08/13/2010 白天灌水

Cobra

小小低开，在昨天的range里，因此这个空会补。这里有个小小统计，说的也是短期牛，On the bright side, the S&P has suffered three straight days with unfilled opening downside gaps (where we gap down and don't trade above the prior day's close).  That's only the third time we've seen that in the history of the S&P SPDR (SPY).  The other two were 12/11/97 and 7/6/01.  Using the futures, 8/6/90 and 7/5/96 also popped up.  All of them were at/near short-term downside exhaustion points.  Another blip lower today, I suspect we'll see the same thing here.

Cobra

关于昨晚报告提到的Omen的一点小统计：

Hindenburg Omen

 

There is little doubt that we will be fairly inundated with talk about a technical development that triggered yesterday, the so-called Hindenburg Omen.  Even the Financial Times picked it up.

 

This is one of those things that gets almost reverential treatment from some, nothing but scorn from others, and oftentimes the rules are tweaked to fit whatever agenda the author wants to make (that's the trouble with data mining).  Heck, people even disagree over the proper spelling.

 

I'm not going to go over the rules, as a simple web search for "Hindenburg Omen" will quickly do the job.  Suffice it to say that the signal looks for times when there are a relatively large number of stocks making both new 52-highs and lows on the same day, and the momentum of market breadth is declining during an uptrending market.

 

Like disagreements over the technical aspects of the signal, it's rare to see any two analysts come up with the exact same dates, because breadth data can vary from vendor to vendor.  We can't control for that, so using the historical data we've always used, we get a total of 150 days that triggered an Omen since 1965.

 

 

The table below shows the S&P 500's performance following those days:

 

	1 Day Later	1 Week Later	2 Weeks Later	1 Month Later	3 Months Later
Avg Return	-0.2%	-0.5%	-1.0%	-1.6%	-2.6%
% Positive	45%	33%	39%	35%	29%

 

Obviously, that is exceptionally weak.  The market most often fell during the short- and intermediate-term, in some cases very heavily.  Over the next three months, the most that the S&P was able to rally averaged +5.9%, while the most that it fell averaged -12.6%, more than twice as much.

 

As the Financial Times points out, the signal is often ignored unless it occurs in a cluster.  Let's define "cluster" as three days triggering the Omen within a 30-day window.

 

The table below shows what happened in the weeks and months following each cluster since '65.

 

Date	1 Week Later	2 Weeks Later	1 Month Later	3 Months Later	6 Months Later	1 Year Later
05/21/65	-0.4%	-2.1%	-4.0%	-2.3%	3.9%	-3.7%
11/18/65	-0.2%	-1.0%	-0.6%	0.5%	-7.8%	-11.3%
02/17/66	-1.6%	-3.7%	-3.7%	-8.2%	-13.5%	-5.1%
10/26/67	-2.7%	-2.9%	-0.5%	-1.7%	3.2%	13.9%
05/26/69	-1.7%	-3.8%	-7.0%	-9.6%	-10.7%	-33.6%
05/12/71	-1.8%	-3.2%	-1.8%	-8.0%	-8.2%	1.8%
03/24/72	0.0%	1.8%	-0.4%	0.7%	0.9%	3.8%
03/26/74	-4.7%	-5.5%	-8.6%	-9.2%	-30.6%	-16.2%
06/01/78	2.9%	1.0%	-1.9%	6.3%	-3.7%	1.8%
10/08/79	-5.9%	-8.3%	-7.9%	-0.8%	-7.9%	19.9%
12/26/79	-2.4%	2.0%	5.4%	-8.4%	8.3%	26.1%
07/23/86	-0.9%	-0.8%	4.6%	-1.2%	12.2%	29.2%
10/06/87	-1.5%	-25.8%	-22.0%	-18.9%	-16.8%	-15.2%
03/14/94	0.2%	-1.6%	-4.5%	-1.1%	0.0%	5.5%
10/25/95	0.3%	1.6%	3.0%	5.9%	12.1%	21.4%
01/12/98	4.2%	3.2%	8.6%	18.8%	25.4%	32.0%
12/07/99	-0.4%	1.7%	-0.4%	-3.0%	4.4%	-2.3%
04/11/06	1.8%	1.5%	1.5%	-2.2%	5.2%	12.9%
07/11/07	1.8%	0.0%	-4.3%	3.1%	-7.2%	-17.5%
10/25/07	-0.4%	-2.6%	-7.1%	-10.6%	-7.8%	-42.1%
Median	-0.4%	-1.3%	-1.8%	-1.9%	-1.8%	1.8%
% Positive	30%	35%	25%	30%	50%	55%

 

Once again, not a pretty picture for the bulls.  While the signal seemed to lose some effectiveness post-1980, the last couple were spot-on.

 

This is not an automatic sell signal (nothing ever is), but it's certainly troubling.  The signal is effectively bearish on its own, but I will be especially wary if we get another couple of days that trigger the Omen within the next few weeks.

terranmn

sf

nokia

QQQ?

惊喜连连 连串强劲数据冲淡黑色星期五

2010年08月13日 16:12  汇通网

　　摘要：周五--“黑色星期五”，对某些人代表不祥，但强劲经济数据提供连串惊喜，冲淡黑色星期五负面形象。

　　周五(13日)——“黑色星期五”，对某些人代表不祥，但是目前为止在消息面所得到的讯息倾向于正面。就算还不足以让投资人重回冒险精神，迄今为止的消息已足够让美国FOMC会议之后的避险气氛钝化。

　　最引人瞩目的就是德国GDP数据，但法国GDP也优于预期。日本方面也有好消息，路透短观指数触及近三年高位。新西兰则是第二季零售销售成长1.3%，远高于市场预估的0.2%。

　　德国联邦统计局(Statistiches Bundesamt Deutschland)周五公布数据显示，欧元区最大经济体德国第二季度经济增速为1990年德国统一以来最快，得益于出口及投资的强劲增长。公布的数据显示，德国第二季度季调后GDP初值季率上升2.2%，远高于预期，经济学家此前预期季率上升1.3%。

　　法国国家统计局Insee周五公布数据显示，第二季度法国经济表现好于第一季度，法国第二季度GDP初值季率上升0.6%，高于经济学家此前预期的季率上升0.5%。

　　新西兰统计局周五公布数据显示，新西兰第二季度季调后实际零售销售季率上升1.3%，远高于预期，此前国际知名财经媒体调查预估为上升0.2%。公布的数据同时显示，新西兰第二季度实际零售销售年率上升2.7%，此前预期上升2.4%。

　　路透短观(Tankan)周五公布调查显示，受政府刺激计划提振，日本8月路透短观制造业景气判断指数升至近三年高点，但企业三年来首次预估其信心将恶化，因日元走强威胁出口商获利。公布的数据显示，日本8月路透短观制造业景气判断指数为+22，为近三年来最高水平。日本8月路透短观非制造业景气判断指数由上月的-12略升至-10，但该类企业对前景仍持谨慎态度。

　　这些消息似乎无法令人视而不见，特别是在即将进入周末之际，投机客手上仍有美元多头部位。目前为止高风险货币较受青睐，好消息有可能冲击美元、日元与瑞郎等避险货币。

SmartyJones

Thanks!

ForeverExplorer

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wangbin

morning

永恒罗马

Cobra

可能有人会问这个，again，我觉得没有啥predictive power。

loveorlust

good morning

schmd2000

feelucky

first page

dayuangone8

morning

Ed02

传说中的第一页

wnd4

good morning

happyface

morning all

jinr

谢谢老蛇