ETF Prophet

Another quiet day of trade has the banks propping up the S&P 500 after an early gap fill, which held at the pivot. The Semi’s are showing relative weakness, however, holding back the NASDAQ 100. Although internals are net negative, they are slowly repairing going into the second half of trade.

Following yesterday’s post, here’s the equity curve of the TLT 3 Day Tripper.  Regular readers know I typically utilize an adaptive approach to modelling with a rolling 16 month lookback (backtest) period. Why?  Market dynamics are constantly in flux due to unpredictable micro and macro forces as well as technological developments such as HFT and order masking.  Detecting the [...]

http://etf-rewind.blogspot.com/2010/12/etf-rewind-pro-121710_27.html

Dear Subscriber, Financials provided a weak open with the impetus to close into the green in-spite of a closing VIX well over +7%.  In spite of the gap fill, markets effectively recorded a lower high and lower low today, leaving us with a more definitive bearish outlook for Tuesday's trade.   Can bullish seasonal tendencies overcome [...]

The financials continue to lead us.  VIX had a big jump today.  Was the VIX closing the gap between cash and January futures or is there something more sinister at work?  Some more upside on Tues and Wed follow by consolidation on Thurs and Fri would seem logical; given seasonality and POMO schedule.  If fund managers are deferring [...]

The Chinese rate hike inspired gap lower has made a valiant attempt to fill on good accumulated Tick.  However, other internals are less rosy looking and the VIX is plus 9%.  Looks like buying vol was a good trick after all.  All that said, volume is at extreme lows, so it’s difficult to attach too [...]

This is a continuation of Thursday’s TLT post and will kick off a number of studies I will profile that may provide the basis for a robust, risk adverse quantitative model for trading TLT.  The idea here is to assemble a basket of non-correlated trading tactics focused on TLT that may or may not deliver [...]

Dear Subscriber, Yesterday's Chinese rate increase is having a deleterious impact on the Sunday futures market, which was already set up as somewhat intermediate-overbought going into the Christmas-eve reversal.  Otherwise, I continue to have a mostly neutral outlook for Monday's trade.  While the market's may well be due a pause or pullback here, I don't [...]

(Click Image to Enlarge/ ETF Rewind Glossary) Holiday shortened trade left the S&P 500 (SPY) higher by another +1.0%. Indeed, the S&P is up +5.0% over the last four weeks, with the Russell 2000 (IWM) higher by a whopping +7.2% during the same period. By the same token, Thursday’s late-day pullback removed some overbought pressure [...]

As BZB trader astutely pointed out in yesterday’s chat, there was no POMO today!  And sure enough we got our 2 pt drop.  Did you get that dip today? Pockets of strength appeared in the metals and energy, but the real pop today was in volatility. Not only is half the internet and media pumping [...]

How old are you anyway? Have a good one Bob!

The market is slightly soft going into the holiday weekend. Although news flow has been good, prospects of the long holiday weekend ahead in addition to overbought conditions are conspiring against more holiday cheer. Of course, the day isn’t over yet and tick is holding up well in contradiction to other internals. I’ll be keeping [...]

During this holiday period, I want to thank you all very much for the support you have showed this nascent blog in 2010. The good discussions I have had with reader in the comment section or via email made every minute of the adventure worth it. The good feedback I received exceeded every expectations I [...]

We had a brief exchange in yesterday’s chat room regarding tactical approaches to buying volatility and I suggested TLT, which was immediately questioned by one of the members.  So, while the EUR/USD continues to flash a pop and drop pattern and lurk about 131.00, this seemed like a good time to clarify my reasoning.

Dear readers and followers,  the year is coming to an end. I want to take this opportunity and wish all readers and fellow traders a merry Christmas and a happy new year. For me it’s been a year of growth. Besides of continuously improving my systems and learning, I’ve setup this blog. The blog helped [...]