|
|
|
|
| SPY SETUP |
ENTRY DATE |
STOP LOSS |
INSTRUCTION: Mechanic signals, back test is HERE, signals are HERE.
TRADING PLATFORM: SSO/SDS, UPRO/SPXU |
| Non-Stop |
08/16 S |
N/A |
For general direction guide only. |
| ST Model |
08/17 L |
1.9*ATR(10) |
*Sell long the next Monday.
*Short if SPY Monday’s Open > Monday’s Close. The stop loss will be 1.9 * ATR(10). | | *Please make sure you understand how to use the table above. The purpose of this report is to provide info so contradictory signals are always presented.
SEASONALITY: NO UPDATE
INTERMEDIATE-TERM: STATISTICS ARE BEARISH
中期下跌是否开始了，目前我只能说：
- 统计数据，后面几周比较bearish。
- Table above的long-term, intermediate-term and short-term indicators都是sell了。
下面看看统计数据：
在08/13 Market Recap里，我提到，weekly Bearish Engulfing意味着week 2, week 3 and week 4比较bearish，而下周就是week 2。
T2105，周五又创了新高。T2105的原理跟Hindenburg Omen类似，同时new high and new low的股票都很多，表示内部的inconsistency，因此是比较bearish的sign。当然，有reader在我的blog comment，说是因为fixed income ETF太多，所以Hindenburg Omen已经没有用了(also see Know Your Indicators: Hindenburg Omen)。我个人则不这么认为，因为2007，2008 Hindenburg Omen的时候，fixed income ETF不比现在的少。
下面是关于T2105的两个简单back test。
T2105的back test，比较难定义，因此我把T2105 MACD(10, 200, 1)的Visual Back Test贴在下面，有兴趣地可以看看，最下面的T2105很高的时候(not necessarily hit the 100 day high as one of my back test requires)都发生了什么？顺便说，orange cycle标示了MACD(10, 200, 1) back test仅有的3个failed cases。
在08/18 After Bell Quick Summary里，我提到the ISEE Equities Only Index readings is extremely high while the ISEE Indices & ETFs Only Index readings is extremely low。下面的统计来自sentimentrader：
The difference between the two of 227 (256 - 29) is abnormally large. The table below highlights the S&P 500's performance going forward after other times the difference exceeded 225.
|
Date |
1 Day
Later
|
1 Week
Later
|
2 Weeks
Later
|
1 Month
Later
|
| 01/05/06 |
0.8% |
1.1% |
-1.1% |
-0.6% |
| 02/28/06 |
0.9% |
-0.2% |
1.5% |
1.4% |
| 03/22/06 |
-0.2% |
-0.3% |
0.5% |
0.6% |
| 04/06/06 |
-1.0% |
-1.7% |
0.2% |
1.1% |
| 11/09/06 |
0.0% |
1.6% |
1.6% |
2.6% |
| 05/07/07 |
-0.1% |
-0.3% |
1.1% |
0.6% |
| 06/01/07 |
0.0% |
-2.0% |
-0.7% |
-1.5% |
| 06/04/07 |
-0.4% |
-1.8% |
-0.8% |
-1.1% |
| 06/15/07 |
-0.1% |
-1.7% |
-1.7% |
1.1% |
| 06/22/07 |
-0.5% |
-0.1% |
1.6% |
0.5% |
| 07/05/07 |
0.5% |
1.5% |
1.9% |
-5.5% |
| 07/10/07 |
0.7% |
2.5% |
0.3% |
-0.7% |
| 07/12/07 |
0.3% |
0.4% |
-4.1% |
-6.3% |
| 10/08/07 |
0.9% |
0.0% |
-2.9% |
-1.9% |
| 10/29/07 |
-0.7% |
-2.7% |
-6.8% |
-4.5% |
| 04/15/10 |
-1.6% |
-0.2% |
-0.4% |
-6.1% |
| |
|
|
|
|
| Average |
0.0% |
-0.2% |
-0.6% |
-1.3% |
| % Positive |
50% |
31% |
50% |
44% |
在08/19 Market Recap里，我提到the 2nd Hindenburg Omen。下面的统计同样来自sentimentrader。
For what it's worth, the table below shows the S&P's performance after we got a second Hindenburg Omen signal within two weeks of the first one (I've excluded any that occurred on back-to-back sessions). The "Max Gain" and "Max Loss" columns show the S&P's best gain and worst loss during the next three months.
