Info!! Stock Marketplace Pose Volatility: A Historical Perspective

We are currently living through a catamenia of meaning stock marketplace volatility. Let's guide keep both a historical together with a psychological await at what that means.

The nautical chart higher upwards shows the S&P 500 cash index (blue line) versus its 20-day average daily truthful gain (ATR). The 20-day ATR is a mensurate of actual cost volatility inwards the index; non implied volatility equally calculated past times options together with non premium levels built into options pricing. The ATR is the larger of the following:

* The percent cost gain betwixt today's high together with depression prices;
* The percent cost gain betwixt today's high cost together with yesterday's closing price;
* The percent cost gain betwixt yesterday's closing cost together with today's depression price.

What this agency is that ATR captures, non alone the size of the gain during the trading day, only too the gaps that hand off betwixt yesterday's unopen together with today's trading. It is a mensurate of past times cost volatility both inside together with betwixt trading days.

The nautical chart is showing us that actual cost volatility has gone into a parabolic ascension together with that nosotros of late exceeded the volatility levels from the 2002 acquit marketplace period.

How meaning is this?

I went dorsum to 1962 together with looked at periods inwards marketplace history inwards which the 20-day ATR for the S&P 500 Index has exceeded 3%.

Here are the marketplace periods together with the highest levels of volatility for each:

* October/November 1987: 5.60%
* October/November 1974: 3.95%
* Oct 2008: 3.84%
* July/August 2002: 3.83%
* June 1970: 3.40%
* June 1962: 3.31%
* Oct 2002: 3.25%
* Dec 1973: 3.10%

As nosotros tin see, the electrical current grade of cost volatility is non without precedent, only is at real meaning levels: the 3rd highest catamenia since 1962. (By contrast, the median 20-day ATR since 1962 has been 1.40%; the criterion departure over that catamenia has been .57%).

From a psychological advantage point, volatility represents doubtfulness inwards the market's estimations of value. Imagine a marketplace inwards which at that spot was no volatility whatsoever: marketplace participants would endure inwards perfect understanding equally to the value of stocks together with so would guide keep no argue to merchandise amongst ane another. As at that spot is disagreement inwards estimations of value, nosotros guide keep incentives to trade, equally each player believes that the marketplace volition ultimately motion to his or her projected fair value.

When those estimations of fair value perish widely dispersed together with when participants brand corking shifts inwards these estimations, markets perish to a greater extent than volatile. During times of economical together with political crisis, such equally the 1962, 1987, together with 2002 periods, nosotros run into such volatility inwards the pricing of markets. Influenza A virus subtype H5N1 unopen await at the historical tape suggests 2 conclusions:

1) Periods of historically high volatility guide keep tended to hand off during acquit markets together with guide keep been associated amongst long-term opportunities for investment. If you lot await at the periods inwards which we've had real high volatility, these guide keep tended to fit amongst of import acquit marketplace lows since 1962. The notable exception was December, 1973, which was an intermediate depression inwards an ongoing acquit market;

2) Periods of historically high volatility tin persist together with produce non necessarily fit to precise acquit marketplace cost lows. Volatility was high through much of the latter business office of 2002, for instance, together with yet stocks did non bottom until March of 2003. We didn't larn a cost bottom until Dec of 1974, later volatility had peaked the calendar month before.

So where does that exit us? As long equally volatility is historically high *and* on the rise, equally is the instance inwards the electrical current market, it is treacherous to pick bottoms. Periods of elevated volatility tin perish super-elevated, equally inwards 1987; they tin too persist, equally inwards 2002. Panicking together with rushing to liquidate your investment portfolio is too treacherous, however, equally these elevated periods guide keep been associated amongst unopen to of the greatest investment opportunities inwards the past times few decades. By next the marketplace similar a trader--tracking dollar-volume inflows together with outflows on a daily basis, the willingness of large marketplace participants to hitting bids or elevator offers, the involvement inwards riskier yields vs. security Treasuries--I notice it easiest to perish along myself out of problem equally an investor. That saves considerable upper-case alphabetic quality during periods of tape volatility; nosotros don't larn a bottom until valuations perish together with then depression that they stand upwards for irresistible bargains for investors. Those trading indicators advise that we're non at that spot yet.
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Info!! Cross-Talk: Volatility In Addition To Stock Marketplace Lay Returns

Here's a swell weblog post service from Market Sci that builds upon an persuasion I wrote almost a spell back. Michael Stokes researched what happens inward the marketplace position afterwards relatively narrow make days versus broad make days. What he industrial plant life was that markets historically convey yielded superior returns next those broad make days compared amongst the narrow days. Another fashion of looking at this is that expansion of volatility has by together with large led to bullish returns going forward.

Michael also notes, "This approach defended good against the deport marketplace position of the early on 2000’s together with our most recent starting fourth dimension inward belatedly 2007 (interestingly though, it crashed together with burned inward the most recent Oct top march)."

This gets dorsum to the notion that "this fourth dimension *has* been different". Many historical patterns--particularly ones inward which extreme weakness convey led to bullish prospective returns--have non panned out during this decline. Expanded volatility has led to fifty-fifty greater volatility together with and then tape volatility, every bit prices convey moved steadily lower.

Michael's inquiry industrial plant life that the high volatility/bullish returns human relationship was noteworthy from 1993 through 2008, simply less convincing when looking at history going dorsum to 1970. This, too, fits amongst my sense inward marketplace position research: rarely produce patterns agree intact over all markets, across all marketplace position history. Rather, nosotros run across regimes inward which patterns volition manifest themselves for months together with years, entirely to laissez passer on fashion to dissimilar patterns together with regimes--usually when marketplace position weather condition change. I suspect that the crashing together with burning noted yesteryear Market Sci amongst honor to the volatility designing is ane slice of bear witness that regimes convey shifted--and may remain dissimilar for a considerable period.

