Sunday, October 14, 2012

Switching CCI modes...

Here are the instances in the past 2 years showing what happened when the 21MA of the CCI dipped from positive to negative.  Before I begin, a little disclaimer: Occurrences are quite low @ 6 so take this with a grain of salt!  I did go through data back to early 2008 (not shown here), and they are all similar to charts below. 

Everytime, the market put in a short term bottom within 0-4 days and bounced significantly, including the instances not shown.  TNA returned 10% to 28% from the bottom holding for 5 days. The exception was chart 2 below where it topped on day 4 and dropped hard day 5.   XIV did ok, but if we get into backwardation like in Aug'11, it will under-perform.  See pic 3.   For this reason, my first few long purchases this week will be XIV,  but will switch to TNA on Weds/Thurs if we keep dropping.  Most of these bottoms occurred below the gray shaded bollinger band.  I would like to see something similar this time before I get heavily long.   I'm guessing our bottom could come around 1400 before the big bounce.  I will get very aggressive down there.  Otherwise, if we go up this week, like pic 2 below, I will unload my current 25% long position and begin building shorts this week. 

This is my trading plan for the next 1.5 weeks and I will likely be disregarding my signals.  We'll see how it goes, though.  See you tomorrow.









3 comments:

  1. J, is this the bounce you expected? If so, what are your plans now?

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  2. This is not exactly what I had in mind. However, JTS is giving a sell signal. CCI is already out, so I'll probably cash in on my XIV position today and go neutral/cash. If we finish hard to the upside today, we may even get a JTS short signal in which case I wouldn't mind taking on a small TZA position.

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