tracks upticks versus downticks for all listed stocks, non simply those on NYSE.
* The 1 wing inwards the ointment that I run into is the depression mass as well as volatility, which are associated historically amongst subnormal forrard returns over an intermediate-term horizon. My mensurate of cumulative upticking as well as downticking is non yet at such a depression request that would advise pathetic near-term returns. As a rule, bull moves decease amongst an absence of buyers. It's something I'm monitoring daily.
Info!! Trading Notes For The Calendar Week Of April 25, 2016
Friday, Apr 29th
* I'll hold upwards talking amongst the Benzinga pre-market prep show at 8:35 AM today. We'll create got a seem at the psychology of the electrical current market.
* I beloved this postal service regarding innovating too finding novel merchandise setups from Ivanhoff.
* Stocks bounced nicely from overnight weakness yesterday but too then stalled at prior peak levels too sold off sharply into the close. Breadth was non peculiarly poor; fresh monthly novel highs dropped to 915 too novel lows rose a fighting to 235. Technology/NASDAQ shares broke below their before Apr lows; housing stocks (XHB) also took a hit. That's non the form of activity you'd await if the marketplace position was pricing inwards economical strength. Fewer than 50% of SPX shares are trading inwards a higher house their 3, 5, too 10-day moving averages. Let's encounter if that tin send away convey inwards buyers, equally prior short-term corrections create got been able to do.
* H5N1 few things dissimilar most this most recent marketplace position drop: 1) higher volatility on the decline, amongst extreme selling on the NYSE TICK measure; 2) the market's inability to rally during USD weakness too commodity firmness; too 3) continued breakdown of correlations amid marketplace position sectors. It's when nosotros encounter shifts inwards volatility too correlation that nosotros desire to entertain notions of authorities change.
* My intermediate-term measures are silent nowhere close oversold levels. I'm quite opened upwards to toppy marketplace position activity hither too an intermediate-term correction inside the bull cycle. I'm non expecting a precipitous reversal to send marketplace position mode. Note the precipitous rising inwards VIX. My Pure VIX model has turned neutral; non yet inwards "fearful" territory.
Thursday, Apr 28th
* A seem at the recent displace to higher involvement rates, which has affected the trading of higher yielding stocks too stock sectors.
* Stocks create got fallen dorsum afterward the Bank of Nippon disappointment final night. We're right away close the lower terminate of the recent trading range. I haven't noticed item breadth weakness. Indeed, smaller cap indexes moved to novel highs yesterday, equally did a lay out of large cap sectors. Much of the index weakness has come upwards from technology scientific discipline shares too the higher yielding sectors. New monthly highs rose to 1112; novel lows rose a fighting to 209. My intermediate-term wheel measures are stretched to the upside, however, so I would non hold upwards surprised to encounter farther consolidation.
* Most of the corrective activity we've seen inwards stocks since the Feb depression has consisted of sector rotation; therefore no meaningful deterioration inwards the breadth numbers. Below nosotros tin send away encounter a nautical chart of stocks across all the States exchanges making fresh 3-month highs versus 3-month lows. It has stayed good for yous throughout the recent move. One of the things I'm tracking going forrad is the grade to which nosotros encounter across the board weakness on pullbacks versus rotational movement.
Wednesday, Apr 27th
* Here's a valuable perspective on challenging hedge fund performance from the Mathematical Investor site.
* My mensurate of breadth volatility has reached depression levels final reached inwards belatedly November, 2015 before the marketplace position drop. Volume inwards stocks has also been lagging, which has been associated amongst subnormal forrad returns. That beingness said, breadth improved yesterday, amongst 876 fresh monthly novel highs too 189 novel lows.
* Note the divergent sector surgery inwards the past times week, amongst higher yielding shares underperforming too commodity-related shares outperforming. (Graphic from FinViz). Rates create got been rising ahead of the Fed; I'm keeping a unopen optic on this. Note also how technology scientific discipline has been lagging. Rising rates? Higher commodities? Low growth? Can't imagine a stagflation scenario would hold upwards a non bad one...
Tuesday, Apr 26th
* Excellent interrogation links from Abnormal Returns. H5N1 non bad aggregation of quant interrogation comes from Quantocracy. Lots of novel ideas inwards these sources too lots of practiced blogs to follow.
* So far my trading experiment has been interesting. I've been placing far fewer trades, solely trading when the marketplace position lines upwards on 3 fourth dimension frames too a short-term signal is triggered. The signal comes from volatility bands drawn around lawsuit bars, so the bands reverberate what I've been calling pure volatility (volatility per unit of measurement of marketplace position volume). The target is also based upon a motility inwards pure volatility units. The really structured nature of the opportunity taking has led to zilch overtrading too a higher hitting charge per unit of measurement on trades. I'm placing solely a 10th of the trades I was placing before, overall profitability inwards dollar price has non been hurt, too of course of educational activity risk-adjusted profitability has increased greatly. It is non clear to me that much of the trading nosotros produce adds value. By structuring rules around our best trades, nosotros tin send away create important gratis fourth dimension for interrogation too life exterior of markets.
* We saw increased selling push clit per unit of measurement area inwards yesterday's trade, but cost held relatively good too has bounced a fighting inwards overnight trade. New monthly highs dropped to 586 too monthly lows also dipped to 208. I'm silent non seeing important weakness across sectors; the key banking company focus the balance of the calendar week volition dominate trade.
* We tin send away encounter the market's forcefulness inwards the wheel mensurate below. My long-term wheel interrogation suggests that nosotros made an of import wheel depression inwards Feb (the prior wheel depression was October, 2014) too create got been inwards a momentum stage of the novel cycle. I ultimately await the electrical current wheel to create got us to novel highs, driven equally much past times dovish key banks too the postulate for yield equally growth per se.
Monday, Apr 25th
* There is a psychological procedure that underlies self-confidence--and to a greater extent than specifically a cognitive process. Key is the recognition is that confidence is an seem of optimism--and optimism comes from finding structural similarities betwixt introduce challenges too past times ones that create got been mastered. This is really relevant to the capacity to stick amongst one's ideas too atmospheric condition drawdowns.
* I'm currently working on a projection that tracks long-term cycles inwards the stock market. These cycles extend for months, non minutes or days. It is at this horizon that momentum effects most clearly emerge. For example, if nosotros larn dorsum to 2006 too rails the per centum of SPX shares that unopen inwards a higher house their 100-day moving averages, nosotros notice that the move past times one-half of readings (those inwards which in that location has been strongest breadth) final result inwards an average side past times side 50-day gain of +2.15%. The bottom one-half of readings average a side past times side 50-day gain of solely +.33%. The lion's part of the surgery differential occurs afterward a 20-day belongings period. Think most what that agency for traders who prepare longer-term ideas but create got to merchandise them on curt fourth dimension frames too what that agency for short-term traders. Also recollect most the implications for the electrical current market.
