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mike's current entrepreneurial focus comprises the innovative development of ETF quantitative hedging technology using classical Euler-Lagrange-Hamilton mechanical methods. long & short index ETFs are quantitatively paired to optimize delta neutral or high beta portfolio performance w/o... More
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Equity Informatics Blog
  • S&P 500 geodesic model update - Oct 16, 2009 0 comments
    Oct 18, 2009 10:52 PM | about stocks: SH, SDS, SSO, AGG, BIV, BND, HYG, IEF, IEI, JNK, LQD, TIP, TLT
    Current S&P 500 model indication:
    overbought
    - (since 2009-09-09)
    cautiously bullish - (since 2009-10-09)
    notes - watching for a possible 5% or so decline to materialize in the index over 10 trading days out from october 16.

    (see my basic geodesic concepts post for a general model description)

    i did not post any charts for the week ending on 2009-10-09.  the results are included in this one.  coincidently the geodesic coordinates reversed direction on 2009-10-09 as indicated by the arrow in the diagram below.  motion along the geodesic path in this direction always indicates a positive upward bias in the S&P 500.  remember, the geodesic is 2-D curve in time so anytime the arrow has a negatively-sloped theta directional component, the model indicates a positive upward bias.  a positively-sloped theta directional component indicates a downward bias in the S&P 500.  note, the current plot shows an increase in velocity of motion along the geodesic consistent with the quick rise in the S&P 500 over the last 7 or so trading days despite selling off the last 2 trading days.




    the chart below looks at the difference between the rates of change in angular and path velocity.  > 0 indicates a positive upward bias in the S&P 500 and < 0 indicates a downward bias.  the yellow trace is the 12 DMA.  the yellow trace therefore responds more slowly to changes and is a longer term index indicator than above.  the yellow trace almost dipped below zero when it looked like the market had recently sold-off but then recovered.  the pattern is very similar in the end of may when the trace touched zero, went up for a bit then actually crossing zero & staying below zero for about the last 2 weeks in june & the first 2 weeks in july.  watch for the yellow trace to peek below the last rise no higher than a y-value of 0.007.



    dislosures:   in my SH-SPY pairs trade, i am 66% SH & 34% SPY.  my long holdings are also counter-weighted by bond ETFs listed in my tags. operating with 15% cash.  use of the information contained in my blog is at your own risk.  the data if for personal information purposes only and is not to be considered as financial advice.

    Themes: geodesics, ETF pairs trading Stocks: SH, SDS, SSO, AGG, BIV, BND, HYG, IEF, IEI, JNK, LQD, TIP, TLT
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StockTalks

  • the market is very finicky right now. time to consider getting into to some bond ETFs like BIV, BND & IEF.
    Nov 27, 2009
  • a little dip is due. the market really shouldn't cheat the short man. otherwise he will turn into a big bear. we don't want that.
    Nov 26, 2009
  • no more u.s. government bond auctions this week is NOT good news for the equities market for the next few trading days.
    Nov 18, 2009
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