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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 |
03/31 L |
N/A |
Beware the winning rate for a trend following system is usually below 50%. |
| ST Model |
03/22 S |
1.9*ATR(10) |
Stopped out of short position on 03/30 with loss.
Poor performance this year, working on better model, will replace this one soon. |
| Short-term |
UP |
03/29 Low |
I hold partial long position over the weekend. |
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SHORT-TERM: MIGHT SEE PULLBACK THE NEXT WEEK BUT THE 04/01 HIGH COULD BE REVISITED FIRST
两点说明：
- 可能下周会有pullback，但是在此之前，04/01的intraday high多半还会去一下。
- 操作策略还是buy dip。假设我做牛最大允许的损失是一单200块的话，那么下周如果真有bearish setup的话，我做熊最大允许的损失是一单100块，就是说减半做熊。
关于下周可能有pullback的理由，我已经在周五的After Bell Quick Summary里提了：
- 最后一个push up明显弱，因此可能会有2 legged pullback。
- 但是因为这最后的push又不是太弱，因此下周一可能还会测试一下04/01的intraday high。
- 如果下周一的push up很强的话，那么pullback的理由就不成立了。不过由于周五TICK > 1000，所以多半周一的push up不会很强，这个保证了我关于2 legged pullback的推断。
INTERMEDIATE-TERM: BULLISH APRIL
三点说明：
- 四月份很牛。
- SPX target area 1352 to 1381。
- 熊熊的希望是04/11 to 04/14的time window。
中期，很多统计数据都是very very bullish。我个人认为四月份bullish的说法还是比较靠谱的，主要理由是NYADV非常强，因此根据惯性定律，大盘应该会持续上涨一段时间。下面的两个统计，分别来自Sentimentrader和Bespoke，应该充分证明了这一点。另外，不要忘了四月的seasonality是very very bullish的。
基于以上假设，下面是根据wave理论计算出来的target area，应该在SPX 1352 to 1381之间。注意，这是最熊的数法，我的理论还是，管他熊还是牛，反正至少最熊的target总是要过的，否则还谈啥牛？
- C = Fib 61.8*A = 1352.67
- 5 = 1 = 1367.38
- 5 = Fib 38.2% from 1 to 3 = 1376.32
- Fib 78.6% from Oct 2007 Highs to March 2009 Lows = 1381.50
对于熊熊来说，目前看来唯一的希望就是04/11到04/14的time window了。这个time window的重要性在我看来可以跟2009年7月的time window比，所不同的是，当时是个重要的底部，而现在应该是重要的顶部。Time window的概念，有点类似于resistance，大部份时间都不工作，所以可信度不高，特别是目前看起来说重要的顶部有点天方夜谭的感觉，因此知道一下就好。02/18 Pivot Top，顺便说，当时我也指出来了，不过基本上是当个故事讲讲，非常意外的居然工作了，所以you never know。
SEASONALITY: APRIL HAS BEEN HISTORICALLY THE MOST BULLISH MONTH OF THE YEAR
The following statistics is from Bespoke. Apparently April has been the most bullish month of the year for the last 50 years.
The following seasonality chart is from Sentimentrader.
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.
- * = New update; Blue Text = Link to a chart in my public chart list.
- UP = Intermediate-term uptrend. Set when weekly buy signal is triggered.
- DOWN = Intermediate-term downtrend. Set when weekly sell signal is triggered.
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狗仔卡
发表于 2011-4-2 05:40 PM
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变色卡
发表于 2011-4-2 05:42 PM