* Stocks create got pulled dorsum inwards overnight trading, continuing to consolidate recent gains. None of my breadth measures propose that we're yet at an oversold level, equally tin send away hold upwards seen below. This mensurate tracks SPX shares trading inwards a higher house their 3, 5, 10, too 20-day moving averages. (Raw information from Index Indicators).
* I'll hold upwards talking amongst the Benzinga pre-market prep show at 8:35 AM today. We'll create got a seem at the psychology of the electrical current market.
* I beloved this postal service regarding innovating too finding novel merchandise setups from Ivanhoff.
* Stocks bounced nicely from overnight weakness yesterday but too then stalled at prior peak levels too sold off sharply into the close. Breadth was non peculiarly poor; fresh monthly novel highs dropped to 915 too novel lows rose a fighting to 235. Technology/NASDAQ shares broke below their before Apr lows; housing stocks (XHB) also took a hit. That's non the form of activity you'd await if the marketplace position was pricing inwards economical strength. Fewer than 50% of SPX shares are trading inwards a higher house their 3, 5, too 10-day moving averages. Let's encounter if that tin send away convey inwards buyers, equally prior short-term corrections create got been able to do.
* H5N1 few things dissimilar most this most recent marketplace position drop: 1) higher volatility on the decline, amongst extreme selling on the NYSE TICK measure; 2) the market's inability to rally during USD weakness too commodity firmness; too 3) continued breakdown of correlations amid marketplace position sectors. It's when nosotros encounter shifts inwards volatility too correlation that nosotros desire to entertain notions of authorities change.
* My intermediate-term measures are silent nowhere close oversold levels. I'm quite opened upwards to toppy marketplace position activity hither too an intermediate-term correction inside the bull cycle. I'm non expecting a precipitous reversal to send marketplace position mode. Note the precipitous rising inwards VIX. My Pure VIX model has turned neutral; non yet inwards "fearful" territory.
Thursday, Apr 28th
* A seem at the recent displace to higher involvement rates, which has affected the trading of higher yielding stocks too stock sectors.
* Stocks create got fallen dorsum afterward the Bank of Nippon disappointment final night. We're right away close the lower terminate of the recent trading range. I haven't noticed item breadth weakness. Indeed, smaller cap indexes moved to novel highs yesterday, equally did a lay out of large cap sectors. Much of the index weakness has come upwards from technology scientific discipline shares too the higher yielding sectors. New monthly highs rose to 1112; novel lows rose a fighting to 209. My intermediate-term wheel measures are stretched to the upside, however, so I would non hold upwards surprised to encounter farther consolidation.
* Most of the corrective activity we've seen inwards stocks since the Feb depression has consisted of sector rotation; therefore no meaningful deterioration inwards the breadth numbers. Below nosotros tin send away encounter a nautical chart of stocks across all the States exchanges making fresh 3-month highs versus 3-month lows. It has stayed good for yous throughout the recent move. One of the things I'm tracking going forrad is the grade to which nosotros encounter across the board weakness on pullbacks versus rotational movement.
Wednesday, Apr 27th
* Here's a valuable perspective on challenging hedge fund performance from the Mathematical Investor site.
* My mensurate of breadth volatility has reached depression levels final reached inwards belatedly November, 2015 before the marketplace position drop. Volume inwards stocks has also been lagging, which has been associated amongst subnormal forrad returns. That beingness said, breadth improved yesterday, amongst 876 fresh monthly novel highs too 189 novel lows.
* Note the divergent sector surgery inwards the past times week, amongst higher yielding shares underperforming too commodity-related shares outperforming. (Graphic from FinViz). Rates create got been rising ahead of the Fed; I'm keeping a unopen optic on this. Note also how technology scientific discipline has been lagging. Rising rates? Higher commodities? Low growth? Can't imagine a stagflation scenario would hold upwards a non bad one...
Tuesday, Apr 26th
* Excellent interrogation links from Abnormal Returns. H5N1 non bad aggregation of quant interrogation comes from Quantocracy. Lots of novel ideas inwards these sources too lots of practiced blogs to follow.
* So far my trading experiment has been interesting. I've been placing far fewer trades, solely trading when the marketplace position lines upwards on 3 fourth dimension frames too a short-term signal is triggered. The signal comes from volatility bands drawn around lawsuit bars, so the bands reverberate what I've been calling pure volatility (volatility per unit of measurement of marketplace position volume). The target is also based upon a motility inwards pure volatility units. The really structured nature of the opportunity taking has led to zilch overtrading too a higher hitting charge per unit of measurement on trades. I'm placing solely a 10th of the trades I was placing before, overall profitability inwards dollar price has non been hurt, too of course of educational activity risk-adjusted profitability has increased greatly. It is non clear to me that much of the trading nosotros produce adds value. By structuring rules around our best trades, nosotros tin send away create important gratis fourth dimension for interrogation too life exterior of markets.
* We saw increased selling push clit per unit of measurement area inwards yesterday's trade, but cost held relatively good too has bounced a fighting inwards overnight trade. New monthly highs dropped to 586 too monthly lows also dipped to 208. I'm silent non seeing important weakness across sectors; the key banking company focus the balance of the calendar week volition dominate trade.
* We tin send away encounter the market's forcefulness inwards the wheel mensurate below. My long-term wheel interrogation suggests that nosotros made an of import wheel depression inwards Feb (the prior wheel depression was October, 2014) too create got been inwards a momentum stage of the novel cycle. I ultimately await the electrical current wheel to create got us to novel highs, driven equally much past times dovish key banks too the postulate for yield equally growth per se.
Monday, Apr 25th
* There is a psychological procedure that underlies self-confidence--and to a greater extent than specifically a cognitive process. Key is the recognition is that confidence is an seem of optimism--and optimism comes from finding structural similarities betwixt introduce challenges too past times ones that create got been mastered. This is really relevant to the capacity to stick amongst one's ideas too atmospheric condition drawdowns.
* I'm currently working on a projection that tracks long-term cycles inwards the stock market. These cycles extend for months, non minutes or days. It is at this horizon that momentum effects most clearly emerge. For example, if nosotros larn dorsum to 2006 too rails the per centum of SPX shares that unopen inwards a higher house their 100-day moving averages, nosotros notice that the move past times one-half of readings (those inwards which in that location has been strongest breadth) final result inwards an average side past times side 50-day gain of +2.15%. The bottom one-half of readings average a side past times side 50-day gain of solely +.33%. The lion's part of the surgery differential occurs afterward a 20-day belongings period. Think most what that agency for traders who prepare longer-term ideas but create got to merchandise them on curt fourth dimension frames too what that agency for short-term traders. Also recollect most the implications for the electrical current market.
