06/11/2010 大盘回顾 （66% Winning Rate If Buy at the Friday’s Close）

Cobra

TREND INDICATOR MOMENTUM INDICATOR COMMENT (Click link to see chart) Long-term 3 of 3 are BUY     Intermediate 3 of 3 are SELL 5 of 5 are NEUTRAL Non-Stop Model is in SELL mode Short-term 2 of 2 are BUY 6 of 6 are NEUTRAL SPY ST Model is in SELL mode GANN DAY MOON/SOLAR CYCLE & TIME FIB CONCLUSION 06/11-06/14 06/12 / 06/21 07/31, 08/20-08/23 Next pivot date: 06/11-06/14.

BULLISH 0.2.1 10Y T-Bill Yield: Bottomed? 0.1.1 SPX Intermediate-term Trading Signals: CPC MA(10) too high. 8.1.1 Normalized NATV/NYTV: Bottomed? 6.3.2c Major Distribution Day Watch: Bottomed? 05/20 Market Recap: Intermediate-term Indicator Score from sentimentrader is too low. 6.3.1 Major Accumulation Day Watch: Bottomed? 05/28 Market Recap: II survey shows too many people are expecting a correction. 0.2.2 Extreme Put Call Ratio Watch: CPC MA(5) too high. BEARISH 0.1.1 SPX Intermediate-term Trading Signals: Ascending Broadening Wedge? Target: 1008 to 1019. 0.2.3 NYSE McClellan Oscillator: Positive divergence missing, so one more down leg ahead? CONCLUSION

SPY SETUP ENTRY DATE STOP LOSS INSTRUCTION: Mechanic signals, back test is HERE, signals are HERE. TRADING PLATFORM: SSO/SDS, UPRO/SPXU ST Model 06/04 S 1.9xATR(10) Reversal Bar     NYMO Sell     Non-Stop(RSP) 05/11 S N/A Partial profit on 05/28. OTHER ETFs TREND *DTFMS COMMENT – *New update. Click BLUE to see chart if link is not provided. QQQQ DOWN   IWM DOWN   CHINA DOWN EMERGING DOWN BUY EUROPEAN DOWN BUY 4.1.7 Vanguard European VIPERs (VGK Weekly): Bearish 1-2-3 formation, target $35.54. CANADA DOWN   BOND UP SELL EURO DOWN   Descending Triangle breakdown, target $117.21. GOLD UP 4.3.0 Gold Trust Shares (GLD Weekly): Head and Shoulders Bottom, target $129.99. GDX UP BUY OIL UP BUY ENERGY *UP BUY FINANCIALS DOWN   REITS DOWN   MATERIALS DOWN *BUY

*Please make sure you understand how to use the table above. The main purpose of this report is to provide information so contradictory signals are always presented.
*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.

SEASONALITY: A LITTLE BIT BULLISH ON JUNE TRIPLE WITCHING WEEK

 

According to Stock Trader’s Almanac:

1. June Triple Witching week, Dow up 5 straight years 2003 – 2007, down big in 2008, off 3.8%.
2. June Triple Witching day, Dow up 4 of last 6, down big in 2008, off 1.8%.

INTERMEDIATE-TERM: NO BIG PULLBACKS AHEAD THEN THE MARKET HAS BOTTOMED

 

Bottomed? 呵呵，这个问题天天问，我现在的最新回答是，可能，只要下周没有大的down day。下面的back test (since year 2000)是SPY ST Model正在改造中的一部份(I believe you should be very satisfied with the current SPY ST Model now, but, yes, I’ve got better idea to improve it!)：

 

1. Buy at Friday’s close.
2. Stop loss below 05/25 low.
3. Move the stop loss to breakeven as soon as the current bar low is above the entry price.

只要遵循以上3个步骤，则winning rate有66%。不是说这是个good trade哈，因为Gain/Loss Ratio才0.9，不值得，说这个setup的意思是说，牛牛至少有机会了。从这个setup的过去winning pattern看，只要下周没有啥大的down day，则indeed market has bottomed，如果下周还有大的down day，那，这仅仅是个rebound而已，不过，周五的时候在水上的牛牛可能有机会全身而退。

 

 

6.4.1b Extreme NYADV Readings Watch，周四的大涨有个很独特的地方，就是NYADV extremely high，这表示breath很strong，见红色虚线，这么高的NYADV一般意味着down day the next day，结果周五却不是down day，这意味着什么呢？见绿色虚线。

 

 

为了清楚起见，把上面图的红色虚线部份都去掉，剩下的就是绿色虚线部份（红箭头部份下面的short-term session会讲，多半意味着会有red周一），strong up breadth with the next day follow-through，看起来此后继续涨的可能性很大是吧？

 

 

1.0.0 S&P 500 SPDRs (SPY 60 min)，这个周五的After Bell Quick Summary已经提了，我相信the 3rd time will be the charm，因此upgrade the short-term in the table above to up from down。

 

 

4.1.0 S&P 500 Large Cap Index (Weekly)，上面的STO和下面的NYSI STO 都出买信号了，看起来不错。 

 

 

以上，再总结一下，就是说牛牛有希望，不过还有几个puzzle，因此我还不能肯定market has bottomed。

1. 这个反反复复的提了，是一直困扰的我的问题：no capitulation volume and NYMO missing positive divergence (see 06/09 Market Recap for more details).
2. 06/11 to 06/14的time window (See 06/04 Market Recap for more details)，这个目前看起来象是cycle top。
3. 8.0.4 Use n vs n Rule to Identify a Trend Change，牛牛折腾了4天了，还不能收复熊熊2天的进展，因此按照N vs N rule的定义，这还是个sellable bounce。（不过，这个图有点funny，我已经注意到了，每次我拿出来泡沫横飞的讲牛牛或者熊熊赢了，第二天market就会给我一个大嘴巴。如果这次还灵的话，周一就该大涨，呵呵，we’ll see。）

 

以上诸多因素，综合起来考虑，假设所有的信号最终都正确的话，可能比较合理的解释是market会反弹几天，不过多半还没有跌完。当然，上面提到的三点熊puzzle并不是非常非常reliable的，都有争议，也因此，我说牛牛有希望。

 

SHORT-TERM: COULD BE A RED MONDAY

 

有两个理由，red monday的可能性比较大。根据上面intermediate-term session地分析，如果不是大跌话，那牛牛没啥问题。

 

周五的上涨有个很特别的地方，就是虽然SPX涨了，但是0.2.1 10Y T-Bill Yield却跌了3%，这个应该不是好现象，因为一般债市比股市准确。下面的back test (since year 2000)看起来好像周一跌的可能性比较大。

 

 

6.4.1b Extreme NYADV Readings Watch，这个理由上面的intermediate-term session已经提了，见红色箭头，周一跌的可能性大。

AGA7d

顶老大

armorr

Thanks a lot!

quickcow

tortose

Thanks!

源济

oldfox

asap

cartier

thanx!

hillcrest

谢谢！please keep up the great work.

surya

hhli3

回复 1# Cobra


   

hhli3

Thanks. Enjoy your weekend.

ninemao

班长,上次二月有没有no capitulation volume and NYMO missing positive divergence? or only had one?

sooners

回复 1# Cobra


   

everest001

Thanks!

xnz

thanks

Cobra

班长,上次二月有没有no capitulation volume and NYMO missing positive divergence? or only had one?
ninemao 发表于 2010-6-12 22:29

    两者都有。

subprime

班长对 all up day 有没有研究? Friday is an all-up day

wangbin

班长,上次二月有没有no capitulation volume and NYMO missing positive divergence? or only had one?
ninemao 发表于 2010-6-12 22:29

都有