ETF Prophet

Thanksgiving has typically shown some pretty consistent seasonality.  Both the Wednesday before and the Friday after have exhibited bullish tendencies while the Monday after has been slightly bearish.  Last year I showed a table breaking it a…

This post is about the impact of survivorship bias on various types of strategies. I want to look at mean-reversion as well as trend-follow strategies to see how their performance gets impacted by using today’s stock index constitution vs. a historical correct definition aka survivorship bias free. Test setup Indices: NDX100, SP100, SP500 All trades are close/close, no [...]

Price is trying to consolidate in the face of highly negative internals. The only positive I can point to is some supportive volume spikes coming in on the dips. Hopefully those will have an accumulative effect for the bulls. Then there is that whole seasonality thing… (right….) on top of an RSI-2 of SUB-1!! (right….). [...]

We bounced at the open and again on news of another European rescue plan, but both attempt fizzled fast. Even some dovish comments in the Fed minutes didn’t produce a reaction. To add insult to injury, the Federal Reserve issued a press release right at the close that it will stress test banks for exposure [...]

Well, the headline picked price up off the 50% retrace mat at just the right time anyhow. Like magic, no? Internals remain negative on the day but Tick is holding the zero line for the moment and VIX is down on the day, let’s see how VWAP holds after the expected first pivot test/ reject. [...]

The bulls needed to hold technical support of around 1207 on the S&P 500 and they failed. The failure of the U.S. congressional super committee and the constant headlines about issues in Europe just were too much for this market. We are back under the 50-day simple moving average of the S&P 500. However, we are [...]

The SPY finished at a 20-day low on Friday, and now it is gapping down large this morning. I ran a test to see what kind of intraday edge this might suggest.

The raw numbers appears to suggest a mild intraday upside edge. But take a look at the pr…

Daily bars on the SPY shown above as of mid day today and technically we’re almost in a bull bias mode but…and there’s a big BUT, it’s hard to fathom what white rabbit is going to pop out if the hat to propel the markets higher.  Mid day and the NYAD is stuck at .10…distinctly [...]

But hey, these internals are gruesome. Did I say these internals are gruesome? 50% retrace is at low- to mid- SPY $118 and tomorrow marks the beginning of potential positive seasonality. Meanwhile, that 50-day breach will not be ignored — the VIX is holding steady, but Tick refuses to break the zero-line so watch that [...]

Update Last week the portfolio saw a decrease in overall portfolio equity (-2.6%) due to severe weakness in major markets (SPY -3.7%). Fortunately TLT  protected us somewhat from the overall market weakness. Unfortunately GLD showed weakness as well. WFM will be replaced by BIIB for the coming week. Next weeks portfolio/risk profile: Gold  -  36% Treasuries [...]

The market’s third attempt at its 200-day moving average was rejected on the “event risk” that just won’t quit — European sovereign debt rates plus our very own deficit negotiations saga.  The S&P 500 (SPY) finished the week down -3.7%, but isn’t quite in official oversold territory.  At what point will the current “event risk” [...]

The 2-day mean-reversion trade, e.g. RSI2 or DV2 has become very popular. Though  the performance of this trade has weakened lately (during 2011). So the twenty thousand dollar question becomes: Is the edge of this trade gone or is it about to resume? With this post I want to share an observation I’ve made by [...]

Remember this Market Rewind classic? Here is the updated run from this weekend.

I am at the excellent Las Vegas Traders Expo for the next few days.  I plan on seeing several presentations and will be speaking myself on Saturday.  I’d love to meet some blog readers, so please come introduce yourself if you see me. 
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Closing flat today was probably a bit surprising, after reading predictions of flash crash, 2008 analogies, or false break down articles last night. The deadline for the Super Committee to strike a U.S. budget deal is approaching and that is a major wild card. There is a rally in there somewhere, but I am not [...]

Up and Down Volume are matched suggesting a range day even as price action looks relatively weak. So far daily bar support is holding, we’ll see…

The dip buyers were stung again when the bounce fizzled and we breached the opening low. All major sectors were red, breadth was poor at  1300 gainers to 4200 losers, and volume was heavy.  Technically, we fell back into the trading range that was in place from early August to mid-October. The breach of 1220 [...]