* Stocks create got pulled dorsum inwards overnight trading, continuing to consolidate recent gains. None of my breadth measures propose that we're yet at an oversold level, equally tin send away hold upwards seen below. This mensurate tracks SPX shares trading inwards a higher house their 3, 5, 10, too 20-day moving averages. (Raw information from Index Indicators).
Monday, January 14, 2019
Info!! Trading Notes: Calendar Week Of December 14Th
Friday, Dec 18th
* Thursday's activity during New York hours completely reversed recent strength, amongst toll weakness evident essentially from the opening bell. When nosotros did instruct roughly decent buying flows inward the 2nd one-half hr of trade, those were unable to force the marketplace seat to novel highs. Meanwhile, nosotros saw a resumption of weakness inward fossil oil in addition to high yield markets in addition to force inward the US dollar. From that dot forrard nosotros traced out a vogue twenty-four hours to the downside, every bit selling flows took over. When y'all instruct meaningful buying that cannot force prices to fresh highs (or vice versa), that is ofttimes a groovy nation for intraday trading. Those buyers are trapped on subsequent weakness in addition to contribute to the continued decline.
* Per my plan, I bought the early on weakness, went greenish on the merchandise amongst the morning time buying, in addition to and thus proceeded to lose that gain in addition to cash inward one's chips into the red. "That shouldn't hold upward happening," was my response to the toll activity in addition to I stopped out amongst a pocket-size loss on the position. When skilful trades (trades based on historical tendencies) cash inward one's chips bad, at that spot is data there. Quite simply, the idiosyncratic influences of the fossil oil in addition to credit weakness, dollar strength, in addition to marketplace seat maker selling to hedge set selection losses inward the confront of quadruple witching overwhelmed whatsoever historical vogue for an oversold marketplace seat to proceed higher. This is why flexibility inward next the record is paramount; getting locked into a marketplace seat persuasion blinds 1 to those unique influences that tin plough markets.
* That beingness said, I'm non convinced that yesterday's weakness (and roughly weakness thus far inward pre-opening trade) is a one-off that nosotros tin but attribute to options expiry. The weakness inward emerging marketplace seat stocks is real; the weakness inward commodities is real; the weakness inward high yield bond markets is real; in addition to the number of stocks making annual lows vs. highs has been expanding. All of this leaves me opened upward to the possibility that nosotros move off the recent oversold status inward a depression Sharpe manner, ultimately making lower highs inward the major indexes, in addition to setting the stage for a meaningful decline. The weaker in addition to choppier whatsoever bounce from this latest weakness, the to a greater extent than opened upward I cash inward one's chips to that hypothesis.
* I uncovering the weakness inward AAPL to hold upward noteworthy. It's 1 of those bellwether issues that bears watching. Notice also how little in addition to midcap stocks (IWM) are farther from their 2015 price highs than large caps. Microcaps (IWC) are similarly relatively weak. On the other hand, the to a greater extent than defensive consumer staples shares (XLP) touched a novel high recently. Not precisely a designing of relative force that speaks to wide in addition to potent economical increase expectations.
Thursday, Dec 17th
* Once 1 time to a greater extent than nosotros saw force inward stocks coming out of recent oversold conditions, amongst the strategy of buying weakness that stays to a higher house overnight in addition to prior day's lows working well. We've continued potent inward overnight trading, which keeps the basic strategy alive. Early inward an upward stage of a marketplace seat wheel nosotros tend to regard momentum, which way that force builds on recent strength. That's what we've been seeing recently.
* Per the nautical chart below, my basic overbought/oversold measures house us nowhere close overbought yet. We stimulate got over 80% of SPX stocks trading to a higher house their three- in addition to five-day moving averages, but that number tin remain elevated for a piece inward early on phases of marketplace seat rallies. I'm peculiarly interested to uncovering the correlation betwixt stocks in addition to the fossil oil market, which had been quite high in addition to similar a shot seems to hold upward breaking down.
Wednesday, Dec 16th
* Many traders essay to predict what volition move on side past times side when they don't sympathise what is happening now. Here's an article that addresses that situation.
* Yesterday's postal service noted the oversold province of affairs inward the marketplace seat in addition to cited bullish expectations. Those played out good inward yesterday's merchandise in addition to similar a shot inward the overnight session. Today's trading volition hold upward dominated past times the Fed coming together proclamation inward the afternoon. With traders focused on recent turmoil inward high yield markets in addition to the drib inward oil, roughly are anticipating dovish messaging from the Fed. It is non clear to me that this volition hold upward the Fed's primary focus, which could move out room for a "hawkish"/bearish surprise. That beingness said, given the queries cited yesterday, buying weakness that holds to a higher house overnight in addition to prior day's lows continues to brand sense.
* Note that we've bounced nicely inward short-term breadth, given yesterday's rally. If this is the start of a bull motility higher, nosotros should regard the "overbought" status remain overbought for multiple days, every bit the early on stage of an upward wheel typically features momentum. Where we're at inward cycles helps decide whether nosotros tin aspect short-term momentum versus hateful reversion.
Tuesday, December 15th
* I flora yesterday afternoon's trading inward ES to hold upward rattling constructive. We had important bouts of selling pressure level (high negative TICK readings) but toll held to a higher house its morning time lows. Since that time, we've seen a prissy rally inward stocks inward European hours. The inability of selling to force prices lower in addition to the inability of buying to force prices to novel highs is ofttimes a skilful nation for toll reversals. (Interestingly, the NYSE TICK readings for much of the twenty-four hours were much to a greater extent than negative than the TICK readings I aspect at that encompass all stocks, including little caps in addition to transactions on regional in addition to electronic exchanges. That all-stock TICK is tracked via e-Signal. I volition hold upward monitoring divergences betwixt these measures closely to regard if there's consistent data there. As 1 savvy trader pointed out, the NYSE TICK is in all likelihood to a greater extent than dominated past times bonds in addition to bond-related shares trading on the exchange).
* Meanwhile, we're inward pretty oversold territory every bit the nautical chart below indicates. This tracks the number of SPX stocks making fresh highs vs. lows over a 5, 20, in addition to 100 twenty-four hours fourth dimension frame. (Data from Index Indicators). In the past times duo of years, returns stimulate got been favorable when we've reached such oversold levels. Since 2010, when this mensurate has been inward its most oversold quartile, the side past times side 5 days inward SPX stimulate got averaged a gain of +.63%. When the mensurate has been inward the other iii quartiles, the side past times side 5 days stimulate got averaged a gain of solely +.04%.