Thanks to Michael for an splendid site; banking concern check out his posts on market nuts together with bolts together with coping amongst abnormal markets.
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Info!! Historical Patterns In Addition To Regimes: A Await At Bearish Momentum Days

One of the chapters of my novel book (due out inwards the showtime quarter of 2009) explains how I role Excel in addition to historical marketplace information to position possible short-term trading edges. Unlike about traders, I produce non role these historical patterns equally mechanical trading signals. Rather, I process them equally hypotheses based on recent marketplace action. If I run into markets setting upward during the electrical flow hateful solar daytime inwards a trend that corresponds alongside the hypotheses from the historical studies, that helps me frame trading ideas for the day.

The recent sudden turn down inwards the stock marketplace has made historical marketplace studies quite difficult, equally the electrical flow marketplace weather condition are quite unlike from the ones that existed inwards recent years.

Let's accept a elementary example. Mon was a rattling weak hateful solar daytime inwards the market. As those who follow my morn Twitter posts know, I rails an indicator called Demand in addition to Supply. Demand is an index of the number of NYSE, NASDAQ, in addition to ASE closing inwards a higher house the upper volatility envelope surrounding a short-term moving average. Supply is an index of the number of stocks closing below the lower volatility envelope. On Monday, Supply exceeded Demand past times to a greater extent than than a element of 10; nosotros had to a greater extent than than 10 times equally many issues closing below their envelopes equally above.

Such rigid bearish momentum has exclusively occurred sixteen times since I began collecting these information inwards Oct of 2002. To broaden the number of observations for my historical study, I included all occasions since October, 2002 inwards which Supply exceeded Demand past times v times or to a greater extent than (N = 108). What nosotros abide by is that, after these rattling bearish momentum days, the S&P 500 Index (SPY) has been upward past times an average of .31% v days afterwards (64 occasions up, 44 down). The average five-day alter for the residual of the sample was apartment (789 up, 763 down).

But non in addition to thence fast. If nosotros interruption downward those bearish momentum days past times when they occurred, unlike patterns emerge. Since mid-year 2007, we've had xl days inwards which Supply has exceeded Demand past times v times or more. Five days later, the S&P 500 Index has averaged a loss of -.18% (19 up, 21 down). Interestingly, that five-day average loss followed an average side past times side hateful solar daytime attain of .46% (25 up, fifteen down).

Prior to mid-year 2007, nosotros had 68 instances of bearish momentum days. The S&P 500 Index averaged a attain of .60% (45 up, 23 down) v days later, alongside a side past times side hateful solar daytime average attain of exclusively .09% (38 up, thirty down).

In short, what nosotros run into is show of regimes, non universal marketplace patterns. Strong bearish momentum days led to favorable five-day returns from 2002-mid 2007. Since that time, however, rigid bearish momentum days stimulate got led to one-day snapback rallies, followed past times resumed weakness.

When trading historical patterns, it's non exclusively necessary to thought marketplace history, simply too to hold off for shifts inside that history. Those changing regimes offering fertile hypotheses to traders who tin flexibly accommodate their thinking.
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Info!! Pin Cost Target Based Historical Investigations

As weblog readers know, I postal service each morn earlier the marketplace pose opened upwards a series of proprietary cost targets for the S&P 500 Index (SPY). These Twitter posts summarize the prior day's Pivot grade (an approximation of the day's average trading price), also equally iii upside targets (R1, R2, R3) in addition to iii downside targets (S1, S2, S3). The targets convey been empirically derived to accommodate for recent marketplace pose volatility so that, dorsum to 2000, to a greater extent than or less 75% of all trading days volition hitting either R1 or S1; 50% volition hitting either R2 or S2; 33% volition hitting either R3 or S3.

Days--and periods of days--where nosotros don't hitting whatever of these targets are attain outflow days. These tend to cluster, given series correlations of volatility. Thus we'll convey periods of fourth dimension inwards which nosotros hitting 1 or to a greater extent than targets in addition to periods of fourth dimension inwards which we'll remain closer to daily pin levels. Much of the science of trading, across whatever fourth dimension frame, is identifying when we're inwards a directional marketplace pose environs (and so probable to hitting the cost targets) or a attain environs (and so probable to oscillate about pin levels and/or volume-weighted moving averages).

Once nosotros define the pin in addition to cost target levels for a item day, nosotros tin inquire some rather sophisticated questions. For instance, if nosotros hitting R3 or S3 inwards yesterday's trade, what are the odds of hitting the R1 or S1 grade today? If nosotros produce non hitting either R1 or S1 inwards today's trade, what are the odds that we'll convey a directional motion (i.e., 1 that hits 1 or to a greater extent than cost targets) tomorrow?

Notice that, the sectionalisation of marketplace pose moves into R1/R2/R3 in addition to S1/S2/S3, each adjusted for that market's grade of volatility, provides us alongside an objective mensurate of a day's directionality. We tin in addition to so inquire whether stronger upwards or downwards days (those that hitting R2/S2 or beyond) are to a greater extent than probable to Pb to reversal than days that alone hitting R1/S1.

Such investigations are probable to uncover trading patterns that furnish a possible border to traders. For example, did y'all know that the marketplace pose ii days from at in 1 trial (e.g., Monday's market) has a 43% adventure of touching today's (Thursday's) pin level? If nosotros part relative book into the mix, those odds ascension substantially. Knowing that nosotros convey high odds of a attain marketplace pose over a swing trading menstruum could live quite valuable to both twenty-four hr menstruum traders in addition to those belongings overnight.

