10/01/2009 大盘回顾 （VIX Trading Setup）

Cobra

Summary:

CPCE top signal maybe confirmed.

Pay attention to potential VIX trading setup.

If no big bounce like the previous 2 cases then the initial down target for SPY is $100.94.

	TREND	MOMENTUM		COMMENT - Sample for using the trend table.
Long-term	Up
Intermediate	Down	Neutral
Short-term	Down	Neutral
SETUP	DATE	TRADE	STOP LOSS	Mechanic trading signals for reference only. Back tested since 2002.
ST Model I				*Stopped out with gain on 10/01. No position held now.
ST Model II	09/29	Sell next open	09/29 High	Position initiated on 09/30.
VIX ENV Buy				*Could be triggered soon.

 

INTERMEDIATE-TERM: CPCE TOP SIGNAL MAYBE CONFIRMED

 

2.8.0 SPX:CPCE，昨天这东东喊top，今天trend line hold，因此可能算confirm top了，至少是个short-term top。明天如果还能hold trend line的话，那介一次确实有点跟六月份不一样，而真的很有可能是intermediate-term top了。Let's wait and see。

 

SHORT-TERM: PAY ATTENTION TO VIX

 

2.0.0 Volatility Index (Daily)，After Bell Quick Summary里提到了牛牛的希望是VIX，今天的样子很像前两次大反弹创新高前的样子，而熊熊的希望则是第三次会不一样，结果如何，也许明天就知道了。关于VIX的trading setup，详见6.2.0a VIX Trading Signals (ENV) and 6.2.2b VIX Trading Signal (BB)。最下面的图则是ENV and BB Setup的back test summary。准确率还是比较高的，虽然gain/loss ratio不咋的。Anyway，这两个setup触发的前提是要VIX跌回ENV/BB，所以也要看明天了。

 

1.0.2 S&P 500 SPDRs (SPY 60 min)，这个看一下，如果介次没有大反弹的话，那Symmetrical Triangle的text book target大约在$100.94左右。介个跟Elliott Wave Update ~ 1 October (Updated 30SPX) 算出来很近似。图俺也贴在下面。算法：Wave (III) = 1.618 * Wave (I)，也就是说，1069.62 - ( 1080.15 - 1041.17 ) * 1.618 = 1006.55。

 

INTERESTING CHARTS:

 

6.3.2 Major Distribution Day Watch，After Bell Quick Summary忘了介幅图了。今天是Major Distribution Day （NYUPV:NYDNV > 9），那明天有68%的机会收绿。

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