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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
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  • Signals and Commentary for SP500 01/07/2011 0 comments
    Jan 7, 2011 6:42 AM | about stocks: SPY, QQQ, GLD, FAZ, FAS, SH, VIXY, VXX

     

    chart   green : uptrend high confidence | yellow : uptrend low confidence

     

    Statistical Learning Models :

     

    Neural Net Daily Trend Identifier : UP [0.95 confidence : High ]

    Daily Short-Term Overreaction : UP [confidence : Low]

     

     

    Filtering Model (4-hour frequency):

     

    Main Trend : UP

    Momentum : UP [increasing]

     

     

    Mean Reversion (4-trading hours frequency) :

     

    4 periods accumulated return (16 hours)  : 0.6%

    percentile :  59%

     

     

    9 periods Return (36 hours)  : 1.3%

    percentile :  68.0%

     

    Volatility :

     

    10 period Volatility (40 hours) : 7.8% annualized

    percentile :  22%

     

    Relative Volatility (10 per / 50 per)

    percentile : 69%

     

    Markov Regime Switching identifier ( daily close ):

     

    Probability of a strong uptrend regime : 2.7

    Probability of a  weak uptrend regime : 34.6

    Probability of a sideways / weak uptrend regime : 52.6

    Probability of a downtrend / volatile regime : 10.4

     

    SPY - VIX statistical relationship ( daily close ):

     

    zone : uptrend

    percentile : 41.5% [ 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/07:

     

    Neuralnet trend model still in high confidence uptrend zone.

    Main trend up, with increasing momentum.

    Overall volatility is historically low but rising. Relative volatility is rising, usually this signals short-term trend changes.

    MatLab´s Markov model updated the regime probabilities, downtrend regime went from 7.4% to 10.4%. If it keeps rising chances are good we are entering at least in a short term correction.

    Wavelet model probability of a discontinuity is still low but increasing.

    The wavelet pattern currently emerging leads to a correction or a crash, but still  no signal yet.

    Model suggested positioning is small short with stops on SPY highs around 127.8.

    Good trading.
     

    Lacking enough Flying-Hours in Quantitative Thinking ? Then try Understanding Daily Reports first.
    Stocks: SPY, QQQ, GLD, FAZ, FAS, SH, VIXY, VXX
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