To overstep away fifty-fifty to a greater extent than ambitious, imagine that nosotros calculate similar pin in addition to cost targets for diverse sector ETFs in addition to stock indexes. We tin in addition to so inquire such questions as, "What happens when the S&P 500 Index touches R1/S1 today, but fiscal stocks (XLF) produce non hitting their R1/S1?" If a sector hits its R1 early on inwards the trading day, what are the odds that the S&P 500 Index volition follow in addition to hitting its R1 target? Do for certain sectors tend to Pb the S&P 500 inwards hitting their targets?

All of these investigations offering potential conclusion back upwards for traders, in addition to Twitter is an ideal machinery for blasting the results of these investigations to traders inwards existent time. More to come--
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Info!! The Trading Process: Fundamental Toll Levels In Addition To Targets

In this serial of posts, I am outlining my trading procedure to help traders mean value through what they are doing inwards markets too why. The foremost postal service inwards the series dealt amongst marketplace position context: evaluating what has been happening inwards related markets too across related fourth dimension frames. In subsequent posts, I illustrated how context was evaluated real-time inwards marketplace position preparation too how context is integrated into real-time toll action inwards formulating too managing a trade.

The minute stage of my trading procedure is the identification of primal toll levels equally potential targets for marketplace position moves. This is where my procedure differs from that of many traders. Rather than starting fourth dimension a merchandise persuasion amongst a setup, I start amongst potential targets that I mean value are probable to endure hit. It is solely i time I induce got a target inwards need heed that I volition hold off for a possible entry signal that provides a favorable vantage grade relative to risk.

Among the primal toll levels that I most ordinarily rely upon are:

* The overnight high too overnight depression from Globex stock index futures trading. The odds are very, rattling high that nosotros volition accept out either the overnight high or depression during the regular trading hours. When stocks opened upwardly within their overnight range, I volition role early on marketplace position activeness to handicap the odds of breaking out of that range. That is oftentimes my foremost merchandise of the day.

* The book weighted average toll (VWAP) for the stock index futures market, calculated from the start of the overnight session. If nosotros opened upwardly close the highs or lows of the overnight arrive at but cannot sustain those highs or lows (i.e., nosotros run into buying or selling involvement dry out up), I volition hold off for stocks to motion dorsum into their overnight arrive at too render to VWAP. That is around other merchandise that tin railroad train early on inwards the day.

* The previous day's high too depression price. My enquiry suggests that the S&P 500 Index trades either higher upwardly its prior day's high or below its previous day's depression over 85% of the time. Relatively few days are within days, specially when book is running average or higher. If nosotros opened upwardly within yesterday's range, I volition role toll too indicator activeness to handicap the odds of taking out the previous day's high or low. That is a merchandise that tin railroad train early on inwards the day, especially during trending days.

* The evolving day's book weighted average toll (VWAP). If nosotros run into buying or selling drying upwardly equally nosotros endeavor to stand upwardly for prices higher upwardly or below the prior day's high or low, nosotros tin anticipate a motion dorsum into the previous day's range. That sets upwardly the electrical flow day's VWAP too the prior day's pin grade (see below) equally potential targets.

* The previous day's pin level. I calculate the pin grade for a day's merchandise equally an gauge of the average trading price. My historical calculations detect that nosotros touching on the previous day's pin inwards the electrical flow day's trading virtually 75% of the time. This makes the pin grade a target worth considering when markets cannot sustain moves exterior yesterday's trading range.

* The electrical flow day's projected back upwardly (S1, S2, S3) too resistance (R1, R2, R3) levels. I calculate these past times a proprietary, volatility-weighted formula too seat out them daily earlier the marketplace position opened upwardly via Twitter. (You tin follow or subscribe to the Twitter flow costless of accuse past times Six Questions That Help You Prepare for the Market Day

More on My Trading Process

Info!! The Importance Of Becoming An Adaptive Trader

Above nosotros tin run across the functioning of the S&P GSCI commodity index over the past times several years.  It's an interesting nautical chart together with helps explicate why commodities traders convey non had an slow fourth dimension of it recently.  You tin run across that the volatility of prices--as good equally the trend--have been crushed inward a steady grind.  Momentum together with tendency traders are probable to perform poorly inward such an environment.  From 2009 to early on 2011, however, those traders in all probability did well, equally volatility together with tendency had ramped higher.

It's a swell example of how markets--and fifty-fifty property classes--can shift "regimes".  They play past times i gear upward of direction together with volatility rules inward i environs together with hence follow a completely unlike gear upward of rules inward another.  Any trader who conducted historical studies inward the GSCI to anticipate time to come toll patterns was at run a hazard of extrapolating from a past times to a greatly changed introduce together with future.  You could imagine that a trading organisation based on yesterday's authorities could backtest wonderfully together with hence neglect miserably i time the marketplace position trades past times a unlike gear upward of rules.

If skillful trading just were a thing of planning together with exercising dependent champaign inward next plans, many to a greater extent than people would succeed at it.  Disciplined plan-following plant good when regimes are relatively constant.  Once markets initiative of all playing past times a unlike gear upward of rules, however, the challenge is to adapt--not just double downward on rigidly next one-time strategies.

Realized volatility inward the stock marketplace position has percolated higher of late.  Is this role of a authorities shift or create the one-time marketplace position rules apply?  Can nosotros extrapolate from the past--say 2013--to anticipate marketplace position movement inward the virtually future, or create nosotros ask to figure out the novel marketplace position rules earlier making inferences?  I spent a skillful chunk of my weekend reworking my regression models for stocks exactly because I detected the underlying rules were shifting.