* In a time to come post, I'll hold upward talking to a greater extent than virtually my query into marketplace seat cycles. For now, here's a aspect at 1 of my wheel measures. It, too, shows us at quite oversold levels. Since 2012, when cycles stimulate got been inward their most oversold quartile of values, the side past times side 10 days inward SPY stimulate got averaged a gain of +1.05%. The ease of occasions stimulate got averaged a ten-day gain of solely +.33%.
Monday, Dec 14th
* When markets knock y'all down, practise you: a) remain downward in addition to dorsum away; b) grit your teeth in addition to stick amongst what you're doing; or c) figure out what went incorrect in addition to essay to adapt? How nosotros answer to adversity makes all the difference inward our long-term success.
* H5N1 genuinely weak marketplace seat is 1 inward which oversold weather condition give way to fifty-fifty to a greater extent than oversold conditions, in addition to that is what nosotros saw on Friday. The number of stocks making fresh novel lows, which had moderated inward recent sessions, exploded on Friday, next the weakness inward fossil oil in addition to high yield bonds. Across all exchanges, nosotros had sixty novel three-month highs against 694 novel lows. That's the highest degree of novel lows since belatedly September. With fossil oil prices weak overseas, we're having difficulty sustaining an overnight rally. Failure to bounce meaningfully from oversold weather condition is a alarm sign; I'd rather allow the bulls bear witness themselves in addition to purchase the kickoff pullback than essay to grab knives.
* Note how little (IJR) in addition to mid-cap (MDY) stocks stimulate got broken below their Nov levels; also Federal Reserve notation that emerging marketplace seat stocks are closing inward on their September lows. Wide swaths of the equity markets are weak; this is non how bull markets behave.
* VIX unopen to a higher house 24 on Friday. Volatility has picked upward in addition to that tin Pb to painful brusque roofing rallies every bit good every bit vehement downside moves. It's of import to stimulate got volatility into concern human relationship when sizing positions in addition to deciding upon asset periods for positions.
* Thursday's activity during New York hours completely reversed recent strength, amongst toll weakness evident essentially from the opening bell. When nosotros did instruct roughly decent buying flows inward the 2nd one-half hr of trade, those were unable to force the marketplace seat to novel highs. Meanwhile, nosotros saw a resumption of weakness inward fossil oil in addition to high yield markets in addition to force inward the US dollar. From that dot forrard nosotros traced out a vogue twenty-four hours to the downside, every bit selling flows took over. When y'all instruct meaningful buying that cannot force prices to fresh highs (or vice versa), that is ofttimes a groovy nation for intraday trading. Those buyers are trapped on subsequent weakness in addition to contribute to the continued decline.
* Per my plan, I bought the early on weakness, went greenish on the merchandise amongst the morning time buying, in addition to and thus proceeded to lose that gain in addition to cash inward one's chips into the red. "That shouldn't hold upward happening," was my response to the toll activity in addition to I stopped out amongst a pocket-size loss on the position. When skilful trades (trades based on historical tendencies) cash inward one's chips bad, at that spot is data there. Quite simply, the idiosyncratic influences of the fossil oil in addition to credit weakness, dollar strength, in addition to marketplace seat maker selling to hedge set selection losses inward the confront of quadruple witching overwhelmed whatsoever historical vogue for an oversold marketplace seat to proceed higher. This is why flexibility inward next the record is paramount; getting locked into a marketplace seat persuasion blinds 1 to those unique influences that tin plough markets.
* That beingness said, I'm non convinced that yesterday's weakness (and roughly weakness thus far inward pre-opening trade) is a one-off that nosotros tin but attribute to options expiry. The weakness inward emerging marketplace seat stocks is real; the weakness inward commodities is real; the weakness inward high yield bond markets is real; in addition to the number of stocks making annual lows vs. highs has been expanding. All of this leaves me opened upward to the possibility that nosotros move off the recent oversold status inward a depression Sharpe manner, ultimately making lower highs inward the major indexes, in addition to setting the stage for a meaningful decline. The weaker in addition to choppier whatsoever bounce from this latest weakness, the to a greater extent than opened upward I cash inward one's chips to that hypothesis.
* I uncovering the weakness inward AAPL to hold upward noteworthy. It's 1 of those bellwether issues that bears watching. Notice also how little in addition to midcap stocks (IWM) are farther from their 2015 price highs than large caps. Microcaps (IWC) are similarly relatively weak. On the other hand, the to a greater extent than defensive consumer staples shares (XLP) touched a novel high recently. Not precisely a designing of relative force that speaks to wide in addition to potent economical increase expectations.
Thursday, Dec 17th
* Once 1 time to a greater extent than nosotros saw force inward stocks coming out of recent oversold conditions, amongst the strategy of buying weakness that stays to a higher house overnight in addition to prior day's lows working well. We've continued potent inward overnight trading, which keeps the basic strategy alive. Early inward an upward stage of a marketplace seat wheel nosotros tend to regard momentum, which way that force builds on recent strength. That's what we've been seeing recently.
* Per the nautical chart below, my basic overbought/oversold measures house us nowhere close overbought yet. We stimulate got over 80% of SPX stocks trading to a higher house their three- in addition to five-day moving averages, but that number tin remain elevated for a piece inward early on phases of marketplace seat rallies. I'm peculiarly interested to uncovering the correlation betwixt stocks in addition to the fossil oil market, which had been quite high in addition to similar a shot seems to hold upward breaking down.
Wednesday, Dec 16th
* Many traders essay to predict what volition move on side past times side when they don't sympathise what is happening now. Here's an article that addresses that situation.
* Yesterday's postal service noted the oversold province of affairs inward the marketplace seat in addition to cited bullish expectations. Those played out good inward yesterday's merchandise in addition to similar a shot inward the overnight session. Today's trading volition hold upward dominated past times the Fed coming together proclamation inward the afternoon. With traders focused on recent turmoil inward high yield markets in addition to the drib inward oil, roughly are anticipating dovish messaging from the Fed. It is non clear to me that this volition hold upward the Fed's primary focus, which could move out room for a "hawkish"/bearish surprise. That beingness said, given the queries cited yesterday, buying weakness that holds to a higher house overnight in addition to prior day's lows continues to brand sense.
* Note that we've bounced nicely inward short-term breadth, given yesterday's rally. If this is the start of a bull motility higher, nosotros should regard the "overbought" status remain overbought for multiple days, every bit the early on stage of an upward wheel typically features momentum. Where we're at inward cycles helps decide whether nosotros tin aspect short-term momentum versus hateful reversion.
