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*Please make sure you understand how to use the table above. The main purpose of this report is to provide information so contradictory signals are always presented.
SEASONALITY: THE LATER HALF OF THE NEXT WEEK IS GENERALL BULLISH
According to the Stock Trader’s Almanac:
- Monday (04/12) before OE, Dow down 4 of last 5.
- 04/15 income tax deadline, Dow down only 5 times since 1981.
- April expiration day, Dow up 11 of last 13.
CYCLE ANALYSIS: CYCLE TOP COULD BE AROUND 04/11 TO 04/15
See 04/08 Market Recap for more details.
INTERMEDIATE-TERM: EXPECT ROLLER COASTER AHEAD
Nothing new, according to the II Survey, too many people expected a correction, so the stock market should rise to a new high first before actually pulling back. Basically, my guess is that we’ll repeat the year 2004 roller coaster pattern. See 03/19 Market Recap for more details.
SHORT-TERM: A STRONG EARNINGS OFF-SEASON USUALLY MEANS A WEAKER EARNINGS SEASON
周五又有很多extremes更加extreme了，见上面的table里打星号的部份。不过，虽然感觉上大盘很疯狂，可是仔细看起来，自02/05以来44 trading day的上涨幅度才刚刚等于去年七月27 trading day的上涨幅度，因此其实上涨的动力已经大不如以前了。此外，既使去年三月(the upward push was much stronger)，到44 trading day的时候，SPX也开始了一定程度的pullback。所以，也许可能大概，这一轮的上涨差不多了。
04/08 Market Recap分析了下周非常可能是cycle top，而下周是earnings season的开始，有两个统计，正好也是说可能从earnings season会比较表现不好。
第一个统计，来自sentimentrader。
Here is how the S&P 500 performed during the last 10 earnings seasons (lasting about 26 days) when it was trading at a new 52-week high entering the season:
|
Date |
Return |
Max
Loss |
Max
Gain |
| 07/08/97 |
0.9% |
-1.8% |
4.9% |
| 10/06/97 |
-5.0% |
-12.1% |
1.1% |
| 01/08/99 |
-2.6% |
-5.5% |
0.7% |
| 04/07/99 |
2.2% |
-3.2% |
3.4% |
| 07/07/99 |
-8.2% |
-9.2% |
1.8% |
| 01/08/04 |
1.3% |
-1.5% |
2.4% |
| 01/09/06 |
-0.6% |
-2.8% |
0.4% |
| 10/10/06 |
2.9% |
-0.7% |
3.0% |
| 10/09/07 |
-5.4% |
-8.1% |
0.7% |
| 01/11/10 |
-3.3% |
-8.9% |
0.3% |
| Average |
-1.8% |
-5.4% |
1.9% |
Overall, not so hot. It didn't manage to sustain a +3% gain during any of them, but it did close more than -3% lower four times. Six times, the maximum loss was larger than the maximum gain. Also six times it never managed to gain any more than +2% at any point during the season, but seven times it lost more than -2% at some point.
第二个统计，来自Bespoke。
Historically, the S&P 500 has averaged a decline of 0.28% during earnings season, while it has averaged a gain of 0.76% during the earnings off-season. When the market has been up in the previous off-season, the average performance during earnings season moves even lower to –0.36%. It’s a typical buy the rumor/sell the news scenario.
以上，总结一下，就是其实上涨的动力大不如以前了，既使是最强的09年3月的push，SPX在上涨了44 trading day以后也休息了一阵。此外，cycle以及有关earnings season的统计也支持下周SPX开始休息。最后不要忘了上面table里已经攒了非常多的bearish extremes的事实。
下面是一些新的extremes，有兴趣的看一下，没兴趣的，报告到这里就结束了。
周五，ISEE Equities Only Index又Close在260以上。过去这么高的记录以后都发生了啥，可以看下面的图。
04/05 Market Recap里提到了大伙儿疯狂的买CALL。下面是最新的Large Trader Call Purchases，疯狂买CALL的情况并没有改变。
Options Speculation Index是bullish bias (call buying and put selling) transactions to bearish bias (put buying and call selling) transactions ratio，非常非常extreme。
Rydex traders本周买了更多的股票。
下面的index思路来自Bespoke，percent of SPX stocks 1+ standard deviation above MA(50)。见红棒棒highlight (when readings > 75)，看起来用这种方式衡量SPX是否overbought，非常有效。
要指出的是，上面这种overbought的indicator，仅在2003年失效过一次，当时SPX从底部大反弹，相当于去年三月的情况，因此现在重复2003年的情况的可能性相对较小。
STOCK SCREENER: For fun only, I may not actually trade the screeners. Since SPY ST Model is in BUY mode, only LONG candidates are listed. For back test details as well as how to confirm the entry and set stop loss please read HERE. Please make sure you understand the basic risk management HERE.
Looks like it’s too late to long stocks now as the market is way too overbought. Waiting for a better chance.
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狗仔卡
发表于 2010-4-10 09:34 PM
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发表于 2010-4-10 09:39 PM
发表于 2010-4-10 09:46 PM
