ETF Prophet

Today in the ETFP chat room, Jeff aka Mrkt_Rewind mentioned that he is holding a lot more cash than normal to compensate for the potential volatility pick up as indicated by the VIX futures. In this kind of grinding action, I find “boredom trades” can do serious damage to my trading account if I’m not [...]

Dear Subscriber, By the intersession trade we got our positive move on the majors, but it was otherwise a mixed close on confused trade that smacked of selective window dressing led by the previously beaten down Financials.  Can the worst August in nine years come around for a better September?  Outlook doubtful, but we will [...]

In a bit of a departure from my usual focus, I’ve been tracking the EUR/USD overnight patterns for the last couple weeks.  This chart reflects 10 minute bars,  larger than the  2 minute framework I typically follow.

Well, I could have entitled the post Keatonesque Market Grasps at Swizzle Sticks… but you get the idea.  Internals are mostly strong, but flat-lining just under the SPY pivot/ 5-dma, which is proving technical resistance just as S1 provided opening support.  Technical market environment for sure — at least volume is a touch higher.  And [...]

Dear Subscriber, In alignment with last night's bias, volume was especially light during today's consistent downtrend led by the Financials and Consumer Discretionary groups.  We have a slight positive bias for tomorrow.  However, I should note that once again, my big move on low volume bearish signal came very close to a trigger state, so [...]

Speaking of the five-day moving average, in case Friday fooled you, it’s still downward sloping.  Volume is the lowest we have seen in over a month, making it among the lowest volume trade days of the year.  If the SPY pivot/ 5-dma can’t provide support (my first premise), I’ll next look to $105.75.  Bearish internals [...]

In 25 years of trading I’ve made some mistakes. Over the weekend I got together with a few other geezer traders, all of whom have traded at least 15 years, to share trading stories and have some self deprecating laughs. The one thing everyone agreed upon is that the trading milieu has changed dramatically over the past 2 years and [...]

By now, every active trader on the planet is well aware of the bidding war between Hewlett-Packard Company (HPQ) and Dell Inc. (DELL) over cloud computing company 3PAR. In fact, the battle has raged throughout the weekend.  But are you familiar with how the two have been trading as a pairs strategy?

Here is a link well worth reading by Quantum Financier on using forecast volatility versus historical as a moderator of mean-reversion performance.  http://quantumfinancier.wordpress.com/2010/08/27/regime-switching-system-using-volatility-forecast/

Attached is the signal results file for older versions of Excel.  Enjoy your evening, Jeff

Dear Subscriber, Friday's strong reversal took our bullish signal off the board and left us with a neutral to bearish outlook for Monday.  However, Sunday evening futures are carrying the positive momentum forward and it appears that we will have a gap higher to consider tomorrow morning.  Even if we do see a continuation higher, [...]

(Click Image to Enlarge/ ETF Rewind Glossary) Another sour week for Large-Cap U.S. equities left the S&P 500 down by -0.6%.  A Friday recovery effort on soothing words from Federal Reserve Chairman Bernanke nevertheless permitted a mixed finish on the part of Small-Caps (IWM), which staged a +0.8% gain on the week.  [WSJ - Fed [...]

With the start of the National Football League preseason, shorts fumbled at the goal line set by the bad INTC news. Suddenly it seemed, however, volume increased nicely on positive breadth, and major sectors turned green with Oil, Small-Caps and Regional Banks all leading…. This self-reflective post is about particular observations I found interesting last [...]

If you have been feeling serious deja vu these last several weeks, you aren’t alone. At least statistically speaking, the top five pattern matches to this summer’s price action all tie directly to 2008, and that’s across fifty years of historical weekly data…. Weekly analogue matches are regularly updated here.

Recently Michael at Market Sci has had a great serious of posts on David Varadi's DVI indicator which is the medium term cousin of the shorter term DVB indicator. DVI was proprietary until David kindly made the calculation publicly available via MarketSci. Here's some useful links: DV Indicators Market Sci on the DV2 (DVB) Market [...]

In the same line of thoughts as last post, today we will look at a way to incorporate the GARCH volatility model we introduced yesterday to create a regime switching strategy. It is often discussed on the blogosphere that high volatility is good for daily MR, see previous editions of the state of short-term mean-reversion [...]