ETF Prophet

Dear Subscriber, As expected, Friday gave back a good portion of those explosive Thursday gains.  While I continue to dislike the current market structure for much — positive holiday futures trade, the late Friday sell-off, and positive turn-of-month seasonality may spell a green Tuesday.  I've been running a bit behind in my round robin of [...]

In this post i want to explorer when to trade RSI(2) taking advantage of mean reversion and even more important when NOT to trade RSI(2).

If you haven't seen it, there's a nice argument building on FTfm (Financial Times Fund Management) about the merits of Active vs Passive investing. I was particularly intrigued given the new UK coalition governments proposals to increase capital gains taxes on shares to 40% and perhaps 50%. The is a backlash against this, so the [...]

As an extension of things I've been looking at in relation to mean reversion, time zones & ETFs, I thought it would be interesting to look at where the action has been happening on stock markets in the last few decades. By this I mean, do you get bigger gains between the close of the [...]

In a small triumph over another week of noisy trade, the S&P 500 (SPY) was able to recuperate a fractional gain of +0.2%. Not much consolation after the -7.9% draw-down on the month, but I’ll suspect bulls will take what they can get. After the late day sell off Friday and with the market in [...]

LINK HERE: Million Dollar Questions

Not unexpected. Note, however, how the midpoint zone of yesterday’s trade has provided good support. I think we’ll probably finish up somewhere in that range in this light volume pre-holiday trade. Update: Fitch/ Spain downgrade within minute of this post… seems like an overreaction for a “stable” AA+, but hey….

Morning update I am noticing the inverse head and shoulder bottom I outlined the other night being discussed by Cobra tonight. http://cobrasmarketview.blogspot.com/2010/05/05272010-after-bell-quick-summary.html Cobra has a target of 114ish (55ema is around 114.5), something to keep in mind. Seems like tonights mood is that it will be choppy but we will have a upward bias for [...]

This is a sort of the GS hedge funds’ favorite 50 stocks lists profiling the repeaters. Above, I’ve culled out the SER A and B rated stocks while below is the complete list. As far as dividend plays go JNJ, PFE and MRK are the most attractive, with WMT providing a somewhat lesser return. Only [...]

There was one computation that every serious poker player knows because it is crucial to making decisions,  and that is the EV or expected value. The applications to trading are quite obvious (though the elements of fat tails in financial markets preclude true estimation of EV): EV= W% x amount you stand to win +L% [...]

Dear Subscriber, The train got chugging today with the second largest daily gains in ten months' time complete with a short-covering photo finish.  However, sitting here just above the 200-day moving averages with a strong bearish reversion bias on the board, I think a minimal intraday retrace somewhere towards the mid-point of today's trade could [...]

For an introduction to autocorrelation see this previous post: First Order Autocorrelation as a Moderator of Daily MR. In the previous post, I looked at how autocorrelation indicated MR performance, in this post, I observed the autocorrelation of another moderator of daily follow-through; volatility. Intuitively, it makes sense for volatility to be highly autocorrelated. VIX [...]

…followed by sideways trade with a good deal of potential range used up in that first hour. Internals remain strong by all metrics. SPY price has been stalled at its 38% retrace (roughly), although the QQQQ and IWM have been able to maintain up-slopes and all three VWAPs remain positive. I think this can move [...]

Very nice day indeed

Morning update The good news is that despite the negative close, we ended up with positive breadth of about 3,425 gainers to 2,350 decliners. But the positive breadth close made the McClellan Oscillator less oversold even though we closed in the red. The economic issues in Europe continue to fester. There just isn’t much clarity [...]

This is the first followup to yesterday’s post of hedge funds’ favorite stocks. These are the recent additions. The metric columns include the P/C (put/cal ratio), DivA (dividends . . expressed as $, not %) and SER (Schwab Equity Rating . . a subjective attractiveness index measuring stability and risk).Note that my old friend XRX [...]

Dear Subscriber, It was one thing to expect a gap fill last night, but the last hour sell-off got ugly fast with Technology leading the retreat.  The moral of the story being that the short-term moving average continues to move lower, and importantly, the 200-day is now headed south as well.  For tomorrow, we have [...]