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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 |
09/07 L |
N/A |
Partial profits on 09/24. |
| ST Model |
09/24 L |
*10/19 Low |
*Adjust stop loss. | |
SHORT-TERM: MIXED SIGNALS AS WE HAVE TWO BAD SIGNS AND ONE VERY BULLISH SEASONALITY
Mixed signals，因此短期direction not clear，看明天吧：
- 有两个bad signs，但因为有interpretation的空间，因此不算solid bearish，要看后续的反展。
- 有一个very bullish的seasonality，这和最近几个月最后一周的bearish seasonality有冲突(see 6.5.2c Week Seasonality Watch)，所以也要看后续发展。
Overall，我猜大概大盘要这样不死不活的盘整到11/03 FOMC宣布Quantitative Easing II以后才有可能有大动作了。顺便提醒一下，大家是不是觉得最近很牛啊，因为我又看到“弄不懂为什么大家要做熊”的贴了，呵呵，且不说现在已经没人敢公开说自己是熊了，如果注意看图的话，SPX 10/13的high是1184，今天SPX的close是1185，换句话说，就是这两周，SPX总共就涨了一点(thanks for Uempel reminding me)。
今天最特别的地方是ISEE Indices & ETFs Only Index很低，而ISEE Equities Only Index则很高，说明retailers买了很多Equities CALL的同时又买了大量的Index PUT。下面的图highlighted in red，是历次ISEE Equities Only Index to ISEE Indices & ETFs Only Index ratio很高时的情况。看起来都是离顶部不远的样子。
另一个特别的地方是both VIX and SPX are up 2 consecutive days，下面的图highlighted in red是最近几次出现类似情况的情形。可能是top也可能是在一轮上升波的中间。另外，back test since year 2000表明，short at today’s close，短期有70%的winning rate。
下面的统计来自Stock Trader’s Almanac，buy INDU at close today (5 trading days before 11/02 midterm election day), sell at close on 11/05 (3 trading days after 11/02 midterm election day), there’s only one loser since 1934，换句话说就是从今天起，后面9天very very bullish。
INTERMEDIATE-TERM: BEARISH BIASED, PIVOT DATE EITHER AROUND 10/22 OR 10/26 OR 11/04
Maintain the intermediate-term bearish view, the pivot date could be either around 10/22 or 10/26 or 11/04, see 10/15 Market Recap for more details. Below are summaries of all the arguments supporting my intermediate-term bearish view:
- As mentioned in 10/15 Market Recap, commercial (smart money) holds record high short positions against Nasdaq 100.
- As mentioned in 10/15 Market Recap, AAII bull ratio (4-week average) is way too bullish.
- As mentioned in 10/22 Market Recap, institution selling keeps increasing.
- As mentioned in 10/08 Market Recap, statistically, a strong off-season could mean a weaker earning season.
- As mentioned in 10/11 Market Recap, statistically VIX at 1 month low going into October was not a good sign.
- As mentioned in 10/15 Market Recap, US$ may rebound which is not good for the broad market.
- As mentioned in 10/19 Market Recap, AAPL MACD is now too stretched which could mean a top for QQQQ.
- As mentioned in 10/22 Market Recap, NYSI Weekly STO(5,3,3) sell signal means choppy ahead.
SEASONALITY: LAST TRADING WEEK AND LAST 2 TRADING DAYS OF EACH MONTH SINCE AUG 2009 WERE BEARISH
See 10/22 Market Recap for more details.
For October Seasonality chart please refer to 10/01 Market Recap.
HIGHLIGHTS OF THE OTHER ETFS IN MY PUBLIC CHART LIST
- The market appears a little stretched as lots of ETFs weekly %B are way too high.
- With possible Euro pullback, watch potential weakness on commodity related ETFs like XLE, XLB and XIU.TO.
- Financials and home builders are lagging, so how far can IYR (realty) go?
- 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.
- 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.
- 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.
- * = New update; Blue Text = Link to a chart in my public chart list; UP/DOWN = Short-term trend; L A = Lateral Trend
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狗仔卡
发表于 2010-10-26 08:28 PM
提升卡
置顶卡
沉默卡
喧嚣卡
变色卡
发表于 2010-10-26 08:29 PM
第一次坐上板凳