What builds a career of trading success is the mightiness to recognize modify together with accommodate to it.  At to a greater extent than or less betoken at that topographic point volition hold upward a volatility breakout inward GSCI together with commodities volition travel a real unlike functioning game.  It's the adaptive trader that volition recognize the game shift early, avoid getting run over, together with profits from emerging trends.  It helps to convey conviction inward your trading, but longevity requires flexibility inward conviction.

Further Reading:  Adapting to Shifts inward Market Regimes

Info!! Agreement The Markets You're Trying To Predict

The recent postal service highlighted the notion of resultant fourth dimension and the potential value inward redefining the X-axis of charts.  Once nosotros convey a fresh X-axis that normalizes intrasession changes of book together with volatility, cyclical patterns inward markets larn clearer.  It's yet some other instance of how quant processes tin forcefulness out potentially practise goodness discretionary traders.

The nautical chart higher upwardly runs from May 6th, 2014 to yesterday morning:  it's ane of the things I was tracking closely at the initiatory of all of Thursday's trade.  Each indicate on the nautical chart represents 500 cost changes inward the ES futures.  So, inward other words, every fourth dimension nosotros larn 500 ticks higher or lower inward the ES forepart calendar month contract, nosotros depict a novel bar.  So fourth dimension is measured inward units of marketplace movement, non inward motion of the clock.  

What that does is create many bars during busy, volatile marketplace periods together with fewer ones during slow, non-volatile ones.

Suppose nosotros larn real lilliputian cost motion during the course of education of 500 ticks inward the index.  What that tells us is that cost modify is occurring inside a real narrow band:  in that location is a high grade of consensus inward the marketplace at that 2nd regarding the location of value.

If nosotros larn a bully bargain of cost motion during the course of education of 500 ticks, it agency that cost modify is occurring inside a much wider band.  That suggests a higher grade of doubt inward the marketplace regarding the location of value.

The higher upwardly nautical chart measures electrical flow value doubt versus its longer-term moving average.  When nosotros convey values higher upwardly 1.0, in that location is relative doubt regarding the location of value.  When nosotros convey values below 1.0, in that location is relative certainty.  

As alongside traditional measures of volatility, you lot tin forcefulness out come across the vogue for in that location to survive greater levels of doubt at relative marketplace bottoms together with greater levels of doubt at relative marketplace peaks.  The normalization of the X-axis together with the structure of the indicator approximately its recent moving average--creating a mensurate that is relative, rather than absolute--makes that human relationship easier to identify.

One for certain could show this mensurate in- together with out-of-sample together with exercise it every bit purpose of a trading system.  Indeed, I convey conducted such tests together with convey flora the value doubt tool to survive helpful.  My exercise of it, however, is to a greater extent than qualitative together with discretionary:  I'm using it only to seat whether the marketplace surround is becoming to a greater extent than or less uncertain.

So, for example, I unopen out a long seat belatedly Wed because, although nosotros had a bounce that day, the marketplace doubt was rising, non falling.  At the same time, I could come across that some sectors of the market--most notably small-scale caps--were non participating meaningfully inward the bounce.  Indeed, all told nosotros had entirely well-nigh 500 to a greater extent than advancing stocks on the 24-hour interval than declines.  Stock thought was bullish--the equity put/call ratio was a relatively depression .76--but that bullish tide was non lifting all boats.  Nor was marketplace activity suggesting greater certainty inward the location of value.

Notice inward this instance that I am using tested marketplace measures to anchor a reasoning process.  My destination is every bit much agreement every bit prediction.  (Indeed, I did non predict Thursday's abrupt overnight decline; I only identified Wednesday's absence of strength).  I desire to empathize what is happening inward the marketplace together with why; non precisely blindly predict time to come motion on the footing of an algorithm linking variables that hap to tally a given lookback period.  Influenza A virus subtype H5N1 major turning indicate inward my trading occurred when I stopped predicating trades on predictions together with instead used predictive inputs to inform a procedure of understanding.  Trading systems together with tested indicators are most useful when they reverberate an underlying agreement of markets; they cannot substitute for such understanding.

Further Reading:  Putting Historical Odds on Your Side
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Info!! Historic Marketplace Forcefulness Or The Starting Fourth Dimension Of A Deport Market?

Jesse Felder looks at the stock marketplace from the advantage quest of historical valuation as well as finds us inwards rarefied territory.  Using other measures, Jesse Colombo arrives at a similar conclusion.  This strikes me equally tremendously relevant for investors.  From a timing advantage quest vis a vis shorter-term traders, I convey to a greater extent than questions.  Prior to the large drops nosotros saw inwards 1998, 2000, as well as 2007, for example, nosotros saw a ramping upward of volatility (VIX) as well as stocks making fresh novel lows.  In other words, rises inwards volatility as well as weakness inwards leading sectors preceded those deport markets.  I'm non seeing those things at present, but the possibility that we're operating on borrowed fourth dimension strikes me equally a valuable 1 to entertain.  I'm but non certain nosotros tin aspect historically normal marketplace cycles when nosotros convey extraordinary global monetary policies. 

An extraordinary wealth of economical information as well as perspective is offered past times Jeff Miller at Dash of Insight.  Measures he tracks advise a salubrious aeroplane of trace inwards the economy.  He likewise raises the effect that deport markets tend to occur belatedly inwards hiking cycles, non early.  Again, it may travel hard to extrapolate from past times cycles to this present, extraordinary one, but Miller likewise notes that overvalued markets tin larn quite farther overvalued earlier they operate into trouble, citing information from Capital Speculator.

