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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 |
09/24 L |
10/27 Low |
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| NYMO Sell |
10/28 S |
2*ATR(10) |
Reference only, not meant to be followed. *Stopped out with loss on 11/04. | |
SHORT-TERM: ABOVE 70% CHANCES, SPX WILL CLOSE BELOW THIS WEEK’S CLOSE WITHIN WEEK OR TWO
本周的SPX weekly bar非常有趣，见下图，两个很特别的地方：
- 交易区间突然放大，且是个Marubozo bar，这个表示可能的buying exhaustion (Name it “Exhaustion Bar” from now on, the back test below also requires weekly %B >= 1)。
- 交易量在此前台阶式下降的基础上突然放大，这个也表示可能的buying exhaustion。
对这两种情况分别进行back test，可以发现，short at the Friday’s close and cover on the very first red weekly bar close，两者都有70% or more的成功率。考虑到11/04 Market Recap里提到的所有bearish extremes are still valid (see table above) and even become more extreme，因此下面的统计还是有一定的可信度的，所以短期小心。另外，注意Exhaustion Bar此后发生的事情，see bars highlighted in red，后面马上就大涨特涨的情况很少，这个也符合等会儿intermediate-term session要提到的pattern。
INTERMEDIATE-TERM: SPX MAY SHOOT HIGH THEN FALL BACK TO WHERE IT STARTS WHICH USUALLY IS THE 2ND BUY OPPORTUNITY
周五最特别的地方是SPX daily bar is completely out of BB，这个在SPX是非常非常少见的事情。从下面的back test可以看到，此后都有个放焰火的过程，shoot high then fall to the ground，不过，这个fall to the ground，却是the 2nd buy opportunity：
- Intermediate-term还有的涨，average 3.4% and could last on average 21 calendar days。
- 无一例外，大涨特涨之后，都会掉下来，又回到原来的起点。I’ve zoomed into all those 12 cases，大家可以看到，这个掉回到起点的动作，都是buy opportunity。
- 从monthly chart看，既使是year 2000 and year 2007, the top的场合，SPX至少还涨了一个月，考虑到11月和12月的very strong seasonality，因此很大可能，牛牛在本年度剩下的两个月里都是安全的。
关于intermediate-term，我能说的，就上面这么多了，对于牛牛来说，可能有两次load的机会，短期如果有回调的话，或者冲高后又跌回来的话。对于熊熊来说，可以利用一下冲高回落的过程，运气好的话，也许可以整个类似year 2000 or year 2007的the top哈，不过几率很低，2 out of 12 cases since 1991。
我下面要密切关注的是institutions的动向，是不是Quantitative Easing II后大家都疯狂的买，还是趁着俺们散户都在做提前退休梦的时候出货。I’ll keep you informed。
SEASONALITY: LAST 2 MONTHS OF YEAR ARE BULLISH
See 10/29 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 2010-11-7 11:13 AM
提升卡
置顶卡
沉默卡
喧嚣卡
变色卡
发表于 2010-11-7 11:14 AM
"牛牛在本年度剩下的两个月里都是安全的"