3:57pm: Hold confirmed.
I'm getting a 2nd buy signal which would push the system all in. I'm just a little leery b/c I think the ultimate target of this down move is going to be sub 1250 which would take out a TON of stops. I would expect a sharp move upward to follow if that happens. Will update later.
Wednesday, June 8, 2011
Tuesday, June 7, 2011
Hold confirmed.
3:55pm: Hold confirmed.
2:40pm: We will probably get a sell signal today. (Edit: There is a slight chance of a hold signal...check back later) No short signal, though. This could mean there is more upside, and if someone doesn't mind a little risk they could hold their longs and try to get some more of their money back. If we get a sell, I would not advise this. I follow the system with no exceptions.
2:40pm: We will probably get a sell signal today. (Edit: There is a slight chance of a hold signal...check back later) No short signal, though. This could mean there is more upside, and if someone doesn't mind a little risk they could hold their longs and try to get some more of their money back. If we get a sell, I would not advise this. I follow the system with no exceptions.
Monday, June 6, 2011
Market turns Unhealthy
3:20pm: Unlike 2 hours ago, the Nasdaq and VIX are now confirming the unhealthy market status. I would expect a small 1 or 2 day bounce before the next wave of selling. That is just a guess though. Today's confirmed signal is a hold.
1:02pm: With the SPX dipping below 1294.70 this morning, the system officially flips to unhealthy mode. This essentially loosens the requirement for sell/short signals and makes buy signals far more scarce. However, something strange is going on. The flip to unhealthy status is not being confirmed by the VIX right now. This could change if the VIX closes up on the day. I can't recall the last time such a large dip in the indices coincided with such an uninspiring move in the VIX. Additionally, the Nasdaq is not supporting the unhealthy flip either.
At any rate, it looks like we'll get a hold signal today. I fully expect the system to sell the next bounce. If the next bounce is exceptionally strong, it will flip the status quickly back to healthy. If not, we might expect more downside.
I will update later today with the official signal.
1:02pm: With the SPX dipping below 1294.70 this morning, the system officially flips to unhealthy mode. This essentially loosens the requirement for sell/short signals and makes buy signals far more scarce. However, something strange is going on. The flip to unhealthy status is not being confirmed by the VIX right now. This could change if the VIX closes up on the day. I can't recall the last time such a large dip in the indices coincided with such an uninspiring move in the VIX. Additionally, the Nasdaq is not supporting the unhealthy flip either.
At any rate, it looks like we'll get a hold signal today. I fully expect the system to sell the next bounce. If the next bounce is exceptionally strong, it will flip the status quickly back to healthy. If not, we might expect more downside.
I will update later today with the official signal.
Sunday, June 5, 2011
Bounce this week?
As stated Friday, a strong buy signal was a near miss. For some weekend market fun, let's look at the updated stats for strong buy signals. Stats are for TNA (as always).
Next Day:
Avg Gain: 2.17%
Win Rate: 63%
2 days later:
Avg Gain: 4.58%
Win Rate: 71%
Most losers were big though...
3 days later:
Avg Gain: 6.38%
Win Rate: 71%
Some big losers!
4 days later:
Avg Gain: 8.72%
Win Rate: 75%
So statistics show we should get a nice bounce this week. Notice I said some of the losers were big. By day 3, there was 1 loss that exceeded 10%, most of the others were right around 5% down. So a pop is not guaranteed this week, but when you see a 3 out of 4 chance of a higher close by Thursday with an average gain of nearly 9%, that's a pretty strong bias.
I'm a huge fan of Rob Hanna @ Quantifiable Edges. One thing he offers is a nightly newsletter (w/ free 1 week trial!). Each night he runs a bunch of tested strategies and combines them into an "Aggregated" system. Based on the results of all his studies, he can predict where the SPX might go if all studies average out. Going into Friday, most of his studies were bullish and pointing to an SPX value of 1353. We closed at 1300 and historically when we've closed this far below his aggregated predicted value, a big pop was just around the corner. Sure, there may be a little bit more pain to endure on the long side, but I believe upside potential outweighs the downside risk and I'm very bullish this week.
One thing to watch out for is a possible flip to "unhealthy" status. We flirted with it last Friday (see previous post). I'm hoping for a gap and go Monday to squeeze the shorts, but if we don't get it, the model will flip into "sell the rally" mode and it won't take much to get sell and short signals. On the flip side, buy signals in an unhealthy market have a high win rate and are usually extremely positive. So, we'll see what happens this week. Enjoy the rest of the weekend.
