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[技术分析] 08/27/2010 大盘回顾 (How far can rebound go?)

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发表于 2010-8-29 03:02 PM | 显示全部楼层 |阅读模式


  TREND MOMENTUM COMMENT
Long-term 2 of 2 are SELL  
Intermediate 3 of 3 are SELL 5 of 5 are NEUTRAL SPY ST Model in SELL mode; Non-Stop in SELL mode.
Short-term Model is BUY 5 of 5 are NEUTRAL Trend is up, I hold both short and long over weekend.
GANN DAY MOON/SOLAR CYCLE CONCLUSION
9/10 09/08 / 09/08 9/5, 9/6 Next pivot date: 09/07 – 09/10
BULLISH
BEARISH 0.2.3 NYSE McClellan Oscillator: the 3rd Hindenburg Omen triggered.
T2105 too high.
SPY SETUP ENTRY DATE STOP LOSS INSTRUCTION: Mechanic signals, back test is HERE, signals are HERE.
TRADING PLATFORM:
SSO/SDS, UPRO/SPXU
Non-Stop 08/16 S N/A For general direction guide only.
ST Model

*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.

 

Well, guys, today’s report is late and it wasn’t easy. I broke my Windows XP last night and tried in vein to restore the XP (so that I don’t need to reinstall all the other software) until 4am and finally gave up. So at 8am, after a small nap, I started to install Windows 7 and every other software until 2pm (fortunately, so far I don’t see I lost any of my work). The report began on 4pm after another nap. Well, here it goes. A promise is a promise and I sure will try my best to stick to it, no matter what.


 

SEASONALITY: BEARISH EARLY NEXT WEEK, BULLISH LATER

 

The early next week is bearish while the later week may be bullish. Overall, according to 6.5.2c Week Seasonality Watch, the whole next week may end in red eventually.

 

WeekSeasonality.png

 

According to Stock Trader’s Almanac:

  1. August next to last trading day, SPX up only twice in last 13 years.
  2. First trading day in September, SPX up 11 of last 14.

The chart below is from sentimentrader, showing seasonality around Labor Day.

 

holiday_labor.gif

 

6.5.2b Month Day Seasonality Watch, also says the early next week is bearish.

 

MonthDaySeasonality.png

 

INTERMEDIATE-TERM: STATISTICS ARE BEARISH, THE NEXT PIVOT DATE IS AROUND 09/07 TO 09/10

 

关于中期,我没有什么证据说明08/25不是THE BOTTOM,唯一比较确定的是:

  1. 08/20 Market Recap关于中期bearish的统计依然有效。
  2. 6.2.3 VIX:VXV Trading Signals依然很低。
  3. 4.1.0 S&P 500 Large Cap Index (Weekly)NYSI STO并不牛牛friendly。
  4. 下一个重要的pivot date是09/07 to 09/10。Not sure it means a top or bottom.

基本上我目前还是倾向于这仅仅是个反弹,且由于先天不足,多半走不远。

 

由于T2105还在继续升高(see 08/20 Market Recap and 08/24 Market Recap),所以下面把测试条件再次收紧:Sell short at close when MACD(10, 200, 1) > 0.82 (so called normalizing), cover when MACD(10, 200, 1) < 0.82. 自2000年起到现在总过有6个case,100% winning rate。

 

T2105BackTestSummary.png

 

下面是以上back test的visual back test,供“感受”。

 

T2105VisualBackTest.png

 

下面的图应该很清楚why 09/07 to 09/10 could be the next pivot date。Cycle和Non Farm Payroll虽然说09/06(还记得神奇的6号吗?See 08/03 Market Recap about in the past 10 years, lots of important highs/lows happened around 6)更可能是pivot date,问题是09/06是Labor Day假日。当然目前还不好说这个pivot date是top还是bottom,此外我还在等待第三方资料的确认更具体的日期,因此先定这么个范围。

 

TimeAnalysis.png

 

下面的图应该解释了为什我把Non Farm Payroll day也当作是非常重要的pivot day。事实上,可能上面提到的神奇的每个月6号是反转日就是由于Non Farm Payroll day通常发生在6号附近的缘故(the first Friday every month)。

 

NFP.png

 

SHORT-TERM: HIGHER THEN THE FRIDAY’S HIGH IS GUARANTEED, THE MAX REBOUND TARGET IS SPY $108.87

 

先说结论:

  1. A high that is higher than the Friday’s high is guaranteed.
  2. The Double Bottom text book target is SPY $108.87.

短期的反弹应不只周五一天,理由很简单,law of inertia,向前加速的车,需要先减速才能停下来。见下图,你有见过Major Accumulation Day是exactly market top的吗?因此at minimum minimum,下周至少会有个high,high过周五的high。

 

HigherHighGuaranteed.png

 

1.0.6 SPY Unfilled Gaps,这个图也保证,周一如果低开,一定会补,因为周一低开不补而形成的back to back unfilled gap是非常非常少见的。

 

UnfilledGaps.png

 

关于反弹的可能target,相信大家都看到Double Bottom了。这个Double Bottom的理论target是SPY $108.87,正好也是Fib 50%的位置,因此还是有点可信度的。我认为这多半是反弹的极限位置了。

 

SPY60min.png

 

为什么说是反弹的极限位置?在上面的中期分析里,我提到了这次反弹先天不足,最大的理由是6.2.3 VIX:VXV Trading Signals too low。大家应该还记得我在08/26 Market Recap里提到的reversal of reversal of reversal的bottom pattern吧?下面是最近4次同样的bottom pattern的比较,可以看到不仅仅我们这次reversal of reversal of reversal最弱,且VIX:VXV也是最低的一次。有趣的是根据过去的反弹比例算出来的target是SPY $109.31,差不多也是Double Bottom text book target附近。

 

RofRofR.png

 


HIGHLIGHTS OF THE OTHER ETFS IN MY PUBLIC CHART LIST
TREND DTMFS COMMENT – *New update. Click BLUE to see chart if link is not provided.
QQQQ DOWN
IWM DOWN  
CHINA UP Head and Shoulders Bottom in the forming?
EMERGING DOWN 4.1.6 iShares MSCI Emerging Markets (EEM Weekly): EEM to SPX ratio too high.
EUROPEAN DOWN  
CANADA UP  
BOND UP 4.2.0 20 Year Treasury Bond Fund iShares (TLT Weekly): Too far away from MA(200).
EURO DOWN
GOLD UP  
GDX UP BUY 4.3.1 Market Vectors Gold Miners (GDX Weekly): GDX to SPX ratio too high.
*3.2.1 Market Vectors Gold Miners (GDX Daily): ChiOsc is too high.
OIL DOWN  
ENERGY DOWN  
FINANCIALS DOWN   4.4.2 Financials Select Sector SPDR (XLF Weekly): Head and Shoulders Top in the forming?
REITS DOWN   4.4.3 Real Estate iShares (IYR Weekly): Home builder is lagging, be careful.
MATERIALS DOWN
*DTFMS = Dual Time Frame Momentum Strategy. The signal is given when both weekly and daily STO have the same buy/sell signals. Use it as a filter, don’t trade directly.

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发表于 2010-8-29 03:04 PM | 显示全部楼层
D I N G
回复 鲜花 鸡蛋

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发表于 2010-8-29 03:06 PM | 显示全部楼层
thx
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发表于 2010-8-29 03:07 PM | 显示全部楼层
thanks!
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发表于 2010-8-29 03:08 PM | 显示全部楼层
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发表于 2010-8-29 03:09 PM | 显示全部楼层
本帖最后由 google 于 2010-8-29 17:13 编辑

俺也觉得$109哈,老大和俺,不对,俺和老大,不谋而合
回复 鲜花 鸡蛋

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发表于 2010-8-29 03:11 PM | 显示全部楼层
Thanks.
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发表于 2010-8-29 03:11 PM | 显示全部楼层
谢蛇大!
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发表于 2010-8-29 03:11 PM | 显示全部楼层
Many thanks. Just 6min late for shafa.
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发表于 2010-8-29 03:16 PM | 显示全部楼层
thanks
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发表于 2010-8-29 03:16 PM | 显示全部楼层
幸苦了
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发表于 2010-8-29 03:23 PM | 显示全部楼层
先顶后烟酒
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发表于 2010-8-29 03:23 PM | 显示全部楼层
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发表于 2010-8-29 03:23 PM | 显示全部楼层
Thanks!
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发表于 2010-8-29 03:25 PM | 显示全部楼层
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发表于 2010-8-29 03:29 PM | 显示全部楼层
Nice。。。。。
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发表于 2010-8-29 03:33 PM | 显示全部楼层
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发表于 2010-8-29 03:34 PM | 显示全部楼层
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发表于 2010-8-29 03:38 PM | 显示全部楼层
thanks
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发表于 2010-8-29 03:46 PM | 显示全部楼层
我倾向09/07。
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