ETF Prophet

Professional trader and financial blogger Rob Hanna of Quantifiable Edges fame today recounted Bill Luby’s VIX:VXV ratio, which compares near to intermediate-term volatility structures.  This reminded me of a close cousin indicator, the “3:10 Historic Volatility Indicator,” which I also first read about on Rob’s site (link).  As its name suggests, the Offset compares volatility [...]

The Nasdaq-100 is rebalancing at the open on Monday and that is causing some wild movement in key components like Apple and Google.  The indices went straight up all week notching 7-8 days of winning streaks.  Higher crude oil, weak U.S. dollar and mediocre economic reports were compensated by plenty of good earnings reports.  Upside [...]

For your bedside reading, Trading Historic Volatility Offset Zones http://etf-rewind.blogspot.com/2011/04/trading-historic-volatility-offset.html Best regards,Jeff

Professional trader and financial blogger Rob Hanna of Quantifiable Edges fame today recounted Bill Luby’s VIX:VXV ratio, which compares near to intermediate-term volatility structures. This reminded me of a close cousin indicator, the “3:10 Historic Volatility Indicator,” which I also first read about on Rob’s site (link). As its name suggests, the Offset compares volatility [...]

The melt-up trend line remains unchallenged with next intraday resistance at roughly SPY $136.50.  Resistance, what’s that?

In the previous post we discussed the concept of a drawdown oscillator- which measures the normalized drawdown from a long or short trade as defined by the Donchian Channel. A related and highly complimentary oscillator would naturally measure the run-up between drawdowns. This would allow us to create a more dynamic/holistic strategy, as there is [...]

With this post I want to share my thoughts about where I’m going next. Before starting a whole new system I need to think and consider what I have and  what I’m capable to do.  Every trading system starts with an idea. My idea this time: I need a system that provides me with a [...]

Prophet reader “Rob” commented that he was impressed with the SMH:SLV pair so this seemed like a good time to discuss why it’s important to look closer at such apparent high performance trades to understand what’s really going on.  Above is the ETF Rewind Pair Analysis showing the characteristics of the pair trades and displaying a [...]

Examining the VIX:VXV ratio is a concept I first heard from Bill Luby at VIX & More.  The VIX is a measure of short-term (30-day) volatility expectation and the VXV measures intermediate-term (93 day) volatility expectations.  The ratio r…

Dear Subscriber, Today's continued afternoon melt-up now has prices now very stretched in both price and time going into the last trading day of the month.  However, there was mixed performance within the sectors with Technology and Energy actually closing lower.  Lastly, the last couple days of the month have recently been weak, with traditional [...]

The NASDAQ managed its seventh straight positive close while other indices worked on sixth in a row.  Breadth improved during the day and we closed near the highs. News is hitting that Research in Motion lowered guidance and Microsoft shares are down after initially trading up on its earnings report.  This may set up for [...]

Internals are flattish, but impressive considering opening news flow.

One of the complimentary concepts to the recent indicators and also fractals is the drawdown oscillator. This oscillator shares some similarity to the ulcer index, but has some unique departures. The drawdown oscillator is separated into two separate indicators: 1) DRO long which measures the drawdown from a long position  2) DRO short which measures [...]

A few days ago I posted the SMH Quick Step setup and yesterday’s close was the programmed timed exit for the latest trade . . which produced a nice 8.4% gain over 6 days. The fixed bar exit turned out to be perfectly timed as today’s open showed SMH (and EEM) two of the weaker components of [...]

The FOMC cut its GDP projection, admitted to slight increases in inflationary pressures and stated that QE2 is coming to an end in June, but the bulls took control and broke out to a new high.  We closed strong and had a good jump in breadth as well. We have a straight-up move on light [...]

Dear Subscriber, Discretionary's led today's break out higher on a meek Federal Reserve statement.  Although I continue to maintain a neutral to mildly bullish outlook for the near-term, I expect today's close to be challenged with a lower low and close before the week is over.  In addition, note that Market Normalcy has officially gone [...]