What nosotros run into is that intelligent marketplace observers run into the marketplace quite differently.  My synthesis of all this is that nosotros are historically overvalued *and* we're non yet seeing worrisome economical or marketplace weakness.  Perhaps the best synthesis of all, however, is to choke to websites such equally the inwards a higher house as well as rail downward the master sources of information as well as the links from recent posts.  You are guaranteed to bring out intelligent perspectives that volition broaden your own.  

Further Reading:  Creativity as well as Trading
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Info!! Trading Notes: Calendar Week Of November 23Rd

Friday, Nov 27th

*  Not much changed from yesterday alongside honour to U.S. stocks, equally nosotros boot the bucket on to concord of import back upwards inwards the lower 2080s inwards the front end calendar month ES contract.  I boot the bucket on to move inwards the style of buying weakness that holds higher upwards overnight lows, but await merchandise to move deadening today given the long vacation weekend that many U.S. traders volition move taking.

*  So far, the number of stocks displaying odd forcefulness inwards the recent motion higher has been modest.  Below is a nautical chart of the number of NYSE issues closing higher upwards their upper Bollinger Bands minus the number closing below their lower bands.  (Data from the splendid stockcharts.com site).  To this point, that stair out of forcefulness has been waning.

*  Another resources that I stimulate got constitute quite useful is the Stock Spotter site.  They furnish purchase in addition to sell signals for private stocks based upon their bicycle models.  They also stimulate got toll forecasts for each stock in addition to ETF.  I've constitute those forecasts for SPY to stimulate got value in addition to stimulate got backtested them for the improve operate of ii years.  At present, their forecast is bullish for stocks over a adjacent two-week horizon.


Thursday, Nov 26th

*  Happy Thanksgiving in addition to many cheers to readers!  I aspect frontward to a dandy 2016.  This latest article describes a structured procedure for dealing positively alongside setbacks in addition to failure.  So much of the departure betwixt the successful trader in addition to the unsuccessful 1 is how they bargain alongside the inevitable losses dealt past times markets (and past times our faulty processing of market-generated information).

*  We've continued modestly higher inwards overnight trade, equally the basic strategy of buying weakness that holds higher upwards key prior twenty-four hr catamenia in addition to overnight levels has been a practiced one.  The relative outperformance of little caps is something I'm watching.  Utility stocks, faced alongside the prospect of rise rates inwards the U.S., stimulate got been relatively weak.  Below, the graphic from the splendid FinViz site shows mixed surgical procedure amidst U.S. sectors.  It continues to move a rotational environment.

*  On a to a greater extent than global scale, I'm watching the relative surgical procedure of China, emerging markets, Japan, in addition to European stocks, given the prospect of farther easing from overseas cardinal banks in addition to a charge per unit of measurement hike from the Fed.  Note the relative forcefulness of the U.S. dollar of late; that is also a theme that is impacting U.S. shares.  I know besides many traders who are in addition to so busy looking for short-term setups that they completely immature lady larger themes that are driving stocks on the longer fourth dimension frame. 

Wednesday, Nov 25th

*  We tested the overnight lows inwards early on merchandise yesterday in addition to constitute rigid buying off the lows, bringing us dorsum toward the upper halt of the recent range.  The inability to sustain weakness is consistent alongside a marketplace seat inwards a rise cycle, though I do detect tepid breadth therefore far inwards the motion higher.  For example, the past times duo of days, we've seen to a greater extent than stocks register fresh 52-week lows than highs.  While I do recollect nosotros stimulate got a practiced chance to attempt out recent highs, I am far from convinced that we're launching to a fresh bull leg from here.  

*  Dec promises to move an eventful month, alongside ECB in addition to Fed meetings that could Pb to monetary easing in addition to an involvement charge per unit of measurement hike, respectively.  I recollect it's possible that, alongside a dovish Fed hike in addition to monetary ease inwards Nippon in addition to Europe, nosotros could reckon a renewed "QE" merchandise inwards stocks.

*  The nautical chart of cumulative upticks vs. downticks amidst all listed stocks (red delineate of piece of job below) has been heading to novel highs.  That reflects relative forcefulness late amidst smaller cap issues.  Interestingly, the cumulative upticks vs. downticks for Dow stocks exclusively is inwards a recent downtrend.  This rotational merchandise could good boot the bucket on through this vacation period.

Tuesday, Nov 24th

*  Yesterday's merchandise was interesting inwards that nosotros saw considerable buying involvement inwards early on trade, equally tracked past times NYSE TICK, but much of the forcefulness centered on smaller cap issues in addition to non the NASDAQ in addition to SPX large caps.  What turns a bull, rise stage of a marketplace seat bicycle into a topping stage is that buying involvement fails to accept prices meaningfully higher, equally around segments of the marketplace seat display weakness equally others concord up.  In yesterday's trade, it was the NASDAQ index--and AAPL specifically--displaying weakness.  As buying failed to force indexes higher, sellers came inwards during the afternoon in addition to took us lower.  Yesterday's merchandise was a squeamish illustration of how markets plough on a brusque fourth dimension frame.  It was also a squeamish illustration of how it's of import to rail multiple marketplace seat sectors, non simply the index you're trading.