Tuesday, December 15th
* I flora yesterday afternoon's trading inward ES to hold upward rattling constructive. We had important bouts of selling pressure level (high negative TICK readings) but toll held to a higher house its morning time lows. Since that time, we've seen a prissy rally inward stocks inward European hours. The inability of selling to force prices lower in addition to the inability of buying to force prices to novel highs is ofttimes a skilful nation for toll reversals. (Interestingly, the NYSE TICK readings for much of the twenty-four hours were much to a greater extent than negative than the TICK readings I aspect at that encompass all stocks, including little caps in addition to transactions on regional in addition to electronic exchanges. That all-stock TICK is tracked via e-Signal. I volition hold upward monitoring divergences betwixt these measures closely to regard if there's consistent data there. As 1 savvy trader pointed out, the NYSE TICK is in all likelihood to a greater extent than dominated past times bonds in addition to bond-related shares trading on the exchange).
* Meanwhile, we're inward pretty oversold territory every bit the nautical chart below indicates. This tracks the number of SPX stocks making fresh highs vs. lows over a 5, 20, in addition to 100 twenty-four hours fourth dimension frame. (Data from Index Indicators). In the past times duo of years, returns stimulate got been favorable when we've reached such oversold levels. Since 2010, when this mensurate has been inward its most oversold quartile, the side past times side 5 days inward SPX stimulate got averaged a gain of +.63%. When the mensurate has been inward the other iii quartiles, the side past times side 5 days stimulate got averaged a gain of solely +.04%.
Monday, Dec 14th
* When markets knock y'all down, practise you: a) remain downward in addition to dorsum away; b) grit your teeth in addition to stick amongst what you're doing; or c) figure out what went incorrect in addition to essay to adapt? How nosotros answer to adversity makes all the difference inward our long-term success.
* H5N1 genuinely weak marketplace seat is 1 inward which oversold weather condition give way to fifty-fifty to a greater extent than oversold conditions, in addition to that is what nosotros saw on Friday. The number of stocks making fresh novel lows, which had moderated inward recent sessions, exploded on Friday, next the weakness inward fossil oil in addition to high yield bonds. Across all exchanges, nosotros had sixty novel three-month highs against 694 novel lows. That's the highest degree of novel lows since belatedly September. With fossil oil prices weak overseas, we're having difficulty sustaining an overnight rally. Failure to bounce meaningfully from oversold weather condition is a alarm sign; I'd rather allow the bulls bear witness themselves in addition to purchase the kickoff pullback than essay to grab knives.
* Note how little (IJR) in addition to mid-cap (MDY) stocks stimulate got broken below their Nov levels; also Federal Reserve notation that emerging marketplace seat stocks are closing inward on their September lows. Wide swaths of the equity markets are weak; this is non how bull markets behave.
* VIX unopen to a higher house 24 on Friday. Volatility has picked upward in addition to that tin Pb to painful brusque roofing rallies every bit good every bit vehement downside moves. It's of import to stimulate got volatility into concern human relationship when sizing positions in addition to deciding upon asset periods for positions.
Saturday, August 19, 2006
Info!! Coin Menstruation Into The Consumer Discretionary Sector
My terminal post took a await at coin flows inside the financial sector of the S&P 500 large cap stock universe. (See that post for an explanation of coin menstruum as well as how it is calculated).
The financial sector is particularly of import to marketplace sentiment, given the concerns we've had over banking company losses as well as credit quality.
A minute sector I'm next closely is the consumer discretionary stocks, which are sensitive to consumer behavior--and thus the comport upon of recession. If the stock marketplace is looking past times recession to a recovery, nosotros should come across inflows of uppercase to the consumer discretionary area. If the marketplace is anticipating deepening as well as to a greater extent than prolonged recession, however, nosotros should come across outflows from these shares.
The nautical chart higher upward depicts five-day coin flows vs. the XLY (consumer discretionary) sector ETF. The flows are based upon the 10 nearly highly weighted stocks inside XLY. These are: MCD, DIS, CMCSK, TWX, HD, NWS, TGT, LOW, NKE, as well as VIA.B.
We tin come across a designing inward the coin flows for consumer discretionary issues that is like to the i nosotros observed with financials as well as with the Dow Industrials stocks overall. Going into the Jan lows, nosotros saw consistent outflows from the consumer discretionary sector as well as and then sustained buying during slowly Jan as well as February. Outflows diminished alongside the March lows and, since early on April, we've seen resumed inflows to the sector.
This designing of waning selling see since the Jan lows is confirmed past times new high-new depression information for the stock marketplace overall as well as past times my operate on the Cumulative NYSE TICK. It is fair to enjoin that the diverse measures taken to assistance the economy, from charge per unit of measurement cuts to infusions of uppercase into banks as well as financial stimulus, cause got stemmed selling pressure level inward the market.
It is also clear, however, that these measures cause got non generated important inflows into stocks. While we've seen internet inflows to the consumer discretionary surface area since the inaugural off of April, the nearly recent toll forcefulness inward the sector has non been accompanied past times meaningful dollar flows. The Feb rally inward XLY failed when toll highs slowly inward the calendar month came on diminished uppercase inflows. H5N1 like designing may survive showing upward during April's market. XLY has moved to novel toll highs, exactly coin flows to the sector are lagging.
It is i affair to come across a drying upward of selling; it's about other to sustain buying. So far we've seen a notable decrease inward selling manifested across several see measures. Buying sentiment, on the other hand, remains muted of late--something nosotros volition necessitate to rails every bit nosotros merchandise at an of import surface area of long-term toll resistance inward the wide market.
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The financial sector is particularly of import to marketplace sentiment, given the concerns we've had over banking company losses as well as credit quality.
A minute sector I'm next closely is the consumer discretionary stocks, which are sensitive to consumer behavior--and thus the comport upon of recession. If the stock marketplace is looking past times recession to a recovery, nosotros should come across inflows of uppercase to the consumer discretionary area. If the marketplace is anticipating deepening as well as to a greater extent than prolonged recession, however, nosotros should come across outflows from these shares.
The nautical chart higher upward depicts five-day coin flows vs. the XLY (consumer discretionary) sector ETF. The flows are based upon the 10 nearly highly weighted stocks inside XLY. These are: MCD, DIS, CMCSK, TWX, HD, NWS, TGT, LOW, NKE, as well as VIA.B.
We tin come across a designing inward the coin flows for consumer discretionary issues that is like to the i nosotros observed with financials as well as with the Dow Industrials stocks overall. Going into the Jan lows, nosotros saw consistent outflows from the consumer discretionary sector as well as and then sustained buying during slowly Jan as well as February. Outflows diminished alongside the March lows and, since early on April, we've seen resumed inflows to the sector.
This designing of waning selling see since the Jan lows is confirmed past times new high-new depression information for the stock marketplace overall as well as past times my operate on the Cumulative NYSE TICK. It is fair to enjoin that the diverse measures taken to assistance the economy, from charge per unit of measurement cuts to infusions of uppercase into banks as well as financial stimulus, cause got stemmed selling pressure level inward the market.
