ETF Prophet

Here’s the daily chart of the VIX and Qs one hour before the close today on low, low volume. Some interesting developments in the VIX this week as the Qs (and SPX, et al) melted up to almost kiss the benchmark SPX 1000.As can be seen from the upper chart the VIX chugged right along [...]

The DVI is an intermediate oscillator which is a subset of the DVIO (like DVO, it is a flexible and adaptive indicator). There are several complementary components to the DVI, that aid in identifying intermediate overbought and oversold opportunities. Keep in mind that intermediate or long term oscillators have a hard time differentiating between long-term [...]

The S&P is trading in an ever-tightening coil even as cumulative tick continues a fairly consistent upward drift. That could signal a breakout higher in the second half of the day, but really volume is lightish, up and down volume are evenly matched, the daily fast MACD is going sideways after its big lift, so [...]

A great new signal for scalping some early morning moves :

I think the “BigBucks” system is prototypical of the types of systems that vendors sell for a lot of money to unsuspecting traders. This is a shame, because even if the rules are disclosed (which they are usually not), it is very hard to tell the difference between a real system and a piece of [...]

Create ratios of near arbitrage and near substitute pairs and use the RSI2 for entries and exits. For longs: when the RSI2 of the ratio of the pair is below 20, go long and cover above 50 For shorts: when the RSI2 of the ratio of the pair is above 80 go short and cover [...]

While we wait for the SPX to break 1000 and seek clues as to likely momentum thereafter, I thought it might be a good time to review the SPX and VIX crosses that I’ve profiled before.In this case we’re looking at a 30 day 65 minute chart of the SPX with the VIX overlaid. I [...]

After two mild down days we broke out of the congestive range from the get go this morning on strong advancers and tick action. A 23% extension indicates SPY $101 above, but this has been a somewhat marginal trend day so far even though the VWAP is holding and, while I’m not fading it, I [...]

Can anybody tell me what the problem is with this trendfollowing system? (Hint there are at least 3) Comments below are welcome in addition to emails. Big Bucks Sytem Rules: 1) The 1-year average (252 days) is higher than yesterday 2) The 10-day slope of closing prices is higher Actual Results (last 3000 days): annual [...]

Preview: The DVI is an intermediate oscillator that is constructed in a completely different manner from the DVO. The parameters range between 10 to 30 days. Besides having a longer time frame, it incorporates different types of information than the DVO—1) stetch 2) fractal efficiency 3) acceleration/deceleration and 4) volatility. This makes the DVI a natural [...]

To take a brief departure from the indicator world, i would like to share with you all certain concepts—-some new, some old for pair trading and arbitrage. I will lengthen out this discussion to at least one other blog because there are so many ideas and nuances worth discussing. A little creativity, thought, and common [...]

…only day trades from now on! Not only are shorts being squeezed to death but brokers are charging enormous amount for hard to borrow stocks (TOS charges 17.5% APR to short UA for example – outrageous!) but also there is no more mean reversion for swing trading any positive beta stocks. Every down day looks [...]

Back after an Internet outage, so late post today. Market once again shows resiliency after the weak bond auction and overnight Asian performance. Nevertheless, we are now trading below the VWAP and under the (intraday) five-day moving average as down volume continues to build for the first time in weeks. Also note the first lower [...]

DV2 differential calculation: C, L, H= (close, low, high) P= the percentrank function in excel default lookback of 250 days Avg=the average T=today (at the end of the day) Y=yesterday DV2 (not the unbounded version)= P(average(C/(H+L) for T,  C/(H+L) for Y)) calculate this for ETF A and ETF B the differential (D) is: D= P(DV2 for [...]

Here’s is the inverse of yesterday’s Soggy Bottom pattern. It displays the Qs upward momentum’s inability to rise to the R1 pivot and reflects underlying weakness. In this case the 10:00 drop back to the PP pivot was accompanied by the release of consumer confidence numbers and as such has to be considered event driven.This [...]

Note: Anyone that wishes to see an example spreadsheet using calculations to trade pairs please email me with the subject headline “Differential DV2.”  My email address is dmvaradi@gmail.com  Furthermore, a comparison of the DV2 versus other methods will be compiled for distribution very soon. There are many ways to trade pairs: 1) Bollinger bands 2) [...]

The Mean Reversion Swing crowd has been taking it on the chin during the last two weeks and they are feeling quite mean about it — I’m certain. Since I recently added a nice testable measure of mean reversion performance to the ETF Rewind in the form of David Varadi’s (CSS Analytics) Relative Close “DV-2″ [...]

After a very noisy yet tradeable open on the weak sentiment numbers (and inspite of the housing price numbers), the major indices have pulled back about a full percentage point, putting in the first lower-low in the SPY in eleven days. Internals are net negative, but are currently running with a positive slope after a [...]