02/25/2011 大盘回顾（Still expect a 2nd leg down）

Cobra

TREND MOMENTUM COMMENT Long-term 2 of 2 are BUY   Intermediate 3 of 5 are SELL 5 of 5 are NEUTRAL SPY ST Model in BUY mode; Non-Stop in SELL mode. Short-term 6 of 6 are NEUTRAL GANN DAY MOON:SOLAR CYCLE CONCLUSION 03/05-03/09 03/04 : 03/06 Next pivot date: 03/06

BULLISH 09/27 Market Recap: 9 POMO within 20 trading days means 14%+ up in 3 months. 4.1.0 S&P 500 Large Cap Index (Weekly): Cup with Handle, target 1428. 6.2.2b VIX Trading Signal (BB): Buy setup triggered on 02/24. 0.1.0 SPY Short-term Trading Signals: A few short-term long signal triggered on 02/23. BEARISH 4.0.4 Dow Theory: Averages Must Confirm: BPSPX is way too overbought. 4.0.1 SPX Long-term Trading Signals: Weekly EMA(13) is way too high above weekly EMA(34). 4.1.0 S&P 500 Large Cap Index (Weekly): Price is now too high above MA(200).

SPY SETUP ENTRY DATE STOP LOSS INSTRUCTION: Mechanic signals, back test is HERE, signals are HERE. TRADING PLATFORM: SSO/SDS, UPRO/SPXU Non-Stop 02/24 S N/A 02/23: Close long and sell short, can wait for a few days to avoid whipsaw. ST Model *02/25 L  1.9*ATR(10)    Short-term *UP? 02/18 High Trend is unconfirmed up. Hold/enter short unless stop loss being hit.

My Thoughts The pullback since 02/22 will last awhile but the 02/18 high will be visited in 69 calendar days on average.

 

SHORT-TERM: DON’T EXPECT STRONG MONDAY, STILL EXPECT A 2ND LEG DOWN ONCE THE CURRENT REBOUND COMPLETES

 

周五的反弹很强，但我还是认为反弹结束后会有2nd leg down。当然，如果周一SPX再大涨特涨1%+，考虑到周二是the first trading day of March，suppose to be very very (insert 100 very here) bullish，那么没说的，pullback was over, we’ll see new high。

 

先说说为什么我认为会有2nd leg down的理由：

 

下面的图是说，自2009年三月以来的rally，所有2.5%+ pullback都至少是2 leg down，严格的讲，没有例外。再下面的图标示了每次1st leg down的% Change，应该说我们这次是within the normal range的，因此expect a 2nd leg down是比较reasonable的(In case you wonder why the initial pullback size could justify a 2 legged pullback? Well, it’s the law of inertia that is beyond discussion of this report)。

 

 

另一个证据，源自Schaeffer，VIX 2天内涨了35%，自2009年三月以来，好像每次后面都不怎么好玩。Schaeffer的数据统计(blue table inside the chart below)也是说下周不太好。

 

 

那么，现在的问题是周一有没有可能大涨特涨（因而potentially推翻我的关于2nd leg down的expectation）？我只能说有20%的可能，下面是简单的统计，同样，自2009年三月以来SPX down 3 consecutive days (why 3 consecutive down days? See 02/24 Market Recap) then rebound 1%+ one day (that’s Friday)，buy at Friday’s close then sell at Monday’s close，看起来只有2 out of 10的机会收绿。

 

 

其他还有三个地方值得提一下：

 

0.1.0 SPY Short-term Trading Signals，注意图中的close条件，因此02/23 Market Recap里提到的大部份long setup应该close了。

 

 

下面的图来自Schaeffer。

 

 

Institutional Buying and Selling Trending chart from StockTiming，下面要关注的地方是distribution curve (red)是否clearly crossover above accumulation curve (blue)，如果是这样的话，从过去的历史看，这样的crossover所引起的pullback，都不是一天两天就结束的，这个也能证实我的关于2nd leg down的推测。

 

 

INTERMEDIATE-TERM: PULLBACK SINCE 02/22 COULD LAST 4 WEEKS ON AVERAGE, THE 02/18 HIGH WILL BE REVISITED THEREAFTER

 

See 02/23 Market Recap for more details.

 

SEASONALITY: FIRST TRADING DAY IN MARCH COULD BE VERY BULLISH

 

According to Stock Trader’s Almanac, first trading day in March, Dow down 3 of last 4, –4.2% in 2009, 1996 – 2006 up 9 of 11.

 

Generally, I’d expect a very bullish March the 1st because according to the table below, ever since the March 2009 rally, the first trading day of the month is very very bullish. Also, for the March seasonality chart please refer to Seasonality – Month.

 

 

HIGHLIGHTS OF THE OTHER ETFS IN MY PUBLIC CHART LIST

	SIGNAL	COMMENT
QQQQ	01/28 S
NDX Weekly	UP
IWM
IWM Weekly	UP
CHINA
CHINA Weekly	UP	No higher low yet but the rebound is so strong so could be in uptrend now.
EEM
EEM Weekly	DOWN
XIU.TO	02/04 L
XIU.TO Weekly	UP
TLT		Could be a channel breakout, trend may about to change.
TLT Weekly	*?
FXE
FXE Weekly	UP
GLD
GLD Weekly	UP
GDX	02/03 L
GDX Weekly	UP
USO		Clear breakout on WTIC chart.
WTIC Weekly	UP
XLE	02/09 S
XLE Weekly	UP	Too far above MA(200).
XLF	10/15 L
XLF Weekly	UP
IYR
IYR Weekly	UP
XLB	02/09 S
XLB Weekly	UP

1. 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.
2. 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.
3. * = New update; Blue Text = Link to a chart in my public chart list.
4. 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.
5. UP = Intermediate-term uptrend. Set when I see at least one higher high and higher low on daily chart.
6. DOWN = Intermediate-term downtrend. Set when I see at least one lower high and lower low on daily chart.

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go00ww

1st page

源济

福多多

sooners

回复 1# Cobra


   

chickencoop

Thanks

nag

谢谢老大

cayzno

Great info.  Thanks!

sfbayarea

 
TREND
MOMENTUM
COMMENT

Long-term
2 of 2 are BUY
 


Intermediat ...
Cobra 发表于 2011-2-26 22:13

    The 10-day equity-only buy to open P/C ratio peak last Tuesday at 0.58, now drop back down to 0.50, so we should see a short term bounce next week.

oldfox

navybean

Thanks

lite1067

thanks... 蛇大，辛苦了。

Regarding to the 11 cases of VIX's 35% jump in two days: average shows the return is really fat-tailed while the median return is not so bad. The absolute values of two negative cases in bear market (2008) dragged down the average by a lot. Sure, what happened in Apr/2010 could repeat though.

易自通

Forevergreen

thanks

萧秋水

sandera

  

skipjack

Thanks

ahdou

Cobra

thanks... 蛇大，辛苦了。

Regarding to the 11 cases of VIX's 35% jump in two days: average shows t ...
lite1067 发表于 2011-2-26 23:05

    你别管这些，你看最近的case，红色虚线就可以了。