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| SPY SETUP |
ENTRY DATE |
STOP LOSS |
INSTRUCTION: Mechanic signals, back test is HERE, signals are HERE.
TRADING PLATFORM: SSO/SDS, UPRO/SPXU |
| Non-Stop |
09/07 L |
N/A |
Partial profits on 09/24. |
| ST Model |
11/18 L |
1.9*ATR(10) |
There still is a validity problem unless up huge the next Monday. |
| NYMO Sell |
11/12 S |
Breakeven |
Reference only, not meant to be followed. | |
SHORT-TERM: COULD SEE MORE REBOUND, DON’T EXPECT TO GO VERY FAR THOUGH, THE NEXT PIVOT WINDOW IS FROM 11/24 TO 11/26
三点说明：
- Not sure是否反弹已经结束了，暂时倾向于more to go。
- 反弹多半走不远。因此还是预期会有the 2nd leg down。
- 下一个可能变盘的时间窗口是11/24 to 11/26，我猜是pivot top。
下面谈谈理由。都不是很solid，所以目前我neutral，需要wait and see。
为什么说反弹可能more to go？
1.0.1 S&P 500 SPDRs (SPY 15 min)，不排除是Head and Shoulders Bottom breakout的可能性，text book target $122.63。
下周是Thanksgiving shortened trading week (close on Thursday and half day on Friday)，seasonality比较bullish。Stock Trader’s Almanac (2010)有buy Tuesday sell Friday的说法。这里先提一下，hold until the next Monday after Thanksgiving week was a bad idea especially since year 2004，这个是后面要提到的pivot window around 11/26的理由之一。
Since 1988, Wednesday – Friday, gained 13 of 22 times (59%), with a total Dow point-gain of 657.51 versus Monday’s total Dow point-loss of 870.79, down five straight 2004 – 2009. The best strategy appears to be coming into the week long and exiting into strength Friday.
为什么说反弹多半走不远？
6.2.3 VIX:VXV Trading Signals, 11/18 Market Recap里已经提了，VIX:VXV too low，周五还是很low。
0.2.2 Extreme Put Call Ratio Watch，CPC too low好像不是什么好事情。
1.2.0 INDU Leads Market，INDU已经lower low了，可能暗示SPX will have a lower low。最初的关于INDU Leads Market的讨论，可以看HERE。
1.1.0 Nasdaq Composite (Daily)，看起来COMPQ很难hold the 10th gap。下面的历史分解图，有利于理解我为什么说很难hold the 10th gap。此外，如果按照过去的惯例，每次pullback都要fill 3 gaps的话，这次pullback的幅度可是不小，当然，我估计也没有人相信这个。
为什么说下一个可能变盘的时间窗口是11/24 to 11/26？为什么我猜是pivot top？见下图，很多理由：
- Multiple Gann Day due from 11/24 to 11/27。
- 还记得今年好几个关键的pivot date都是发生在25号到27号之间吗？顺便说，不相信这种日期的巧合，那么我说的magic day 6又怎么解释？不要忘了刚刚经历了02/05 bottom，05/06 crash以及11/05 top哈。
- 15 week cycle due on week 11/26.
- 今年的反弹，大多在5到7 trading day之间，我们现在才rebound了3 trading day，如果按还有2 to 4 trading day计算的话，正好是11/24 to 11/26。
- 前面提到Thanksgiving week到周五11/26 seasonality都很bullish，但是the next Monday就不好玩了，这个正好符合6.5.2c Week Seasonality Watch and 6.5.2b Month Day Seasonality Watch，亦即，每个月的最后一个交易周和最后两个交易日都bearish的统计。这个，顺便说是我猜测11/26更可能是pivot top的主要理由。
INTERMEDIATE-TERM: THE FIRST 2.5%+ PULLBACK AFTER A 40+ STRAIGHT UP TRADING DAYS WAS USUALLY A BUY
See 11/12 Market Recap for more details.
SEASONALITY: THANKSGIVING WEEK ARE KNOWN AS BUY TUESDAY SELL FRIDAY BUT I DON’T SEE MUCH EDGE SINCE 2004
According to Stock Trader’s Almanac (2010), since 1988, Wednesday – Friday, gained 13 of 22 times (59%), with a total Dow point-gain of 657.51 versus Monday’s total Dow point-loss of 870.79, down five straight 2004 – 2009. The best strategy appears to be coming into the week long and exiting into strength Friday.
The seasonality chart around Thanksgiving below is from sentimentrader.
For November seasonality chart please refer to 11/11 Market Recap for more details.
HIGHLIGHTS OF THE OTHER ETFS IN MY PUBLIC CHART LIST
- 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.
- Position reported in short-term session of the table above is for short-term model only, I may or may not hold other positions which will not be disclosed.
- Conclusions can be confirmed endlessly, but trading wise, you have to take actions at certain risk level as soon as you feel the confirmation is enough. There’s no way for me to adapt to different risk levels therefore no trading signals will be given in this report except the mechanical signals such as SPY ST Model.
- * = New update; Blue Text = Link to a chart in my public chart list.
- Trading signals in OTHER ETFs table are mechanical signals. See HERE for back test results. 08/31 L, for example, means Long on 08/31.
- UP = Intermediate-term uptrend. Set when I see at least one higher high and higher low on weekly chart.
- DOWN = Intermediate-term downtrend. Set when I see at least one lower high and lower low on weekly chart.
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狗仔卡
发表于 2010-11-20 08:55 PM
提升卡
置顶卡
沉默卡
喧嚣卡
变色卡
发表于 2010-11-20 09:13 PM
发表于 2010-11-20 09:14 PM
