Asymmetrica's  Instablog

Send Message
Asymmetrica Trading Technologies, uses high-tech quantitative research to filter and analyse market information, to create trading awareness and to generate signals. Among the technologies used are filtering, markov switching models, wavelets, conditional probabilities. We provide daily reports... More
My blog:
Asymmetrica Technologies
  • Signals and Commentary for SP500 01/05/2011 0 comments
    Jan 5, 2011 6:42 AM | about stocks: SPY, FAZ, FAS, VIXX, VXX, SH, USO, GLD, QQQ

    Learning Models :

    Neural Net Daily Trend Identifier : UP [0.81 confidence : uptrend confidence is falling ]

    Daily Short-Term Overreaction : DOWN [0.9 confidence]

    Filtering Model (4-hour frequency):

    Main Trend : UP
    Momentum : UP [increasing]

    Mean Reversion (4-trading hours frequency) :

    4 periods accumulated return (16 hours)  : 0.98%
    percentile :  70%

    9 periods Return (36 hours)  : 0.91%
    percentile :  58.0%

    Volatility :

    10 period Volatility (40 hours) : 7.8% annualized
    percentile :  22%

    Relative Volatility (10 per / 50 per)
    percentile : 59%

    Markov Regime Switching identifier ( daily close ):

    Probability of a strong uptrend regime : 1.4
    Probability of a  weak uptrend regime : 41.6
    Probability of a sideways / weak uptrend regime : 53
    Probability of a downtrend / volatile regime : 4

    SPY - VIX statistical relationship ( daily close ):

    zone : uptrend
    percentile :44.0% [ normal ]

    Wavelet Discontinuity Watch (daily close ) :

    Risk of crash is low but starting to increase.

    Higher frequencies starting to increase. Trend change pattern emerging.


    Overall commentary for Jan/05:

    Neuralnet trend model divergences persist. Model confidence on the uptrend keeps below 0.9. That means trend is weakening/ending.

    Main trend still up, with increasing momentum.

    Mean reversion setup with 70% probability of win within 16 hours. Rising volatility from low levels (currently at 22% percentile) should make this play even more attractive, albeit less than yesterday, when we reported SPY sitting at its 75% percentile.

    MatLab´s Markov model is estimating a higher likelihood of weak uptrend or consolidation. Before a more pronounced correction, downside scenario probability usually shoots up above 20%.

    Wavelet model probability of a discontinuity ( for example, a crash) is increasing.

    Higher frequencies becoming more dominant on daily data, suggesting higher volatility will be a reality very soon.


    Lacking enough Flying-Hours in Quantitative Thinking ? Then try Understanding Daily Reports first.
Back To Asymmetrica's Instablog HomePage »

Instablogs are blogs which are instantly set up and networked within the Seeking Alpha community. Instablog posts are not selected, edited or screened by Seeking Alpha editors, in contrast to contributors' articles.

Comments (0)
Track new comments
Be the first to comment
Full index of posts »
Latest Followers
Instablogs are Seeking Alpha's free blogging platform customized for finance, with instant set up and exposure to millions of readers interested in the financial markets. Publish your own instablog in minutes.