10/15/2010 大盘回顾 （The Next Pivot Date）

Cobra

TREND MOMENTUM COMMENT Long-term 2 of 2 are BUY   Intermediate 3 of 3 are BUY 3 of 5 are NEUTRAL SPY ST Model in BUY mode; Non-Stop in BUY mode. Short-term Model is BUY 6 of 6 are NEUTRAL The trend is up, I hold both long and short over the weekend. GANN DAY MOON:SOLAR CYCLE CONCLUSION 10/26 10/22 : 10/23 Next pivot date: 10/21 – 10/22, 10/25 – 10/27, 11/04

BULLISH 0.1.1 SPX Intermediate-term Trading Signals: Head and Shoulders Bottom breakout, target 1242. 09/27 Market Recap: 9 POMO within 20 trading days means 14%+ up in 3 months. 10/01 Market Recap: Positive September plus mid-term election means 11%+ up to year end. 10/05 Market Recap: 16 more trading days upswing? BEARISH 1.0.6 SPY Unfilled Gaps: 19 unfilled gaps, the max was 20. 10/08 Market Recap: AAII bull ratio (4-week average) too bullish. 10/08 Market Recap: Commercial (smart money) short Nasdaq 100 heavily according to COT Report. 10/08 Market Recap: Up off-season usually means down earning season. 10/08 Market Recap: Institutions are selling into strength. 6.2.3 VIX:VXV Trading Signals: Record low. 0.2.2 Extreme Put Call Ratio Watch: CPCI too high, topped? 6.2.2a VIX Trading Signals (BB): Short setup triggered on 10/13. *10/13 Market Recap: % SPX stocks 1 std dev above MA(50) is too high. *6.1.9a Extreme ISEE Index Readings Watch: SPX will close below 1176 within 2 days? *10/15 Market Recap: ISEE Index is way too high. *10/15 Market Recap: AAPL is way too stretched, it may rise after ER but would fall later. *10/15 Market Recap: Euro may retreat which may cause US$ carry trade unwind.

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 Breakeven

 

PS. Believe or not, although this report may seem no differences than most of my other weekend report but it surprisingly took me considerable time to write. I spent the whole Friday night to update charts till 2am, the whole Saturday night till 2am to make pictures and the whole Sunday morning and half afternoon to write. I hope you really enjoy it.

 

SHORT-TERM: EXPECT A PULLBACK SOON

 

短期可能回调在即，虽然我不能排除some higher highs ahead，不过整体上，我不认为短期还有多少上升空间。

 

周五的After Bell Quick Summary里提到了两个理由不看好周一，I believe they’re very solid reasons，值得看看。

 

0.1.0 SPY Short-term Trading Signals，虽然有无所不能的YES WE CAN，但是看起来三个reversal like bars还是有点bearish edge的。

 

 

下图highlighted in red是历次ISEE Index > 172的地方，retailers are way too bullish，因此后面至少会比较choppy。

 

 

Percent of SPX stocks 1 std dev above MA(50)还是too high，see highlighted in red，后面也是choppy。

 

 

INTERMEDIATE-TERM: PIVOT DATE AROUND 10/22, 10/26 OR 11/04?

 

维持intermediate-term bearish view，除了最近blah blah的5大理由以外，这里还有一个理由，就是欧元可能面临调整，这会导致米金carry trade unwind，因此对大盘不利。

 

为什么说欧元可能面临调整？下面的图提供了很多理由，应该很清楚了。其中Elliott Wave International的米金和欧元分析中提到了Daily Sentiment Index extreme readings，这个index年费高达$1895，well, I hope it’s worth the money。

 

 

当然，the intermediate-term bearish view只是一种expectation，在price没有confirm之前，并不是做空的理由，这就好比一只股票连涨了20天，我们都知道回调是迟早的事情，问题是when？这涉及到risk reward ratio的问题，并不是我这份报告讨论的范围。

 

不过，关于when，可以做个简单的猜测。我的突破口是AAPL。Why AAPL? 因为它占了QQQQ的20%，是Wall Street’s most important stock, probably ever。现在的问题是AAPL is way too stretched，见下图中红色虚线，目前这种程度的stretch往往意味着QQQQ的THE TOP and therefore the overall market。

 

 

好了，既然知道了AAPL too stretched可能导致THE TOP，那么现在只要知道exactly when AAPL will start to pullback就能知道exactly when the overall market may turn down，对吧？那么，exactly when AAPL will pullback呢？下周一，10/18 AH是AAPL的ER，就让我们看看最近AAPL ER后的表现吧。从下面的图中可以看出，AAPL ER后的表现就是放焰火，pop high for a few days but eventually would fall back to the ground，特别是当AAPL ER以前已经10% above its MA(50)的情况，因此逻辑上，AAPL reversal在即，而reversal的时间就是AAPL ER day加上此后pop的时间，对吧？

 

 