*  Painful sense has taught me to non move long stocks alongside pure volatility (volatility per unit of measurement of trading volume) is low.  Forward returns simply aren't positive on average.  As you lot tin reckon below, pure vol had gotten quite depression recently, a xanthous caution light.  With the downing of the Russian jet overnight inwards Turkey, stocks stimulate got fallen dorsum in addition to taken out stops inwards the 2070s inwards the ES futures.  Pure vol has expanded meaningfully.  Adjusting volatility expectations in addition to risk/reward is key here.  On 1 hand, corrections that get upwards pure vol offering practiced entry points on the long side.  On the other hand, nosotros at nowadays stimulate got a province of affairs where idiosyncratic (geopolitical) factors are moving markets.  It is hard to successfully merchandise historical patterns when idiosyncratic conduct chances factors dominate.  I'm opened upwards to buying weakness that cannot accept out the overnight lows, but inwards no rush to larn involved.  

Monday, Nov 23rd

*  How much fourth dimension do nosotros waste product in addition to how much mental clutter do nosotros do past times staring at screens, opening superfluous email, in addition to reading cloth irrelevant to our conclusion making?  How does that clutter clog creative processes in addition to interfere alongside generating novel in addition to improve ideas in addition to trades?  This post on media consumption tackles a really of import topic: nosotros can't get together practiced ideas if we're non collecting the right puzzle pieces.

*  We're trading inwards a relatively sideways gain inwards the ES futures, correcting to a greater extent than inwards fourth dimension than inwards price.  That is mostly what markets do when they're trading inwards a practiced uptrend, in addition to that's how I'm treating this marketplace seat until proven otherwise.  The exclusively flies inwards the ointment are depression levels of implied correlation in addition to pure volatility, both of which are associated alongside subnormal near-term returns.  My basic strategy, equally has been the instance recently, is to purchase weakness that holds higher upwards overnight in addition to prior day's lows.

*  I mostly similar to purchase oversold levels inwards rise markets in addition to sell overbought levels inwards falling ones.  Influenza A virus subtype H5N1 large portion of profitability comes from practiced entry execution.  The same applies to move out execution.  When positions become our agency but are stretched to the upside or downside, it mostly pays to accept at to the lowest degree around of our seat off inwards markets that display short-term hateful reversion.  I aspect at a medium term charge per unit of measurement of alter stair out on bars created every 500 toll changes to furnish perspective on overbought in addition to oversold.  It's non something I merchandise off of directly, but utilisation to mostly guide practiced in addition to bad merchandise location.

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.

Info!! Trading Notes For The Calendar Week Of April 4, 2016

Friday, Apr 8th

*  Insightful postal service on the misery of bull markets from The Reformed Broker.  Many traders are temperamentally long vol; the 1 prediction you lot most rarely request heed is 1 for piffling get as well as piffling toll change.

*  Going dorsum to 2010, if you lot accept the number of 5-day novel highs minus lows amidst SPX stocks as well as compare those to 20-day novel highs minus lows, you lot teach an interesting view.  When that fourth dimension serial is divided into quartiles, nosotros notice that when 5-day novel highs/lows greatly overstep 20-day highs/lows, the side past times side v days inwards SPY average a gain of exactly +.04%.  When 20-day novel highs/lows greatly overstep 5-day highs/lows, the side past times side v days receive got averaged a gain of +.39%.  (Raw information from Index Indicators).  Think of the implications for FOMO trading...

*  We reversed Wednesday's strength yesterday, closing amongst 5-day novel highs/lows good below the 20-day level.  Less than 20% of  SPX shares closed inwards a higher house their 5-day moving averages and, for the origin fourth dimension since this rally began, fewer than 50% of stocks closed inwards a higher house their 20-day averages.  My wheel mensurate is at 1 time neutral, every bit nosotros run off the recent potent readings (see below).

*  VIX has jumped to inwards a higher house sixteen amongst yesterday's drop.  I receive got built a model that predicts a normal VIX grade from 2 variables:  recent toll modify as well as recent realized volatility.  When VIX is to a greater extent than expensive than the model predicts it should move based on historical precedent, returns receive got been positive; when VIX is to a greater extent than inexpensive than the model predicts, nosotros receive got seen subnormal returns.  Th of concluding calendar week through Mon of this week, nosotros hitting inexpensive levels inwards VIX valuation.  With yesterday's drop, nosotros are dorsum to beingness expensive inwards VIX pricing.  To give an idea, going dorsum to 2012, when VIX has been inwards its most richly priced quartile, the side past times side v days inwards SPY receive got averaged a gain of +.76%.  When VIX has been most cheap, the side past times side v days receive got averaged a gain of exactly +.03%.  In short, when options participants toll inwards also much vol, nosotros tend to teach higher prices--which implies a hateful reversion inwards vol!


Thursday, Apr 7th

*  What would a startup community of traders expression like?  Love this postal service from Howard Lindzon, mainly for the entrepreneurial zest I run across missing amidst then many traders as well as trading firms.  Amazing what a difference it makes to move surrounded past times innovators who convey vision as well as optimism to the future.  I run across precious piffling of that inwards the trading community.

*  Stocks flora solid buying yesterday inwards the wake of oversold readings, but receive got pulled dorsum inwards overnight trade.  My intermediate-term strength measure, which looks at novel highs versus lows for SPX shares on iii dissimilar fourth dimension frames, continues to run off its extended readings.  Many of my cycle-based measures expression similar.  We're getting fewer novel highs amidst stocks as well as novel lows receive got ticked higher the concluding 2 sessions.  Yesterday, across all listed stocks, at that spot were 467 novel monthly highs as well as 417 novel lows.

*  Using information from the Stock Charts site, I rail the number of NYSE stocks giving purchase versus sell signals across multiple technical indicators, such every bit Bollinger Bands, CCI, Parabolic, etc.  Here also nosotros run across the waning strength recently.  My mensurate of breadth volatility (the volatility of breadth readings) has picked upward lately from depression levels as well as that by as well as large has been associated amongst weak returns.

