ETF Prophet

Today is the 7th day that opened strong and faded.   With the hurricane behind us, the bulls probably are having some pre-election jitters.  One the one hand, the market is acting like Obama already won.  On the other hand, it is still in a sideway range of 140-142 SPY and today’s consolidation feels slightly bullish.

Here is a good link to summarize how to calculate various moving averages: http://www.metastock.com/Customer/Resources/TAAZ/?c=3&p=74 Here is an interesting post showing a comparison of performance of different moving average variants across a number of markets by moving average length. It is worth noting that recency-weighting (wma) tends to perform better on average than the less responsive [...]

One of the unique aspects of modelling financial time series  is that recent data is more important than previous data. This is because forecasts need to be made for the next time period, and prices compound in value over time. The other unique aspect of time series data is that there tends to be a [...]

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Below is a summary of the research discussed this past week in the 2-minute Overnight Overviews. All stats are updated to present day. The research is designed to prepare traders for the upcoming overnight session. I feature research several times per week in the Overnight Overview. The Overview can be seen on the blog. Traders …

After two 10 point whipsaw after the AAPL earnings and overnight futures, the market ended up unchanged.  We made another lower low intraday and certainly the trend continued to point lower.  The S&P is trying to decide if it wants to test its 200 day moving average following the NASDAQ and Russell or put in [...]

A review of yesterday’s odds, last night’s action, why you should follow Overnight Edges on Facebook, and Halloween-related Friday jokes.

Although the indices managed minor gains today, the overall action remains poor. For the second straight day, the market opened strong and then sold off.  AAPL and AMZN earnings after hours provided some wild gyrations.  Two failed upside bounce attempt leaves the S&P vulnerable for a 200 day moving average test.

A review of yesterday’s odds, last night’s action, and a study examining overnight performance following 6 lower lows.

In last night’s letter I examined 20-day lows that occur on Fed Days during long-term uptrends. The results appeared interesting. You’ll find the stats table below.

Over the first 1-4 day period there doesn’t appear to be much of an edge. But ov…

No doubt inspired by my recent string of winning trades, I’ve had a lot of questions in the last few days regarding performance of the Overnight Edges methodology. So I thought it would be worthwhile to address the topics of streaks and setting expectations. I’d also like to point out a few places where traders …

The well anticipated strong open was sold.  After a flat line period right before the FOMC decision, the selling was steady the rest of the day. The market closed near the lows but is one step closer to a short term bounce that sticks.  An opening flush tomorrow could possibly do it.  After the bounce [...]

Markup comparison of the October versus September Federal Open Market Committee/ FOMC statements below: Release Date: September 13October 24, 2012 For immediate release Information received since the Federal Open Market Committee met in AugustSeptember suggests that economic activity has continued to expand at a moderate pace in recent months.  Growth in employment has been slow, [...]

Poor earnings and guidance hit the DJIA and S&P 500 early today, which played catch-up to the NASDAQ and the Russell 2000.  QQQ and IWM tested their 200 day moving average intraday.  Apple provided temporary relief intraday on its new product announcements, but the stock ultimately closed at the low.  Adding fuel to the fire [...]

The pre-market indications are for a gap down of about 1% as I write this around 8:20am EST.  With tomorrow being a Fed Day I decided to see how the market has performed other times it has seen large gaps down on the day prior to a Fed Day. &nbsp…

We had a lower low retest intraday when rumor about upping QE3 size and language hit the tape.  Apple’s bounce on Ipad mini announcement tomorrow gave NASDAQ support all day.  It will be interesting as we get back to daily vwap around 144-145 SPY.  This is a key area to keep in mind since QE3 was announced.

In the April 19, 2010 blog I showed a compelling study that examined large drops on Fridays.  Both the Crash of ’29 and the Crash of ’87 happened on Monday.  The Crash of ’87 is still remembered by many traders that are active today. &…

Hard to believe it after Friday’s big down move, but the S&P 500 (SPY) finished the week higher by just a fraction. The NASDAQ 100 and Russell 2000 were less fortunate, along with most non-equities save Agriculture. [Week 44 Calendars: Economic | Reporting]