It is also clear, however, that these measures cause got non generated important inflows into stocks. While we've seen internet inflows to the consumer discretionary surface area since the inaugural off of April, the nearly recent toll forcefulness inward the sector has non been accompanied past times meaningful dollar flows. The Feb rally inward XLY failed when toll highs slowly inward the calendar month came on diminished uppercase inflows. H5N1 like designing may survive showing upward during April's market. XLY has moved to novel toll highs, exactly coin flows to the sector are lagging.
It is i affair to come across a drying upward of selling; it's about other to sustain buying. So far we've seen a notable decrease inward selling manifested across several see measures. Buying sentiment, on the other hand, remains muted of late--something nosotros volition necessitate to rails every bit nosotros merchandise at an of import surface area of long-term toll resistance inward the wide market.
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Sunday, January 13, 2019
Info!! Trading Notes For The Calendar Week Of March 21, 2016
Friday, March 25th
* Perhaps the most mutual psychological challenge I listen from traders is how to maintain a positive mindset during periods of drawdown. It's rattling hard to lose coin for a stretch of fourth dimension when you're pouring your pump together with best efforts into markets. But at that spot is no surer agency of missing opportunities than becoming self-focused together with negatively focused. This recent article focuses on how nosotros tin sustain well-being together with a positive mindset fifty-fifty when everything seems to hold out going wrong.
* Stocks bounced from their short-term oversold province of affairs noted yesterday amongst the swing overbought/oversold measure. I am watching breadth closely here, every bit it would non surprise me to run across a to a greater extent than selective stage of the marketplace wheel going forward. The relative functioning of little caps is of item interest.
* I'm seeing increasing utter of straight monetary stimulus to economies. I suspect this volition hold out actively considered if nosotros larn a renewed deterioration of fiscal weather together with concerns re: deflation. The implications for asset prices (weak currencies, rigid commodities) would hold out significant.
* I've been putting considerable function into a gear upward of swing measures that rail overbought/oversold weather together with volatility. These are based on trial time, where each bar represents an amount of book or toll drive inwards the market, non a unit of measurement of chronological time. The OBOS mensurate captures momentum together with value effects on a swing basis: swing returns inwards ES convey been best when we're significantly overbought (+.54%) together with significantly oversold (+.49%). Returns convey been subnormal betwixt these extremes (-.05%). Although I bespeak to maintain the specifics of the mensurate proprietary together with express to the managers I function with, I'll happily update periodically on this blog. Swing returns from electrical flow levels of OBOS together with vol convey non been significantly positive or negative.
* Here is a swing volatility mensurate that looks at the volatility of the trial bars. Note how we're close levels that convey lately corresponded to marketplace peaks. This is yet roughly other argue I'm watching breadth closely.
Thursday, March 24th
* Thanks to Aaron Fifield for interviewing me for the Chat With Traders podcast. We demeanour on a set out of topics relevant to factors that brand for trading success. He's assembled an first-class lineup of interviews worth checking out.
* We've seen a recent pullback inwards stocks together with oil; yesterday's closed saw an expanded set out of stocks making novel lows amidst relative weakness amid little caps. I volition hold out tracking breadth closely here, every bit nosotros mightiness hold out seeing a to a greater extent than selective stage of the recent marketplace strength. Below is a nautical chart of stocks across all exchanges making fresh 3-month highs vs. lows:
* I've been exploring a swing overbought/oversold mensurate based on trial bars. As you lot tin see, we've lately entered oversold territory. As long every bit these swing lows are occurring at successive toll highs, I'm willing to give the produce goodness of the doubtfulness to the bulls. The nautical chart tracks the mensurate through the recent motion higher.
Wednesday, March 23rd
* We saw an early on selloff due to the Brussels news, precisely this was bought relatively early on inwards the NY session. It's a skillful trial of how, inwards a momentum environment, participants desire to larn long fifty-fifty on relatively little dips. That beingness said, my breadth volatility measures (volatility of daily breadth numbers) has been coming downwardly together with that has led to subnormal returns over the near-term horizon.
* Interestingly, we're hovering close our highs, precisely yesterday saw alone nigh 40% of SPX stocks trading inwards a higher house their 3-day moving averages. During these momentum periods, corrections tend to hold out rotational together with we're seeing roughly of that. Housing, financials, consumer staples, utilities--all convey been off their highs recently. Technology has been stronger.
* My wheel mensurate continues inwards elevated territory, in 1 trial to a greater extent than dissimilar much of what nosotros saw inwards 2015, where push clit led to weakness. That continued elevation on a shorter-term wheel mensurate suggests that a longer-term wheel is at play together with that this has been to a greater extent than than a bounce inwards a demeanour market.
Tuesday, March 22nd
* We're seeing roughly consolidation overnight next a little upward twenty-four hr catamenia yesterday. While SPX closed higher, nosotros returned to underperformance of little caps together with the set out of stocks across all exchanges making novel monthly highs dropped from 1660 to 886. New monthly lows likewise dropped, however, every bit we're soundless non seeing distinctive weakness inwards whatsoever sector. Volume together with volatility dropped; VIX is forthwith below 14. More on volatility below.
* Below is a short-term mensurate of the set out of SPX stocks making fresh 5, 20, together with 100-day highs versus lows. Notice how nosotros convey stayed elevated for a set out of consecutive days together with how this is different from what nosotros saw through much of 2015. Whereas "overbought" readings were opportunities to sell concluding year, then far inwards this rising we're seeing momentum together with push clit leading to farther strength--one of the signature characteristics of a fresh marketplace cycle.
* Despite the market's push clit together with momentum, the rally has non had a lot of fans. I honour on the Stock Twits site, for example, that messages regarding SPY are 40% bullish, 60% bearish. That ratio hasn't changed much during the concluding 2 weeks of gains. I likewise honour that shares outstanding for the SPY ETF convey in 1 trial once to a greater extent than dipped, forthwith dropping below their levels from 5, 10, together with 20 days ago. Very interestingly, the set out of shares outstanding for SPY has dropped over the course of pedagogy of the rally from mid-February. Share redemption has to a greater extent than oftentimes than non been associated amongst superior returns over a multi-week horizon.
* As mentioned above, volatility has dropped over the course of pedagogy of this marketplace rally. Equally notably, my pure volatility mensurate (volatility per unit of measurement of trading book for the ES futures) has dropped significantly (see below) together with is getting to levels that convey been seen at recent marketplace highs. I am rattling opened upward to the possibility that we're going into a different stage of the marketplace wheel where we'll run across lower volume, less drive per unit of measurement of volume, together with to a greater extent than of a grinding trade. For traders accustomed to the drive that nosotros saw for the starting fourth dimension duet of months of this year, that transition to a depression vol authorities tin hold out challenging, requiring a fresh approach to setting targets, stops, together with asset periods.
