ETF Prophet

ETF Rewind Pro – 02.24.12 Dear Subscriber, Although the SPY finished higher on Friday, the divergence among the small-caps carried over and it seems the breadth of participation in this bull run is waning for the moment.  Volume was particularly light.  My interpretation of the dashboard signals above is otherwise essentially neutral/ inconclusive for Monday. [...]

Most conventional quantitative methods from forecasting to optimization suffer from the existence of large outliers in the data. There are many responses to remedy this problem, from using bootstrap/re-sampling techniques to winsorization. In either case these solutions are either computationally intensive or somewhat arbitrary in nature. Sampling intensive procedures are slow and cumbersome, while many [...]

Equity markets slogged ever higher with the S&P 500 (SPY) up another +0.6% after some brief bouts of volatility. Speaking of which, the VIX tagged an incredible 16 handle during the course of the week. However, select indices such as Energy (XLE) and Technology are pushing into short-term overbought status. That in itself is not [...]

Update Last week the portfolio saw a dip of -1.98% after 9 consecutive up-weeks. For the coming week two position changes are going to take place. Portfolio Profile Stocks (long)  86% Real Estate 14% Cash 0% About Portfolio Trader Read more about Portfolio Trader here (link). Past trades can be found here ( 2011 / 2012 ). This page will be [...]

Summary Last week’s call worked out, again!  The market closed above it’s weekly opening. Setup for week 9 is positive, hence I expect slightly higher week. Though a bull-back in the range of 1% bellow the weekly open can be expected. . Price Action [bullish] Direction: long term up, intermediate-term up Volatility: very low,  ranked [...]

In the last post we introduced the Gini Coefficient as a measure of inequality and statistical dispersion. The primary benefit to using the Gini versus standard deviation is the proper consideration of abnormally large values in the cumulative distribution. There are many applications of the Gini within quantitative finance. One example is the Mean-Gini framework, [...]

Bears tried early, but we closed very near the high.  Range was extra tight and volume very low.  While we can extrapolate the negatives, we also have big POMO activity and LTRO II early next week.  They are both conveniently scheduled for end of the month and after that we may look forward to new [...]

It’s a large cap kind of day, I have a strong feeling dollar weakness is at play on the disparity there. However, the RSP equal-weight is leading SPY, meaning the biggest of the big are lagging.

The Gini Coefficient is used widely by economists as a standardized measure to compare the degree of income inequality across different countries. It is an alternative measure of standard deviation because it better captures the degree of imbalance caused by significant outliers. The Gini Coefficient ranges between 0 and 1, where 0 would represent perfect [...]

p class=”mobile-photo”a href=”http://3.bp.blogspot.com/-N31mXOFnQX0/T0cGc6pO6QI/AAAAAAAABGA/MZqPXXqntSU/s1600/Microsoft%2BExcel%2B-%2BResearch_2012-02-23_11-50-53-770946.png”img src=”http://3.bp.blogspot.com/-N31mXOFnQX0/T0cGc6pO6QI/AAAAAAAABGA/MZqPXXqntSU/s320/Microsoft%2BExcel%2B-%2BResearch_2012-02-23_11-50-53-770946.png” border=”0″ alt=”” id=”BLOGGER_PHOTO_ID_5712541746191067394″ //a/pdiv stylebETF Rewind Pro – 02.23.12/b/divi styledivibr/i/divfont color=”#222222″ face=”arial, sans-serif”Dear Subscriber,/fontbrbr/idiv stylefont color=”#222222″ face=”arial, sans-serif”Small-caps finally joined the party, with the major indices closing broadly higher — in fact, testing Tuesday#39;s highs soon after the bell.  I have tested the after-hours SPY price on the iGap Tab/i at [...]

ETF Rewind Pro – 02.23.12 Dear Subscriber, Small-caps finally joined the party, with the major indices closing broadly higher — in fact, testing Tuesday's highs soon after the bell.  I have tested the after-hours SPY price on the Gap Tab at $137.03 — if we open at roughly this level, there is a very high [...]

The dip-buyers stepped up aggressively again after a 6pt sell off early in the day.  Perhaps it’s due to month end, big-caps like IBM gave early hints that the bulls are buying.  The U.S. dollar was weak and boosted precious metals and oil.  Will high prices at the pump put a dent in the recent [...]

Price action went from S1 to R1 during the first two hours.  It’s good to finally see the small-caps catch up breadth-wise as much as I’d “like” to see a larger magnitude pause before this rally continues. (Note: Screen Shot Fixed)

When SPX hit a new 200-day high last Thursday (Feb 16), doing so deemed the 10/18/11 Follow-Through Day (FTD) “successful” according to the possible definitions of “success” I included in the FTD studies.

Based on the FTD studies, it is not a…

div stylebETF Rewind Pro – 02.22.12/b/divi styledivibr/i/divfont color=”#222222″ face=”arial, sans-serif”Dear Subscriber,/fontbrbr/ispan style/spandiv style/divdiv stylefont color=”#222222″ face=”arial, sans-serif”Equities pulled back on lower volume. Financials and Transports were hit especially hard, with the later now below its 50-day moving average (iSee/i #39;IYT#39; Cell AF51 on the Rewind Tab).  For Dow theorists that believe that sector leads the [...]

ETF Rewind Pro – 02.22.12 Dear Subscriber, Equities pulled back on lower volume. Financials and Transports were hit especially hard, with the later now below its 50-day moving average (See 'IYT' Cell AF51 on the Rewind Tab).  For Dow theorists that believe that sector leads the market, this is a not good development.  By the [...]

Weak action like today was rare in 2012, action was choppy and the close was poor. Once again, the indices refuse to show a loss greater than 1%. Markets generally don’t fall apart after making new highs, but we are due for a couple percent pullback especially on a rally into month end. We have [...]