|
|
|
|
| SPY SETUP |
ENTRY DATE |
STOP LOSS |
INSTRUCTION: Mechanic signals, back test is HERE, signals are HERE.
TRADING PLATFORM: SSO/SDS, UPRO/SPXU |
| Non-Stop |
07/15 L |
N/A |
Be sure to check 8.2.2a to 8.2.2g to understand the risks. |
| ST Model |
*07/20 L |
1.9xATR(10) |
*Long position initiated on 07/20. | | *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: WEEK AFTER JULY EXPIRATION, DOW DOWN 7 OF LAST 11
See 07/16 Market Recap for more details.
INTERMEDIATE-TERM: THE REBOUND STILL ALIVE BUT THE LONGER TERM CORRECTION ISN’T OVER YET
像今天这种open sharply lower close deep in green的Marubozo bar一般后市都比较牛的，所以最近一直困扰我的puzzle，今天算是有了答案，the rebound isn’t over yet。至于why this kind of Marubozo bar is bullish，限于精力，我就不论证了，下面是最新的SPY ST Model的back test summary (since 2002; still working on improving it now)，基本上可以说，今天的buy signal，on average有79%的winning rate，我想多少也该说明些问题吧。不过，bigger picture，暂时还是maintain the correction isn’t over的forecast，有太多的理由，see 07/02 Market Recap and 07/16 Market Recap，因此不是说涨一天就能改变我的看法的。
SHORT-TERM: COULD SEE SOME WEAKNESS TOMORROW
今天的After Bell Quick Summary提到了record high TICK reached intraday，这个东东由于是exchanger based，因此不同的data vendor会有不同的读数，所以无法back test，你也不用跟我argue，说你的图上没有这个记录。下面的图是StockCharts所有的TICK超过1,500地记录，基本上第二天都红，当然case太少，因此借用了一下sentimentrader关于TICK record high的统计，见下表，again，我说了，不同的data vendor，数据是不一样的，所以只是借用这个表格说明明天红的可能性比较大，因为extreme high TICK可能意味着buy exhaustion。
|
Date |
TICK |
1 Day
Later
|
1 Week
Later
|
2 Weeks
Later
|
1 Month
Later
|
| 07/15/10 |
1645 |
|
|
|
|
| 09/18/02 |
1641 |
-3.0% |
-3.4% |
-4.8% |
1.1% |
| 06/11/10 |
1638 |
-0.2% |
2.4% |
-1.4% |
0.3% |
| 03/21/07 |
1637 |
0.0% |
-1.2% |
0.3% |
3.4% |
| 12/21/01 |
1599 |
0.0% |
0.3% |
1.4% |
-1.1% |
| 06/12/07 |
1591 |
1.5% |
2.7% |
0.0% |
3.7% |
| 03/01/07 |
1579 |
-1.1% |
-0.1% |
-0.8% |
1.3% |
| 01/03/06 |
1563 |
0.4% |
1.6% |
0.7% |
0.2% |
| 07/02/03 |
1553 |
-0.8% |
-0.5% |
-1.2% |
-1.4% |
| 03/28/07 |
1543 |
0.4% |
1.6% |
2.2% |
5.4% |
| 05/25/10 |
1541 |
-0.6% |
2.3% |
-1.7% |
0.0% |
| 01/03/01 |
1538 |
-1.1% |
-2.5% |
0.0% |
0.1% |
| 03/12/07 |
1529 |
-2.0% |
-0.3% |
2.2% |
2.3% |
| 06/29/06 |
1524 |
-0.2% |
-0.6% |
-2.9% |
0.3% |
| 05/21/10 |
1519 |
-1.3% |
0.2% |
-3.4% |
0.7% |
| 05/17/10 |
1517 |
-1.4% |
-5.6% |
-5.8% |
-2.0% |
| 03/23/10 |
1510 |
-0.5% |
-0.1% |
0.7% |
2.9% |
| 06/13/07 |
1509 |
0.5% |
-0.2% |
-0.6% |
2.4% |
| 03/14/07 |
1502 |
0.4% |
3.5% |
2.2% |
4.7% |
| 05/14/04 |
1493 |
-1.1% |
-0.2% |
2.3% |
3.5% |
| 02/24/09 |
1492 |
-1.1% |
-9.9% |
-6.9% |
5.3% |
|
|
|
|
|
|
| Average |
-0.6% |
-0.5% |
-0.9% |
1.7% |
| % Positive |
25% |
40% |
45% |
80% |
最后提醒一下，两件事：
不要忘了明后两天seasonality都很熊。Seasonality没有用？Well，今天是著名的turnaround Tuesday，and indeed，所以you never know，知道总比不知道好。
6.2.3 VIX:VXV Trading Signals，too low，因此again，我不认为大盘能走多远。顺便说，为什么这个图too low不好？因为VIX是预期的1 month volatility，而VXV是3 month volatility，1 month to 3 month ratio很低，表示3 month的volatility要比现在高很多，翻译成SPX point就是很可能SPX will close lower than now in 3 month，roughly speaking啦。
HIGHLIGHTS OF THE OTHER ETFS IN MY PUBLIC CHART LIST
| 
狗仔卡
发表于 2010-7-20 06:57 PM
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发表于 2010-7-20 06:58 PM
发表于 2010-7-20 07:02 PM
