ETF Prophet

The week ended with a thud as several better than expected economic reports were offset by the worst personal income results in three years, and combined fears of foreign contagion and export weakness on dollar strength (UUP +0.6%). In a mixed market, Small-Caps were able to post a slim gain (IWM +0.3%), while the technology [...]

Going into the last third of the year, Market Rewind readers are mostly optimistic on year-end equity market performance. Indeed, 58% expect an improvement from where the S&P 500 currently sits, down some -12.5% on the year. Only 19% of the 31 respondents see stocks falling appreciably lower. This is in relative contrast to the [...]

VWAP is heading steadily south as we work off short-term overbought conditions. Oil up 1.66% and the looming long weekend are also playing their part. By the same token, the Advance-Decline line is flattening and Adjusted Tick is only midly negative at this point as the SPY just now touches S1 ($128.8).10:15AM PST UPDATE: S1 [...]

This REALLY concludes my study of 3 Day Lows. This version is unfinished business from Clueless’s earlier incubator of the system. The system still buys the lowest close of 3 days, but then exits on 2 higher closes. As expected this is an active system and kicks out almost 1 trade per week over the [...]

How was that for a GDP revision? The SPY is now testing R2 ($129.90) and I am starting to put on partial hedges. That said, cumulative tick is very strong and VWAP tests have all bounced up. Volume is very low again. Have you voted in the reader poll to the right? It’s just for [...]

Here’s the 3 Day Low of the DIA, although it’s optimized for a 10 day fixed exit.All studies shown are without stops. I looked at some implications of stops yesterday to mange risk but this is still a work in progress.Above is thumbnail record of the optimization study indicating the relative returns with a 7 [...]

I want to correct a miss-statement I made in the original 3 Day Low code post.I indicated thatIf Close =LowestFC(close, Len1)returns the lowest low over the period Len 1. That’s incorrect.The commands returns the lowest close over the period Len1.If Close =LowestFC(low, Len1)returns the lowest low over period Len1. My goal was to return the [...]

In spite of light resistance at the five-day moving average/ R1 (SPY $128) and a somewhat erratic bar-by-bar tick, adjusted cumulative tick is looking very strong and it seems resistance will be broken to the upside.

As promised yesterday, these are the results of the 3 Day Low system for the Qs.The upper record is performance without a stop, the lower records includes a $10/100 share Breakeven Floor stop. The frequency of trades is strikingly similar to the IWM profiled yesterday, and when optimized, 7 days pops out as the best [...]

Sorry to get off point.What’s this got to do with trading? Nothing. . . except one of the perks of successful trading is the ability to play some top notch courses, which tend to be pricey. Well, if you’re ever in Southern California and are thinking about Torrey Pines, La Costa, Aviara, The Crossings, etc,. [...]

So far Trin and A-D line are positive, though price is really going nowhere fast — putting out stops on select positions. Oil is pulling back in spite of the storm noise. Two birthdays in the Pietsch household this week, here is a shoutout to my big boy Luke! HAPPY BIRTHDAY LUKE! Have you voted [...]

One characteristic of short term daily trading systems is that they tend to be hyper volatile, displaying considerable market “noise” in between those times when short term trends are played out. My buddy Clueless was playing with a 3 day low system the other day and (being the short term trader I am) this gave [...]

…unless you are in treasuries. Oil and gold up modestly as well. Be careful, Tick is highly negative and trending down. Street is practically begging for a retest last month’s lows. Money flow as been very weak and there is no volume. On a more positive note, there is often a upward holiday bias going [...]

First of all, a warm Thank You for the comments and e-mails and coding posts that followed Occam’s Razor and the 3 Finger Lead. It’s nice to know that other traders are thinking about these ideas and devising tactics to incorporate them into their trading.George made a comment about curve fitting that I think is [...]

In a roller coaster week, equities ended up taking a breather after the Commodities Index (DBC) staged a powerful comeback rally of +3.7%. Late in the week, however, yet another oil reversal, a relatively optimistic inflation forecast from Chairman Bernanke, rumors of a pending GSE bailout, and a possible overseas investment in Lehman helped equities [...]

The 3 Finger Lead (3FL) is a departure from most of my other studies.First of all, it’s a trend following system that seeks to Buy strength in the direction of the trend. No contrarian thinking here, we’re just going with the flow and looking to positive momentum in the indices to guide our trades in [...]

…to work its market magic: this time to the upside. However, today’s chart lists five of the eight or so reasons I took a short futures position this morning where indicated by the circle. I’m already out (edit: why? bounce off of R1, acting as subsequent support, a technical trade) – it was a scalp [...]

With volume having drifted back down since the passing of July’s stormy lows, we now find ourselves in the midst of the summer doldrums. On the other hand, August has certainly seen its share of large price swings. As promised earlier in the week, this study takes a quick look at what typically happens the [...]