ETF Prophet

A little known fact is that the RSI14 can be converted into an effective trend following indicator using re-scaling. The concept is based on the observation that in bull markets, the RSI14 rarely if ever gets below 30 (oversold) and but it frequently exceeds 70 (overbought). The reverse is true with bear markets, where the [...]

After a waterfall start, the Advance – Decline line began to hold its ground about an hour into the day, and prices have been recovering ever since.  As of the mid-day, the QQQQs have filled their loss, and the SPYs are close behind just beneath their five-day moving average.  These last few days have been [...]

Keeping with my oft voiced analogy of trading and gold mining, you sometimes you find nuggets in unexpected places (and you also find Fool’s Gold). Case in point . . today’s post.In my continuing exploration for high correlation Qs pairs I ran the Qs against the major commodity ETFs.The results, unfortunately, are not encouraging for [...]

A new adaptive version of the Month End Tickler for the Qs is currently on a BUY as of today’s close with a projected profit target of 6 days. The usual suspects of surprise events can always derail the system, but we have had good results with this model over the past 2 years in [...]

Dear Subscriber,  Tomorrow we have a rare neutral reversion signal within a mildly upward near-term trend.  Personally, I didn't like the mixed, mild downside action we saw today.  However, I'd still lean towards a long-bias into the change-of-month if forced.  That said, there is a good deal of news risk tomorrow in the form of [...]

So to continue with our little time machine experiment, i fed the Day of Week data into the learning algorithm to see whether it should be traded or not. Result? I got a bright red light–which means that Day of Week effect is completely un-tradeable-(ie not even worth going short the strategy). I tracked back the [...]

The major indices took an am session trip down south on the consumer confidence miss, but appear to have stabilized near SPY pivot/ 5-dma at $106, and are seemingly setting up to test the daily VWAP.  Internals are mixed in potential range-day fashion, though they appear to be setting up for a bid, we’ll see [...]

This will probably be the final series of posts on pairs for a while.I will still reserve Tuesdays for pairs profiles and unique pairs situations.Those that have been with me for a while know that the focus of much of my trading is the Qs in various iterations and in that spirit I’ll share my [...]

Dear Subscriber,  We got our big bounce — in fact the largest in nearly a month.  And it even paid to have begun scaling in a tad early.  Financials and Industrials led the move, with Consumer Staples bringing up the rear. Although internals were relentlessly bullish, price had difficulty breaking SPX 1,060. While "Merger Monday" [...]

Note: be sure to check out the second part of this post: http://cssanalytics.wordpress.com/2009/09/29/is-the-day-of-the-week-phenomenon-tradeable-it-was-for-a-long-time-but-not-any-more/ Seasonality is yet another effect worth exploring in the stock market. There are numerous components, and we will delve into a few different categories. Using a time machine test is ideal to test seasonality because  1) it is unbiased and makes no prior [...]

In spite of a rough overnight trade in Asia, the US and European markets finally got their bearings and caught a bid on merger news. Internals are extremely positive and advancing on an even keel.  Look at the steady slope of that dotted Cumulative Tick line in the second pane down. Low volatility in these [...]

Friday’s close of the VIX and Qs charts shown above.The Qs did break that RSI2 80 level to the downside on Wednesday, which was our cue to go short as mentioned in last week’s VIXology.The Qs RSI2 is now quickly approaching oversold levels and in the past has shown a tendency to reverse fairly quickly [...]

Since the initial publishing of the Big Money analysis, on balance the predictions have been fairly accurate. I warned that Gold appeared to be a short-term false breakout–and so far that appears to be the case as it broke $1000 for a few days only to stall and fall back under. Natural Gas was listed as [...]

Dear Subscriber,  We saw the safety trade back on Friday, with only Consumer Staples and Health Care spared the mild added pullback.  Our market dashboard for Monday looks similar to Friday's, but the odds for a reversal may be enhanced going into the end-of-month as we sit on key-level support (prior highs and the twenty-day [...]

(Click Image to Enlarge/ Glossary) The markets took a little back last week with the S&P 500 (SPY) closing lower by -2.1%. Materials led the retreat (XLB -4.6%), while the Dollar finally caught a small bid (UUP +0.2%). However, looking at the Relative Strength Index chart below, the recent extended run higher has short-term oscillators [...]

Admittedly, the ETF Rewind service’s greatest strength is also its weakness:  a tremendous amount of information in a very compact presentation.  Okay, maybe too much information for some. To address this issue, earlier this month I began incorporating a proprietary composite scoring system for all 200 or so tracked ETFs using many of the nightly [...]

To avoid confusion, GAMDO looks at the product of momentums which is the geometric cumulative return versus the arithmetic mean of short term returns. The derivation of the geometric mean would be to take the power of of the geometric cumulative return (P) as: P^ 1/(number of data points) One of our astute readers Eber [...]

Those of you who know me by my chat name, “Mrkt_Rwnd”, will better understand this title. After a several-week test period, it’s time to proclaim Market Rewind the official home of “Mrkt Metrics.” The purpose of the metric gauges is to port some of the dashboard indicators found in the nightly ETF Rewind into a [...]