*  Housing (XHB) has been relatively strong.  Not then much commodities (DBC).  Notice the strength of euro as well as yen versus the U.S.A. dollar (FXE as well as FXY).  Hard to believe that is what ECB as well as BOJ desire to move seeing; Federal Reserve annotation the relative weakness of European (VGK) as well as Japanese stocks (EWJ).

Wednesday, Apr 6th

*  We can't modify our behaviour unless we're aware of our behaviour patterns.  Here's a neat postal service on self-awareness as well as trading from Tradeciety.

*  The pullback inwards stocks continued on Tuesday, giving us the origin existent negative breadth reading we've had since the rally launched inwards February.  (See nautical chart below).  Across all exchanges, 270 stocks made fresh monthly highs as well as 492 registered novel monthly lows.  (Data from Barchart).  Only close 10% of SPX shares closed inwards a higher house their 3-day moving averages as well as close 15% inwards a higher house their 5-day averages (data from Index Indicators), telling us that the pullback has been broad.  VIX has climbed inwards a higher house xv as well as nosotros saw greater seat buying across private shares.

*  Yesterday I noted the expansion of purchase signals for stocks on the Stock Spotter site; those signals expanded fifty-fifty farther afterwards yesterday's weakness.  This has by as well as large been positive for SPX.  Their cyclical model for SPY is also quite bullish, which has backtested well.  While I'm viewing this every bit a pullback inwards a bull stage of a wheel as well as await a retest of recent highs, I volition move watching the vigor of whatsoever bounce carefully.  Given the breadth of the recent weakness, it would non surprise me if nosotros were to come inwards a to a greater extent than prolonged topping/range period.  We should run across pronounced breadth divergences on forwards strength if that scenario were playing out.

*   Note the considerable strength inwards high character corporate bonds (LQD).  As noted a piffling land back, these are natural candidates for those seeking yield.  On the other hand, high yield bonds (JNK) receive got been relative underperformers.  This is a defensively minded market, which could also move why U.S.A. shares receive got been outperforming overseas ones (EFA). 



Tuesday, Apr 5th

*  Excellent postal service on trading strategy as well as tactics from The Crosshairs Trader.  Very helpful inwards developing trading plans.

*  We've seen a pullback inwards stocks and, amongst Monday's close, at 1 time receive got fewer than 50% of SPX shares closing inwards a higher house their 3- as well as 5-day moving averages.  With 831 monthly novel highs as well as 288 novel lows, we're yet non seeing pregnant deterioration inwards the breadth data.  Energy stocks receive got been the weakest grouping given the recent crude weakness, but I'm non seeing pregnant weakness amidst whatsoever of the sectors.  Financials receive got been relatively apartment of late, then I receive got a unopen oculus on those.

*  The realized volatility of VIX has hitting levels that receive got been consistent amongst past times marketplace peaks.

*  I noticed that, every bit of yesterday's close, nosotros had an elevated number of purchase signals on the StockSpotter site.  I proceed to move impressed amongst their work.  Their forecast model for SPY also is bullish.  When those 2 factors receive got been introduce since belatedly 2013, when I origin began tracking their numbers, returns v to 10 days out receive got been bullish.  Specifically, we've been upward xix times, downward 8 over the side past times side 10 trading sessions for an average gain of +1.17%.  


Monday, Apr 4th

*  Long-term success, inwards trading as well as inwards life, way sustaining our passions.  Here's how nosotros utilisation that.

*  We're seeing fresh highs this morn as well as receive got almost exclusively erased the drib from belatedly December.  Fri closed amongst 767 novel monthly highs across all exchanges versus 217 lows.  Still no pregnant expansion of weakness inwards the upticks/downticks data, every bit nosotros closed Fri at fresh highs.  Note that the cumulative upticks/downticks mensurate has vaulted inwards a higher house 2015 levels.

*  Among SPX shares, novel 100-day highs outnumbered novel lows past times 127 issues (data from Index Indicators).  That is the strongest breadth reading on that mensurate since the rally began inwards February.  The concluding fourth dimension nosotros had a reading that potent was belatedly inwards 2014.  Note how nosotros receive got stayed overbought inwards the novel high/low mensurate for a considerable period, attesting to the momentum of this rise.

*  Note how crude has been moving lower solar daytime afterwards day, fifty-fifty every bit stocks receive got rallied to novel highs.  The crude drib is noteworthy, coming on the backdrop of a weaker dollar.  High yield corporate debt (JNK) has also failed to brand novel highs inwards the concluding duo of weeks as well as global stocks receive got lagged (EFA).  Could it move that weaker makes for stronger?  As long every bit we're seeing deflationary forces at work, the Fed is probable to hold a dovish stance.

Info!! Trading Notes For The Calendar Week Of April 18, 2016

Friday, Apr 22nd

*  Excellent shipping service from Jesse Felder questioning the wealth lawsuit from recent key banking concern policy.

*  Stocks pulled dorsum inward Thursday's trade, amongst fewer than 50% of SPX shares closing inward a higher house their three in addition to 5-day moving averages.  Despite the pullback, fifty-fifty my shorter-term measures stay inward overbought territory, as seen below:

*  Note how the pullback inward bond prices (rise inward yield) was accompanied past times drops amidst consumer staples (XLP), utility (XLU), in addition to existent estate shares (IYR).  Because these sectors offering enhanced yield in addition to because authorities bonds offering in addition to thence piddling yield, charge per unit of measurement views are playing out inward these stock sectors.  This is a real relevant dynamic for traders/investors.

