ETF Prophet

02.22.12 – Weak Internals

Mrkt_Rwnd — Wed, 22 Feb 2012 17:49:46 +0000

Internals are looking weak, but the S&P 500 has found initial support at the top of its pre-break out range. That makes the mid-$135 SPY range key to watch.

Waiting for the Retest

Mr. Ice — Wed, 22 Feb 2012 02:57:18 +0000

Here we are again, back at major resistance levels that marked multiyear highs in the S&P 500 last May and DOW 13k. We had a small sell the news reaction to the Greece bailout news but the bears still failed to keep the bulls down. I would guess many are getting cautious after a seven week run, but maybe the market will hold up at this level for a while for a retest and breakout attempt.

02.21.12 – Another Large Cap Driven Day

Mrkt_Rwnd — Tue, 21 Feb 2012 18:14:00 +0000

All indicators are relatively bullish. Small caps may just be ‘resting’, waiting for the rest of the market to catch up, but nevertheless are showing relative weakness today. My 2 cents would be it’s the dollar weakness trade.

Mosaic RM – Week 8

BZB Trader — Tue, 21 Feb 2012 15:00:02 +0000

This is an expanded performance table comparing the incremental moves in Mosaic, Mosaic RM and SPY over the past 12 weeks. As noted previously Mosaic is engineered to move like a turtle, not a rabbit. Mosaic also uses no chart analysis. The values in the last 3 columns represent the total gains (1.45 = 145%) over the 4 year study period for each entity. These are simple returns, not compounded. The incremental gains in SPY have been impressive over the past few weeks but our time horizon is really focused much further out, which is why the APR line is the one that captures my attention. A major goal of the Mosaic project has been to avoid the drawdowns seen in the SPY late 2008 to early 2009. The Mosaic RM model had a max 2% drawdown during its entire run while still returning an average 10%. How the Mosaic models can be traded opportunistically with substantially increased results will be reviewed in the next 2 weeks. How retail traders can engineer and trade their own models will be discussed in March.

Weekly 360° view ~ 08 / 2012

Engineering Returns — Tue, 21 Feb 2012 08:25:12 +0000

Summary

Last week’s call worked out very well! The market closed above it’s weekly opening.

Setup for week 8 is broadly positive, hence I expect another week higher.

Note: These are my personal views, and are not investment advice!

Price Action / Benchmark

[bullish]

Direction: long term up, intermediate-term up
Volatility: very low
Trend: intermediate term trend is stretched, though not exhausted, long-term trend (TSI) is up
Channel: intermediate channel position very low
OB/OS: RSI(5)>50 and <75, RSI(10)>50 and <75

Overall price action is providing a bullish environment (A-J).

Seasonality

[bullish]

Seasonality is bearish for February, applying directional market filter the setup becomes rather bullish for (K-L).

Week 8 is having a negative bias.

Correlation

[bearish]

Short and intermediate-term correlation (N) environment among S&P500 is raising, hence signaling a slightly negative outlook.

Breadth

[bullish]

Market Breadth (O) is up, indicator value is at highest quartile. Intermediate term trend of market breadth is trending down.

Sectors

[neutral]

XLI (Industrials) and XLF (Financials) continued it’s leadership (P). For the setup I considered only weeks where the correlation (sector ETF vs SPY) is high. Very little meaning can be drawn from this setup.

Bonds
[positive]

RISK ON for the bond market (Q). Generally this is positive for the stock market, especially with a combined setup of DIRECTION & VOLATILITY.

Portfolio Trader ~ Week 08 / 2012

Engineering Returns — Sun, 19 Feb 2012 19:28:16 +0000

Last week the portfolio went sideways +0.08% largely due to a 14% earnings drop in $GILD. Though the system continues to hold the position for another week. A few position changes are going to take place in the coming week.

Portfolio Profile

Stocks (long) 82%
Real Estate 13%
Cash 5%

About Portfolio Trader
Read more about Portfolio Trader here (link). Past trades can be found here ( 2011 / 2012 ). This page will be updated as trades have been closed.

Disclaimer

These are the trades I’m going to take for the coming week. In case you consider mirroring my trades make sure you do your own homework upfront in order to match your personal risk profile (no investment advice). Performance data quoted represents past performance. Past performance is no guarantee of how the portfolio is going to perform in the future.

ETF Rewind – Transports Lagged | Week 7 | 02.17.12

Mrkt_Rwnd — Sun, 19 Feb 2012 01:39:38 +0000

Equity markets put in another strong performance for the week, leaving the S&P 500 (SPY) higher by +1.5%. With price now back near 2011 highs, Dow theorists may not have liked the Transport (IYT) sector lagging. However, perhaps that was hardly surprising given the outsized advance by Liquid Fuels (DBE) — Enjoy your long weekend!

[Week 8 Calendars: Economic | Reporting]

Source: Mrkt_Commentary subscription service; prior weekly posts.

NEVER INVESTMENT ADVICE

Dow 13k

Mr. Ice — Sat, 18 Feb 2012 03:23:53 +0000

Underlying support is strong, and mild dips were gobbled up. Dow 13,000 and the 2011 S&P highs are magnets to draw in prices for next week. On Tuesday morning, we’ll likely be reacting to a Greece resolution or more meetings. Some sort of deal will give the market short-term bounce, but may invite some profit taking as post President’s Day seasonality had been weak. However, with the EFSF bond protection program, we can not be as bearish on the Eurozone debt situation.