PS - One last piece of bullish evidence. Trouble if we break below, but so far so good.
Next Day:
Avg Gain: 2.17%
Win Rate: 63%
2 days later:
Avg Gain: 4.58%
Win Rate: 71%
Most losers were big though...
3 days later:
Avg Gain: 6.38%
Win Rate: 71%
Some big losers!
4 days later:
Avg Gain: 8.72%
Win Rate: 75%
So statistics show we should get a nice bounce this week. Notice I said some of the losers were big. By day 3, there was 1 loss that exceeded 10%, most of the others were right around 5% down. So a pop is not guaranteed this week, but when you see a 3 out of 4 chance of a higher close by Thursday with an average gain of nearly 9%, that's a pretty strong bias.
I'm a huge fan of Rob Hanna @ Quantifiable Edges. One thing he offers is a nightly newsletter (w/ free 1 week trial!). Each night he runs a bunch of tested strategies and combines them into an "Aggregated" system. Based on the results of all his studies, he can predict where the SPX might go if all studies average out. Going into Friday, most of his studies were bullish and pointing to an SPX value of 1353. We closed at 1300 and historically when we've closed this far below his aggregated predicted value, a big pop was just around the corner. Sure, there may be a little bit more pain to endure on the long side, but I believe upside potential outweighs the downside risk and I'm very bullish this week.
One thing to watch out for is a possible flip to "unhealthy" status. We flirted with it last Friday (see previous post). I'm hoping for a gap and go Monday to squeeze the shorts, but if we don't get it, the model will flip into "sell the rally" mode and it won't take much to get sell and short signals. On the flip side, buy signals in an unhealthy market have a high win rate and are usually extremely positive. So, we'll see what happens this week. Enjoy the rest of the weekend.
PS - One last piece of bullish evidence. Trouble if we break below, but so far so good.
Friday, June 3, 2011
Hold signal.
4:21pm: Very, very close to a buy signal. Actually, not just a buy signal but a strong one. I've shown stats on strong buy signals before, but I will update the stats this weekend. Had TNA finished .07 points lower at 76.79, a strong buy would've been generated. So while it doesn't quite qualify, it was close enough to review what has happened in the past following strong buys.
The system remains 50% long, and believe it or not is still healthy.
However, a dip below SPX 1294.70 or below 2706.50 on the Nasdaq would flip the market to "unhealthy" and I'd have to reconsider some things.
11:16am: Hold signal confirmed today. I expect a STRONG bounce next week. I'm not just saying that - I will show my reasoning over the weekend. Off to go boating w/ friends for the rest of the day. Happy Friday all.
The system remains 50% long, and believe it or not is still healthy.
However, a dip below SPX 1294.70 or below 2706.50 on the Nasdaq would flip the market to "unhealthy" and I'd have to reconsider some things.
11:16am: Hold signal confirmed today. I expect a STRONG bounce next week. I'm not just saying that - I will show my reasoning over the weekend. Off to go boating w/ friends for the rest of the day. Happy Friday all.
Thursday, June 2, 2011
Hold confirmed.
3:58pm: Hold confirmed.
2:30pm ET: Today is looking more and more like a hold signal.
2:30pm ET: Today is looking more and more like a hold signal.
Wednesday, June 1, 2011
Buyable Dip!
4:15pm: Wow, what a great day! Looking forward, there may be another day or two of selling. It wouldn't surprise me. But we'd probably get another buy signal to put the system all in for the eventual bounce. Or we may bounce from here. Who knows... All I know is I like to see my account gain over 4% in 1 day! :)
3:25pm: My system is not fooled, this dip is buyable and comes with very good chances it will be profitable! :) Buy signal is confirmed. Closing short position and initiating 50% long position on close.
11:06am: It's another good day for the system. I was a bit bummed by the gap down, but stuck to the plan and had my orders placed to execute on the open. With TZA up over 3% already, it looks like the first trade in June is going to be a winner. And it also looks like it might be a brief one. I'm getting a buy signal at the current time. We'll see if it holds into the close.
3:25pm: My system is not fooled, this dip is buyable and comes with very good chances it will be profitable! :) Buy signal is confirmed. Closing short position and initiating 50% long position on close.
11:06am: It's another good day for the system. I was a bit bummed by the gap down, but stuck to the plan and had my orders placed to execute on the open. With TZA up over 3% already, it looks like the first trade in June is going to be a winner. And it also looks like it might be a brief one. I'm getting a buy signal at the current time. We'll see if it holds into the close.
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