从上面的图中可以看到，这个pop的时间，多数情况是3到4天，换句话说，就是AAPL ER on 10/18，加上4天，就是10/22，可能是the next pivot date (for the overall market not merely for AAPL as mentioned above)。下面的图，大家应该很熟悉了，是我分析pivot date的主要手段。从图中看，the next pivot date可能有三个，考虑到上面关于AAPL ER的分析，结论很明显，10/22是the pivot date的可能性最大。

1. 10/21 to 10/22，因为统计上每个月的21号和22号发生变盘的可能性很大。Also see table above, 10/22是Full Moon，10/23则是Solar Term date。
2. 10/25 to 10/27，因为今年很多pivot date都发生在25号附近。除此以外，我还有不便公开的第三方资料从另一个角度得到10/25是最可能的pivot data。
3. 11/04 to 11/05，11/02是midterm election，11/03是FOMC，suppose要宣布Quantitative Easing II，会不会sell on news，很难说。

当然，again，pivot date类似于resistance analysis, just it’s in terms of time instead of price，因此跟resistance一样是info only，需要根据其它很多因素来综合应用的，trading purely based on time analysis is a very bad idea, so beware.

 

 

Below are summaries of all the other arguments I’ve been blah blah recently:

1. As mentioned in 10/08 Market Recap, commercial (smart money) holds record high short positions against Nasdaq 100.
2. As mentioned in 10/08 Market Recap, AAII bull ratio (4-week average) is way too bullish.
3. As mentioned in 10/08 Market Recap, institution selling keeps increasing.
4. As mentioned in 10/08 Market Recap, statistically, a strong off-season could mean a weaker earning season.
5. As mentioned in 10/11 Market Recap, VIX:VXV is too low and statistically VIX at 1 month low going into October was not a good sign.

All the most recent charts supporting the above arguments are listed below for your reference. Among them the the Institutional Selling Actions char is from stocktiming and the VIX statistics is from sentimentrader.

 

 

Institutional Selling Action chart by the way also from another angle argues that the next pivot date could be just 3 trading days away.

 

 

SEASONALITY: NO UPDATE

For October Seasonality chart please refer to 10/01 Market Recap.

 

HIGHLIGHTS OF THE OTHER ETFS IN MY PUBLIC CHART LIST

1. The market appears a little stretched as lots of ETFs weekly %B are way too high.
2. With possible Euro pullback next week, watch potential weakness on commodity related ETFs like XLE, XLB and XIU.TO.

	TREND	COMMENT
QQQQ	UP
NDX Weekly		NDX to SPX ratio too high. %B too high. Neither had any edges though.
IWM	*LA	*Bearish Engulfing?
IWM Weekly		%B too high.
CHINA		Head and Shoulders Bottom breakout, target 3083.
CHINA Weekly		Extremely high %B.
EEM	UP
EEM Weekly		EEM to SPX ratio too high, %B too high. Neither had any edges though.
XIU.TO	*LA	TOADV MA(10) too high. Combining with weekly chart, pullback?
XIU.TO Weekly		Fib 61.8% plus %B too high with negative divergence.
TLT	DOWN	*1-2-3 trend change? So TLT could be in an intermediate-term downtrend. Be careful.
TLT Weekly
FXE	*LA	*Bearish Engulfing, pullback? Combining with weekly chart, watch for possible trend reversal.
FXE Weekly		*Stalled at Fib confluences area, %B too high with negative divergence, too high above MA(40).
GLD	UP
GLD Weekly		%B too high.
GDX	*DOWN
GDX Weekly		GDX to SPX ratio too high, %B too high with negative divergence.
USO	*DOWN	*Could be a Bull Flag in the forming.
WTIC Weekly
XLE	UP	*Hollow red bar plus filled black bar, pullback? Combining with weekly chart, pullback?
XLE Weekly		%B too high with negative divergence.
XLF	DOWN
XLF Weekly		Head and Shoulders Top in the forming?
IYR	UP
IYR Weekly		Home builders are lagging.
XLB	UP	*Black bar, pullback?
XLB Weekly		%B too high with negative divergence.

1. 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.
2. 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.
3. 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 offer no trading signals will be given in this report except the mechanical signals such as SPY ST Model.
4. * = New update; Blue Text = Link to a chart in my public chart list; UP/DOWN = Short-term trend; L A = Lateral Trend

NewMember

抢到沙发了？

coppereye

谢谢！

Bencat

sooners

回复 1# Cobra


   

妞妞

哇,班长真是辛苦了, 大周末写这么长`这么详细的报告, 非常感谢.

胡同儿串子

wow, great report!!! 非常

like2swing

Thanks.

shinings

地下室

soulvirus

永恒罗马

THX

happyface

感谢老大。

Read0nly

顶老蛇的全面分析。

bilko540

{：6_336：} {：6_337：}

jinr

班长辛苦了，多谢多谢！

Ave

sunnysunny

谢谢，信息量非常非常大。

dommy

弓虽巾占犭王丁页！

萧秋水

辛苦了，多谢！