ETF Prophet provides daily stock market and ETF commentary(*) using technical, quantitative & fundamental analysis from twelve active traders.
Dear Subscriber,Technology led another drubbing on Wall Street and all trend time-frames are now aligned to the downside. Our bullish reversion signal picked up some strength, but normalcy is only holding on by a thread. These factors together suggest possible wisdom in limiting counter-trend size/risk with day-trading techniques trumping the potential swing. Tomorrow brings a [...]
The Quantum Financier blog will take a pause since I will be away for work, I am leaving Sunday and will return on August 13th and I will most likely be unable to post during this period. Upon my return you can expect the finale for some unfinished series of post. I will still be [...]
ah back in the blogging saddle after a few weeks worth of heavy work to wade through. Some interesting posts to investigate, especially the work on the Trend Strength Indicator. I've penciled in some analysis comparing the uses/ benefits of this compared to the TVA. http://cssanalytics.wordpress.com/2010/06/29/trend-strength-index-tsi-results-summary/ Another interesting post from CXO. From my experience I'd [...]
H1 2010 — Is it a virus, or the first half stock market performance on the year? Here is a small slice from ETF Rewind showing percentage changes for major indices, caps, styles and sectors during the last three, six and twelve month periods. It’s no surprise that the internationals were the hardest hit, but [...]
Internals and inter-market sentiment are positive at the mid-day, but not trending and price action is very sluggish with the SPY just holding onto its up-trending VWAP.
Over the last couple of days I’ve introduced a new way of how to identify and measure true trend strength. The TSI formula has been posted here and here. Expect more posts on TSI to come.
On a day when many of the big caps saw long term support violated TLT was once again the safe haven of choice on Tuesday. After struggling a bit GLD also joined the party, but it’s near term prospects look more neutral than positive. I’ve adjusted the Rotator components, eliminating NEM and adding GDX, which [...]
Related Reading: my post on “Perfect Alignment” is a good refresher http://cssanalytics.wordpress.com/2010/01/21/perfect-alignment-and-sp500-returns/ see the post by Rob Hanna of Quantifiable Edges on the Nasdaq vs the S&P500 <a href="http://quantifiableedges.blogspot.com/2009/05/simple-powerful-timing-indicator.html" While spending some rare time doing personal testing, I postulated the theory that if the Nasdaq leading the S&P500 was bullish then the S&P500 leading a [...]
Dear Subscriber,All sectors where hit hard as the VIX tagged 35 on more sour sentiment and global growth outlooks. While we still have a bullish signal, it is fairly weak and market normalcy reading are falling fast. I will note that among tracked equity ETFs, 95% and 84% are now on CSS Analytic Aggregate Systems [...]
It is simple intuition that mean reversion systems should outperform during periods of greater volatility when higher noise levels permit stronger relative returns. In an attempt to quantify the level of comparative returns, this study segregates average daily returns for a simple, well known Relative Strength Index (RSI) strategy as our mean reversion proxy according [...]
Yesterday’s stand-off was settled today with a sizable opening gap and run to the downside, breaking potential trend line support near SPY $105. Whereas yesterday’s volume was the lightest of the month, we are now near highs — true distribution. Price action is catching its breath at the mid-day, but internals are very very negative [...]
We did get those new highs in the golds, silver and TLT but only TLT was able to hold those gains at the end of day. A bit surprising to me FXI (IShares China) ended up losing 1/2% Monday . . I was expecting some more enthusiasm for the support of the yuan, but HEY!, [...]
This post is a follow up to the previous on the Trend Strength Index (TSI) by Frank Hassler of Engineering Returns: http://cssanalytics.wordpress.com/2010/06/28/trend-strength-index-tsi/ I will have more to follow on the TSI later this week, but first a peek at the results of some tests that Frank ran on the Nasdaq 100 stocks using TSI. You [...]
Dear Subscriber,Energy and Materials held the market back today for another lower close. We have a slightly more bullish outlook for tomorrow, but I am very concerned about the market's inability to bounce with volume now at monthly lows. Perhaps we will continue in this environment until Q2 earnings roll around with sufficient catalyst to [...]
Today’s graphic is worth a thousand words. Profit taking on the first thrust attempt to log a higher high were immediately pushed back to the daily VWAP.
Gold and silver look headed for new highs and TLT is tracking in a similar pattern. And there may be good fundamental reasons why. China’s decision to let it’s currency rise in value adds buying power to it’s growing middle class. . . which is both good news and bad news for US companies. While [...]