Date |
1 Week
Later
|
2 Week
Later
|
1 Month
Later
|
3 Months
Later
|
Max
Gain
|
Max
Loss
|
# Days
'Til Low
|
| 05/20/65 |
-1.5% |
-2.3% |
-4.6% |
-2.7% |
0.3% |
-9.5% |
26 |
| 11/18/65 |
-0.2% |
-1.0% |
-0.6% |
0.5% |
2.7% |
-3.3% |
11 |
| 12/27/65 |
0.7% |
2.0% |
2.6% |
-2.2% |
3.5% |
-5.3% |
52 |
| 10/13/67 |
-0.7% |
-1.1% |
-4.8% |
-0.2% |
1.9% |
-6.2% |
18 |
| 03/26/74 |
-4.7% |
-5.5% |
-8.6% |
-9.2% |
0.3% |
-12.3% |
44 |
| 05/31/78 |
3.0% |
2.3% |
-1.7% |
6.3% |
9.3% |
-3.8% |
25 |
| 10/08/79 |
-5.9% |
-8.4% |
-7.9% |
-0.9% |
0.4% |
-9.9% |
13 |
| 12/26/79 |
-2.4% |
2.0% |
5.4% |
-8.4% |
11.5% |
-9.2% |
63 |
| 02/12/80 |
-1.2% |
-4.7% |
-10.4% |
-9.8% |
2.0% |
-20.1% |
30 |
| 07/22/86 |
-1.5% |
-0.5% |
4.9% |
-0.9% |
6.7% |
-4.2% |
48 |
| 07/10/90 |
3.1% |
-0.2% |
-5.1% |
-12.1% |
3.7% |
-17.0% |
56 |
| 12/19/91 |
6.3% |
9.3% |
7.9% |
7.5% |
10.1% |
- |
- |
| 12/20/99 |
2.8% |
-1.3% |
1.9% |
5.3% |
5.4% |
-6.6% |
46 |
| 04/17/06 |
1.8% |
1.6% |
0.5% |
-4.0% |
3.2% |
-5.1% |
40 |
| 06/21/07 |
-1.1% |
0.5% |
1.3% |
-0.2% |
2.2% |
-10.0% |
38 |
| 07/18/07 |
-1.8% |
-5.2% |
-8.7% |
-0.5% |
1.9% |
-11.4% |
20 |
| 10/25/07 |
-0.4% |
-2.6% |
-7.1% |
-10.6% |
2.5% |
-16.1% |
59 |
|
|
|
|
|
|
|
|
| Median |
-0.7% |
-1.0% |
-1.7% |
-0.9% |
2.7% |
-9.2% |
39 |
| % Positive |
35% |
35% |
41% |
24% |
|
SHORT-TERM: QUALIFIED AS A BOTTOM
关于短期，我只能说market具备了bottom的条件，下周是final match to prove itself。
对比过去，可以清楚地看到，2 leg down的pullback pattern，plus NYMO positive divergence，因此看着像是bottom，至少不能否认可能性。
1.0.0 S&P 500 SPDRs (SPY 60 min), RSI positive divergence, Bullish Falling Wedge and C = 0.618 * A，换句话说，就是market具备了bottom的条件。
时间角度讲，08/23附近是重要的pivot date，现在看起来像是bottom。下一个比较重要的时间点，顺便说，是08/26，因此不排除market反弹至08/26附近的可能。
以上，pattern，price and time都符合，因此我不能排除market已经见底的可能。
最后解释一下，为什么我说这是个short-term bottom。因为除了上面intermediate-term session里bearish的统计以外，从下面的证据看，如果真有反弹的话，这个反弹多半走不远。
6.2.3 VIX:VXV Trading Signals，还是太低。
4.1.0 S&P 500 Large Cap Index (Weekly)，see dashed red lines，NYSI weekly STO目前的状态往往意味着choppy ahead，如果不是大跌的话。顺便说，今年so far down no more than 2 weeks的pattern也是说很大几率下周green。
HIGHLIGHTS OF THE OTHER ETFS IN MY PUBLIC CHART LIST
*DTFMS = Dual Time Frame Momentum Strategy. The signal is given when both weekly and daily STO have the same buy/sell signals. Use it as a filter, don’t trade directly.
| 
狗仔卡
发表于 2010-8-22 08:46 AM
提升卡
置顶卡
沉默卡
喧嚣卡
变色卡
发表于 2010-8-22 08:48 AM
发表于 2010-8-22 08:50 AM
