ETF Prophet

We tested the low 33pts below the Tuesday high, then bounced 20pts into the close.  While not an ideal set up to go into the jobs number tomorrow, we could have a win-win situation.  A good or inline number shows economy is recovering.  A bad number increases the odds of more QE during the late [...]

The oversold bounces rolled over today on deteriorating news out of Europe and weaker-than-expected housing data. It was broad based selling with poor breadth. Apple remained strong on some product rumors during the All Things D conference, but ultimately the down trend was too strong to overcome. Since the downtrend re-asserted itself, we have to [...]

  Here’s a final look at the RYDEX model before we discard it onto the dust heap of failed good ideas.  What you’re not seeing is the 4% drawdown metric during the life of the model, an exceeding low and exceedingly attractive risk factor.  Note how RYDEX performed late 2008 compared to SPY.  Although we [...]

In the 8/24/11 blog I looked at the impact of breadth on Follow Through Days (FTD). To compare breadth across market regimes, instead of using absolute breadth readings I use relative breadth readings. The study below uses the 1-yr Up Issues % Rank. Th…

Volume was light but the market ignored poor housing report, weak consumer sentiment, and a Spanish debt downgrade to finish near the highs. This is the fifth positive day of the last six for the S&P 500, but the technical picture remains problematic. While we are getting a bit overbought, we are hitting strong resistance [...]

The pattern of the morning pop followed by the afternoon fade remains in tact, but as long as we have higher lows and highs…. SPY $132.75 is holding for now with resistance about a dollar overhead.

The week of Memorial Day has shown some bullish seasonal tendencies over the years.  This can be seen in the chart below.

There was no substantial edge apparent throughout the 70s, but starting in 1983 you’ll note a bullish tendency. &nbs…

With all the volatility and negative news flow, perhaps you’ll be as surprised as I was to see the S&P 500 (SPY) actually finished higher by +1.8% on the week.  Of course, over the last four weeks, the SPY remains down -5.9%.  Nevertheless, most US sector and style ETFs remain above their 10-month moving averages [...]

After months of researching and coding and much help from Jeff Pietsch, I have finally completed the basic Walk Forward Test!

Worries about weekend Greece fall out and holiday trading has traders locking in profit after 4 days of advance. Volume was the lightest of the year. We are in a downtrend and have some substantial fundamental headwinds. The bulls still have the burden of proof next week starting with the Italian bond auction on Monday.  [...]

After spiking up to 11 last Friday the Quantifiable Edges Capitulative Breadth Indicator (CBI) dropped back down to 1 on Thursday’s close.  (I noted this on Twitter http://twitter.com/qerob ) I’ve discussed for years how buying selloffs when …

Not only has this site been mostly dormant for over a year, but so too has been my trading activity. I have been extremely busy over the past few years with a wide variety of endeavors which have occupied most of my waking hours. In the process I have been lucky to work with some amazing people who are way smarter than me. It has been a challenge, and in order to keep up I’ve had to focus on the details, like trying to figure out how to structure and code some pretty complex algorithms, while not concerning myself too much with the big picture. This experience, while still ongoing, has left me with a long list of yet to be articulated questions piling up in my mind. In order to start the process of working through these questions and searching for answers I decided to spend some time updating this site to share some of my thoughts and ideas as a prepare to relaunch my trading activity. Why even trade in the first place?        What lures me to the market is that it is one of the last frontiers on which merit rules and using economic means only (as opposed to [...]

The rally near the end of the day Wednesday saw broad participation and aggressive buying. At one point the NYSE TICK spiked over 1500. It actually registered its highest intraday high since the end of August. I saw comments suggesting the very high T…

Market finished strong for the third time this week and left a third doji on the daily chart around the 132.3 SPY area.  There is some underlying support but not much price chasing perhaps due to the long weekend risk.  More Europe rumors and China rate easing rumors dominated trading today.  We may get some stabilization [...]

You’re probably tired of seeing these updates but the RYDEX model has performed well in the midst of the recent market melt down and I wanted to suggest a few reasons why. First and foremost is the actual makeup of the funds, which is considerably different than ETF proxies.  Being a blended fund allows for [...]

Yesterday’s selling carried through early today but the bulls defended the retest of the recent low and put in a strong finish. Some talks about quantitative easing and Europe-wide bank deposit insurance were the catalyst. Sharpest bounces tend to occur in down trending markets.  The bulls will need to put in a follow through day [...]

News that Greek leaders are talking about exiting the European Union triggered selling during the final hour before buyers stepped up around the 1310 level on the S&P. Europe tripped up the U.S. market again as the issues are far from resolved. With operation twist winding down, negative seasonality, slowing economic news, and the Facebook [...]

In the wake of a grim market week the ETF model of Mosaic has held up well.  Keep in mind that position sizes of the portfolio are NOT equal $, but are engineered to create near market neutral balance while at the same time allowing the opportunity for capital appreciation.  The Risk Spread chart mentioned [...]