Monday, March 21st
* So often, inwards our trading goals, it's gear upward together with forget. We gear upward goals, precisely oftentimes neglect to follow through. This article draws upon recent research to position how tin nosotros transcend away to a greater extent than productive--better at pursuing together with reaching the goals that nosotros define.
* Stocks closed higher overall on Friday, together with we're forthwith seeing over 90% of SPX shares trading inwards a higher house their 20- together with 50-day moving averages. That is odd push clit off the Feb lows. My mensurate of upticks versus downticks amid NYSE stocks (NYSE TICK) showed corporation push clit on Fed twenty-four hr catamenia and, every bit the nautical chart below shows, has been inwards an uptrend on a cumulative basis, eclipsing its previous high. I believe we're pricing inwards a to a greater extent than favorable surroundings for equities, given QE overseas together with a moderating Fed.
* Yet roughly other agency of tracking the push clit together with weakness of shares is to await at each stock on the NYSE together with run across if it has closed inwards a higher house or below its Bollinger Bands. (Raw information from Stock Charts). As the nautical chart below shows, nosotros convey reversed the blueprint of internet weakness from 2015 together with early on 2016 together with convey been persistently inwards a higher house the naught line of piece of job inwards recent days. Bottom line, I'm non seeing the sort of deterioration that would ordinarily precede a major marketplace reversal.
* H5N1 spell dorsum I mentioned the shares outstanding inwards the SPY ETF every bit a useful thought approximate together with noted that it had been flashing bearish sentiment, fifty-fifty afterwards the liftoff from the Feb lows. Sure enough, history repeated together with nosotros continued higher. Now we're seeing an expansion inwards shares outstanding (net bullish sentiment). In the by that has led to subnormal returns for SPY.
* Perhaps the most mutual psychological challenge I listen from traders is how to maintain a positive mindset during periods of drawdown. It's rattling hard to lose coin for a stretch of fourth dimension when you're pouring your pump together with best efforts into markets. But at that spot is no surer agency of missing opportunities than becoming self-focused together with negatively focused. This recent article focuses on how nosotros tin sustain well-being together with a positive mindset fifty-fifty when everything seems to hold out going wrong.
* Stocks bounced from their short-term oversold province of affairs noted yesterday amongst the swing overbought/oversold measure. I am watching breadth closely here, every bit it would non surprise me to run across a to a greater extent than selective stage of the marketplace wheel going forward. The relative functioning of little caps is of item interest.
* I'm seeing increasing utter of straight monetary stimulus to economies. I suspect this volition hold out actively considered if nosotros larn a renewed deterioration of fiscal weather together with concerns re: deflation. The implications for asset prices (weak currencies, rigid commodities) would hold out significant.
* I've been putting considerable function into a gear upward of swing measures that rail overbought/oversold weather together with volatility. These are based on trial time, where each bar represents an amount of book or toll drive inwards the market, non a unit of measurement of chronological time. The OBOS mensurate captures momentum together with value effects on a swing basis: swing returns inwards ES convey been best when we're significantly overbought (+.54%) together with significantly oversold (+.49%). Returns convey been subnormal betwixt these extremes (-.05%). Although I bespeak to maintain the specifics of the mensurate proprietary together with express to the managers I function with, I'll happily update periodically on this blog. Swing returns from electrical flow levels of OBOS together with vol convey non been significantly positive or negative.
* Here is a swing volatility mensurate that looks at the volatility of the trial bars. Note how we're close levels that convey lately corresponded to marketplace peaks. This is yet roughly other argue I'm watching breadth closely.
Thursday, March 24th
* Thanks to Aaron Fifield for interviewing me for the Chat With Traders podcast. We demeanour on a set out of topics relevant to factors that brand for trading success. He's assembled an first-class lineup of interviews worth checking out.
* We've seen a recent pullback inwards stocks together with oil; yesterday's closed saw an expanded set out of stocks making novel lows amidst relative weakness amid little caps. I volition hold out tracking breadth closely here, every bit nosotros mightiness hold out seeing a to a greater extent than selective stage of the recent marketplace strength. Below is a nautical chart of stocks across all exchanges making fresh 3-month highs vs. lows:
* I've been exploring a swing overbought/oversold mensurate based on trial bars. As you lot tin see, we've lately entered oversold territory. As long every bit these swing lows are occurring at successive toll highs, I'm willing to give the produce goodness of the doubtfulness to the bulls. The nautical chart tracks the mensurate through the recent motion higher.
Wednesday, March 23rd
* We saw an early on selloff due to the Brussels news, precisely this was bought relatively early on inwards the NY session. It's a skillful trial of how, inwards a momentum environment, participants desire to larn long fifty-fifty on relatively little dips. That beingness said, my breadth volatility measures (volatility of daily breadth numbers) has been coming downwardly together with that has led to subnormal returns over the near-term horizon.
* Interestingly, we're hovering close our highs, precisely yesterday saw alone nigh 40% of SPX stocks trading inwards a higher house their 3-day moving averages. During these momentum periods, corrections tend to hold out rotational together with we're seeing roughly of that. Housing, financials, consumer staples, utilities--all convey been off their highs recently. Technology has been stronger.
* My wheel mensurate continues inwards elevated territory, in 1 trial to a greater extent than dissimilar much of what nosotros saw inwards 2015, where push clit led to weakness. That continued elevation on a shorter-term wheel mensurate suggests that a longer-term wheel is at play together with that this has been to a greater extent than than a bounce inwards a demeanour market.
Tuesday, March 22nd
* We're seeing roughly consolidation overnight next a little upward twenty-four hr catamenia yesterday. While SPX closed higher, nosotros returned to underperformance of little caps together with the set out of stocks across all exchanges making novel monthly highs dropped from 1660 to 886. New monthly lows likewise dropped, however, every bit we're soundless non seeing distinctive weakness inwards whatsoever sector. Volume together with volatility dropped; VIX is forthwith below 14. More on volatility below.
* Below is a short-term mensurate of the set out of SPX stocks making fresh 5, 20, together with 100-day highs versus lows. Notice how nosotros convey stayed elevated for a set out of consecutive days together with how this is different from what nosotros saw through much of 2015. Whereas "overbought" readings were opportunities to sell concluding year, then far inwards this rising we're seeing momentum together with push clit leading to farther strength--one of the signature characteristics of a fresh marketplace cycle.
* Despite the market's push clit together with momentum, the rally has non had a lot of fans. I honour on the Stock Twits site, for example, that messages regarding SPY are 40% bullish, 60% bearish. That ratio hasn't changed much during the concluding 2 weeks of gains. I likewise honour that shares outstanding for the SPY ETF convey in 1 trial once to a greater extent than dipped, forthwith dropping below their levels from 5, 10, together with 20 days ago. Very interestingly, the set out of shares outstanding for SPY has dropped over the course of pedagogy of the rally from mid-February. Share redemption has to a greater extent than oftentimes than non been associated amongst superior returns over a multi-week horizon.