02.17.12 – Hard Progress

Mrkt_Rwnd — Fri, 17 Feb 2012 19:15:41 +0000

The am gap closed, but held — just having a difficult time making much more progress.

Friday Fun – You Can’t Lose…

BZB Trader — Fri, 17 Feb 2012 19:10:20 +0000

Quantifiable Edges

Bullish Resolve

Mr. Ice — Thu, 16 Feb 2012 21:32:08 +0000

After a quick test of yesterday’s low the buyers took over on a reported ECB involvement in the Greece bond swap deal to be completed this weekend. We also have a good AMAT report after hour to help the technology sector. The bulls are back in charge. A intraday retrace of about 10points tomorrow or next Tuesday is possible, but the 2011 high of 1370 are within reach.

02.16.12 – Mirror Image Reversal

Mrkt_Rwnd — Thu, 16 Feb 2012 17:30:26 +0000

I had a positive bias on the board for today, but economic reports and euro news are really making this a mirror image reversal from yesterday’s action. Wow! That said, I’ll be surprised if short sellers don’t test prior day high as a resistance level.

Finding the Happy Medium

CSS Analytics — Thu, 16 Feb 2012 06:35:34 +0000

One of the most important measures in finance is the notion of a central tendency. This is used in some form in both statistical applications and also in technical indicators. The most basic example is the mean– or the simple average of a set of data points. Other measures include the median– the middle or estimated middle value of the data set.

There are those that like to debate the merits of each of the above measures, and of course those not mentioned. Personally, I think there is more value from looking at them all together in a blended fashion. Here is a way to calculate a central value that has a nice blend of the characteristics of each measure and tends to perform well on time series data:

Happy Medium= (average/mean, median, (max+min)/2, (95th percentile+5th percentile)/2)/4

This measure is more resistant to distributions of different shapes and also strange outliers in the data. It is not perfect, but it tends to strike a good balance without having to resort to complex statistical methods. One could also blend in the interquantile or interquartile range as well (average of 80th and 20th percentile and 75th and 25th percentile).

Also it is valuable to take these measures at different levels of fracticality– or perhaps just use mutliple time interval measurements within the sample length. In this case that might mean days, weeks etc.

Apple Reversal

Mr. Ice — Thu, 16 Feb 2012 03:01:04 +0000

The dip-buyers pushed us above recent highs twice during the day on Europe optimism but were turned back by the close. We even went out close to the lows even though we still manage to hold above a 1% loss and held on to yesterday’s low. After going up for 10 straight days into a potential product announcement next week, mega cap Apple euphorically shot up at the open but reversed hard and went out at its lows. The action was similar to April last year when NASDAQ announced its Apple rebalancing. Dip buyers were stuck at the end of the day as they could not make much progress. With the right news flow and a down Asian/European market we could be looking at more down side. However, if last April was any indication, the dip buyers will likely give it another try or two before given up.

02.15.12 – Gap Retrace Holds at 500-Min

Mrkt_Rwnd — Wed, 15 Feb 2012 17:37:52 +0000

However, Tick is putting in the most negative bars of the day just now, so that support looks to be challenged.

Greeks Bearing Gift

Mr. Ice — Wed, 15 Feb 2012 01:35:52 +0000

Early morning sell off was again bought by late day bargain hunters. The bears were barely able to hold on to a 2pt drop in the S&P. Intraday ranges had stayed around 8-10pts with the VIX continuing to hover below the 20 level. If there was a Greek deal tomorrow morning, will the bears step up again on a hot open?

02.14.12 – Retrace Holds at S1

Mrkt_Rwnd — Tue, 14 Feb 2012 17:44:48 +0000

However, internals are quite negative so for now I expect some p.m. continuation to the downside.

NEVER INDIVIDUAL INVESTMENT ADVICE

Quantifiable Edges

Mosaic Metrics – Week 7

BZB Trader — Tue, 14 Feb 2012 15:05:49 +0000

Mosaic Blue details are flushed out a bit more in this week’s update. Note the portfolio components. The precise allocation of capital to each position depends on our risk comfort level and this example reflects a balance of commodities, tech and bonds. Similar results can be achieved applying other sector proxies but the robustness of option chains in these particular issues resonates with my trading style. These are dividend adjusted results but performance can be enhanced significantly by selling OTM calls 1 or 2 standard deviations out. The Risk Managed version of Mosiac maintains only long positions, like the base model, but goes to cash as times when the equity curve falls below the RSQ benchmark, thereby avoiding divergent momentum trends in the underlying ETF components.Mosaic was engineered to be a scalable investment model so, depending on available capital position sizing can be adjusted from a threshold of approximately $12K for the basic Mosaic to a option trading model requiring $44K. From that point capital deployment can simply be incremental. Given the liquidity of the components a very large portfolio can be maintained with little slippage and minimal commission expenses.

The last 30 trading days have produced a 6% gain in Mosaic Blue and 4% in the Risk Managed model. Just for entertainment purposes we’ve applied the XL Forecast algorithm to our various data series to generate a rough look forward of 2012 expectations…these values are labeled as “2012 Target” and “% Target Gain” . The forecasts reflect current momentum in the market although any number of factors may cause a radical realignment of these values as the year progresses….so, like it says, ‘Just for entertainment..”