*  Retail (XRT) in addition to technology scientific discipline (XLK) shares receive got been underperformers lately; much of the recent strength has come upwards from commodity related sectors (XLB, XLE, XME).  Strong commodities (DBC) are unopen to other macro subject playing out inside stock sectors; the relative surgery of stock sectors has been of import lately...it's non precisely risk-on, risk-off across all sectors.

*  China underperforming recently amidst concerns almost credit defaults.  On the radar...


Thursday, Apr 21st

*  Rob Hanna shares historical marketplace patterns on the Quantifiable Edges blog.  Also cheque out Rob's operate amongst Scott Andrews on the InvestiQuant blog.  Lots of proficient ideas here.

*  Stocks continued their deed higher on continued positive breadth.  Across all exchanges, nosotros had 1205 stocks brand fresh monthly highs against 192 lows.  As noted earlier, it's the absence of distinctive weakness inward whatever of the sectors that is noteworthy inward the recent marketplace strength.

*  Here's a valuable perspective on furnish in addition to need inward the States of America stock market.  It's a 10-day moving average of upticks versus downticks amidst all NYSE shares.  Note that, since the Feb lows, that average has never dipped below zero.  Most late this strength has been due to the depression grade of downticks; quite simply, nosotros are non seeing sustained selling from institutions in addition to this has kept stocks aloft.

  *  Here's a await at what's been relatively rigid in addition to weak amidst stock sectors from the FinViz site.  Note the odd strength amidst commodity related shares--a consummate reversal of the weakness nosotros saw early on inward the twelvemonth in addition to through a proficient chunk of 2015.  Renewed strength amidst commodities has been the clearest indication that markets are no longer pricing inward deflationary forces in addition to that's been proficient for global stocks.

Wednesday, Apr 20th

*  Looking for a sketch pad for quantified patterns inward stocks in addition to ETFs?  Great screener on Kora Reddy's Paststat site.

*  Stocks moved to novel highs for this run, amongst significantly expanded breadth.  Across all exchanges, stocks making fresh three calendar month highs vaulted to a novel peak.  (See below).  The full general dominion is that peaks inward breadth/momentum tend to precede cost peaks for bull cycles.  While breadth is stretched here--and indeed we've pulled dorsum inward overnight trade--we proceed to consider dips at successively higher cost lows, which is what makes for bull moves.

*  Influenza A virus subtype H5N1 different agency of looking at breadth tracks the divulge of NYSE stocks giving purchase versus sell signals across a diversity of technical trading systems.  I hold those stats as a cumulative running total, which has also displayed odd strength inward recent sessions.  (See below).  What is as noteworthy is that few shares are giving sell signals, which is a reflection of the depression grade of selling pressure level evident inward the upticks/downticks data.  Bottom line, I'm non seeing signs of deterioration inward this marketplace at the introduce time.

*  Note also the breakout strength amidst international equity indexes (EFA).  We've seen broadening international strength inward stocks as the States of America dollar has weakened. 



Tuesday, Apr 19th 

*  Limited notes side past times side few days;  working amongst traders inward London. 

*  Breadth continues strong,  with over one k fresh monthly highs in addition to over 80% of SPX stocks closing inward a higher house their 3, 5, in addition to 10 twenty-four hours moving averages. 

*  The stair out of upticks in addition to downticks continues to present unusually depression selling pressure. Stocks are unlikely to sustain weakness if institutional participants are non selling. 


Monday, Apr 18th

*  One of the greatest life risks nosotros take is playing it safe.  Life is also of import to live on wasted on inconsequential goals.

*  Recently the striking charge per unit of measurement on my trades has gone up.  That's because I'm non *trading*.  I am entering positions similar an investor in addition to exiting similar a trader.  Waiting for things to work upwards across different fourth dimension frames provides the proficient entry.  Defining a pregnant deed for a given volatility regime in addition to exiting when that is achieved provides the proficient exit.  Slow to instruct into trades, quick to instruct out when the marketplace gives proficient prices.  Perhaps the border inward such a method lies inward making *not trading* the default.  All I tin laissez passer on the axe say is that my involvement inward markets has redoubled always since I got away from screens.  Frequent trading is similar frequent eating: naught could live on worse for the palate, stomach, in addition to appetite!

*  Stocks opened the weekend lower on the heels of the inability of the OPEC coming together to attain an understanding over production cuts.  Since the early on trade, stone oil in addition to stocks receive got rebounded a bit; I'll live on watching the correlation betwixt stone oil in addition to stocks to consider if nosotros re-enter the regime that was bearish for both, as good as for high yield bonds.  Influenza A virus subtype H5N1 resumption of a rigid dollar merchandise would fuel such a regime; inward the absence of the dollar trade, the correlation betwixt stone oil in addition to stocks may live on less certain.

*  Breadth dipped on Friday, amongst 795 stocks making fresh monthly highs in addition to 137 registering novel lows.  My volatility measures receive got striking depression levels that receive got been associated amongst marketplace tops, including the "pure volatility" stair out that tracks the average volatility per unit of measurement of trading volume.  So far, nosotros haven't seen a pregnant expansion of selling pressure level inward the uptick/downtick stair out or inward the novel lows data; I'm watching those closely.  My "pure correlation" measure, tracking the correlation amidst stocks specific to given volatility regimes, also is at (low) levels historically associated amongst subnormal forwards returns over a several calendar week period.

*  My stair out of intermediate term strength, assessing novel highs versus lows across all SPX shares, has fallen toward neutral levels fifty-fifty as cost has moved higher.  While a few measures await toppy, it would surprise me if this bull deed were to all of a precipitous morph into a bear.