* As mentioned above, volatility has dropped over the course of pedagogy of this marketplace rally. Equally notably, my pure volatility mensurate (volatility per unit of measurement of trading book for the ES futures) has dropped significantly (see below) together with is getting to levels that convey been seen at recent marketplace highs. I am rattling opened upward to the possibility that we're going into a different stage of the marketplace wheel where we'll run across lower volume, less drive per unit of measurement of volume, together with to a greater extent than of a grinding trade. For traders accustomed to the drive that nosotros saw for the starting fourth dimension duet of months of this year, that transition to a depression vol authorities tin hold out challenging, requiring a fresh approach to setting targets, stops, together with asset periods.
Monday, March 21st
* So often, inwards our trading goals, it's gear upward together with forget. We gear upward goals, precisely oftentimes neglect to follow through. This article draws upon recent research to position how tin nosotros transcend away to a greater extent than productive--better at pursuing together with reaching the goals that nosotros define.
* Stocks closed higher overall on Friday, together with we're forthwith seeing over 90% of SPX shares trading inwards a higher house their 20- together with 50-day moving averages. That is odd push clit off the Feb lows. My mensurate of upticks versus downticks amid NYSE stocks (NYSE TICK) showed corporation push clit on Fed twenty-four hr catamenia and, every bit the nautical chart below shows, has been inwards an uptrend on a cumulative basis, eclipsing its previous high. I believe we're pricing inwards a to a greater extent than favorable surroundings for equities, given QE overseas together with a moderating Fed.
* Yet roughly other agency of tracking the push clit together with weakness of shares is to await at each stock on the NYSE together with run across if it has closed inwards a higher house or below its Bollinger Bands. (Raw information from Stock Charts). As the nautical chart below shows, nosotros convey reversed the blueprint of internet weakness from 2015 together with early on 2016 together with convey been persistently inwards a higher house the naught line of piece of job inwards recent days. Bottom line, I'm non seeing the sort of deterioration that would ordinarily precede a major marketplace reversal.
* H5N1 spell dorsum I mentioned the shares outstanding inwards the SPY ETF every bit a useful thought approximate together with noted that it had been flashing bearish sentiment, fifty-fifty afterwards the liftoff from the Feb lows. Sure enough, history repeated together with nosotros continued higher. Now we're seeing an expansion inwards shares outstanding (net bullish sentiment). In the by that has led to subnormal returns for SPY.
Friday, June 26, 2020
Info!! Indicator Review For April 14Th
Last week's indicator review noted meaning buying line per unit of measurement area amid stocks every bit nosotros approached of import resistance nearly 1400 inwards the S&P 500 futures contract. That postal service farther observed only about potential negatives on the horizon--weak advance-decline lines, an overbought marketplace condition, as well as worrisome credit spreads--but anticipated a breach of the overhead resistance, given the market's apparent double bottom. "What would alter my hear from this scenario," I explained, "would survive reversals of the dynamics we're currently seeing inwards NYSE TICK, coin flows, as well as the expansion of stocks making novel highs. Particularly worrisome would survive an expansion inwards the publish of stocks making fresh 20-day lows."
Well, approximate what? As nosotros run across from the bottom chart, the cumulative NYSE TICK did indeed scroll over, every bit nosotros failed to sustain the exam of the of import resistance area. Stocks savage dorsum concluding week, ending Fri on a peculiarly weak note. New 20-day lows expanded through the week, alongside a Fri reading of 450 novel highs as well as 545 novel lows. My five-day indicator of coin flows into the Dow Industrials stocks turned positive alongside the market's rally, but savage to a little negative degree yesteryear the terminate of the week. Those weak advance-decline lines weakened fifty-fifty further, making novel behaviour lows across several sectors and, for the wide marketplace (NYSE mutual stocks), is directly nearly behaviour lows. Moreover, my mensurate of technical line stalled out early on inwards the week as well as intermarket themes associated alongside stock marketplace weakness reasserted themselves.
So where does that instruct out us? My cumulative Demand/Supply indicator, which has done a terrific chore of identifying recent short-term marketplace tops as well as bottoms, is dorsum inwards neutral territory. Given the recent expansion of stocks making novel lows, the declining NYSE TICK line, as well as the weak advance-decline performance, the best nosotros tin sack say is that nosotros are trapped inwards a trading hit betwixt that resistance nearly 1400 inwards the ES contract as well as the March toll lows. H5N1 retest of those lows is non at all out of the question, peculiarly if nosotros proceed to run across farther weakening amid these indicators. I'll survive updating the indicators dailysome existent chance to the upside, given the market's historic oversold condition.
As long every bit the indicators proceed to weaken, I stay defensive. I intend it's fair to say that I'm cautiously bearish on a day-to-day reason as well as cautiously bullish on a longer-term basis. How nosotros resolve the aforementioned trading hit volition convey meaning implications for stocks as well as the broader economy.
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Well, approximate what? As nosotros run across from the bottom chart, the cumulative NYSE TICK did indeed scroll over, every bit nosotros failed to sustain the exam of the of import resistance area. Stocks savage dorsum concluding week, ending Fri on a peculiarly weak note. New 20-day lows expanded through the week, alongside a Fri reading of 450 novel highs as well as 545 novel lows. My five-day indicator of coin flows into the Dow Industrials stocks turned positive alongside the market's rally, but savage to a little negative degree yesteryear the terminate of the week. Those weak advance-decline lines weakened fifty-fifty further, making novel behaviour lows across several sectors and, for the wide marketplace (NYSE mutual stocks), is directly nearly behaviour lows. Moreover, my mensurate of technical line stalled out early on inwards the week as well as intermarket themes associated alongside stock marketplace weakness reasserted themselves.
So where does that instruct out us? My cumulative Demand/Supply indicator, which has done a terrific chore of identifying recent short-term marketplace tops as well as bottoms, is dorsum inwards neutral territory. Given the recent expansion of stocks making novel lows, the declining NYSE TICK line, as well as the weak advance-decline performance, the best nosotros tin sack say is that nosotros are trapped inwards a trading hit betwixt that resistance nearly 1400 inwards the ES contract as well as the March toll lows. H5N1 retest of those lows is non at all out of the question, peculiarly if nosotros proceed to run across farther weakening amid these indicators. I'll survive updating the indicators dailysome existent chance to the upside, given the market's historic oversold condition.
As long every bit the indicators proceed to weaken, I stay defensive. I intend it's fair to say that I'm cautiously bearish on a day-to-day reason as well as cautiously bullish on a longer-term basis. How nosotros resolve the aforementioned trading hit volition convey meaning implications for stocks as well as the broader economy.
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