ETF Prophet

(Click Image to Enlarge/ Glossary) Another historic policy week left the S&P 500 down just a fraction after the Federal Reserve cut its key lending rates to all time targeted lows of 0% to 1/4% (SPY -0.1%). This move had the effect of putting strong additional pressure on the US Dollar, leaving Bonds at bubbly [...]

Image via Wikipedia I’ve updated the ETF correlation tracker tool today based on reader feedback.  It now includes 10,50,120 and 260-day correlations on our ETF basket.  Michael over at MarketSci sent me back a version that converted it to a heat-map where it is colored by percentage correlation, but he did it in Excel 2008 [...]

These are the results with pyramiding turned on for the 3 finger reverse. The system now returns over 2x the net profit, but the max consecutive winners/loser ratio has become pretty dismal (for me) and the max drawdown is similarly impacted because (this is a test) . . . we now have multiple positions exposed [...]

Image by Cellach via Flickr I am sitting up here on a Friday night wrapping presents and waiting for some sign that my wife will go into labor (no sign yet – the baby is late!), and we’ve gotten about 5 inches of snow in the past 3-4 hours.  So I have had some time [...]

The market has taken a small header since it’s early morning run-up just past the S&P 500′s daily pivot (SPY $90). However, the Cumulative Tick and Advance-Decline lines turned south at 8:00am pst, and price soon followed. We then got a small bounce at SPY $88.45 (near yesterday’s lows) and a nice supportive volume spike [...]

Here are 4 butterfly scenarios that might play out on XLU, the Spyder utility sector ETF. The butterfly proposed for XLE earlier this month has played out nicely (so far) and as I expanded my search for other candidates, the XLU looked like a possibility with its essentially flat LR30 configuration for the past 2 [...]

Image via Wikipedia I’ve decided to publish a tool for readers on a weekly basis – I’ll see if people have any interest to decide whether to keep publishing it or not.  The links below are to documents (in HTML and CSV form) that show the 50 day correlation between most ETFs available.  There are [...]

The market is holding its own on this pre-expiration Thursday. Here is a terrific article looking at the upward bias during expiry weeks by MarketSci. Note the relative outperformance of small-caps (IWM) and financials (XLF) today. The dollar (UUP) has also caught a small bid for the first time in a long while. 10:50AM PST [...]

Just another example of the GE / NYAD scalp setup I’ve profiled before. Now, technically speaking, these aren’t exactly scalps. . .as my scalper buddies have mentioned to me. True scalps typically last only a few minutes, at the most, but HEY! it’s my blog and I’m going to call these trades scalps for lack [...]

No contradictions in that title! After a morning pullback to the daily pivot (SPY $90.60), the market has found strong support at that level and is attempting an advance. The Cumulative Tick and the A-D lines look very healthy. I also like the relative strength in Consumer Discretionaries (XLY -0.09% vs XLP -0.34%). Although down [...]

My favorite episode of Seinfeld involved George making a startling revelation. http://www.youtube.com/watch?v=cKUvKE3bQlY So. . . as I’m fiddling around with the 3 finger lead system I realized that it might be interesting to test the short side of this concept for mean reversion to the NYAD. Since using the NYAD for these comparisons is a [...]

Arne Duncan was just nominated by Obama to be Secretary of Education. As it turns out, Duncan was a basketball player at Harvard University when a good friend of mine – Steve Bzomowski – was an assistant coach there. Steve has coached me in my basketball skills since the 1990s and is himself a fantastic [...]

It’s a strong Fed-trend day, although Cumulative Tick is now showing some signs of toppiness and we’ve seen strong SPY price resistance just over the $89 mark (spot on R1, infact). I’ll be closing out my overnight long at this point and reassess after “the news” reaction. This will include looking at scaling up on [...]

Above are results for the HLC Low system for IWM, Qs and SPY. Optimimized inputs are as follows: IWM 7,14 ; Qs 4,13; SPY 2,13 Average % profitable is 70%. I haven’t explored the importance of volume in the systems I’ve previously profiled, but here’s a quick look at what happens when we add a [...]

As we head towards the earlier morning lows (SPY $87), note the following: o Cumulative Tick Slope Very Negativeo Rising Down Volumeo Low Absolute Advancerso VWAP Negativeo 5-Day Moving Average Decliningo Recovery Attempt Rejected at VWAPo Rising VIX (57+) 10:14AM PST (by Twitter) – Possible Supportive Volume Spike forming. Coinciding with QQQQ S1 (last week’s [...]

One of the nice characteristics of GE is the way it reacts to the pivots. In some cases more reliable than the Qs or my all time favorite IWM, GE momentum can be gauged fairly accurately by looking at proximity to the pivots. Friday’s intraday behavior – shown above in 2 minute bars – is [...]

Image by Ian Muttoo via Flickr Bill Luby at Vix and More seems to be stealing all my post ideas, but I’ll go forward with this one anyway.  Damn you, Bill! In any case – like Bill, I’ve been spending time looking at the correlation between the US Dollar and Oil (and commodities in general).  [...]