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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 Jan/08/2011  0 comments
    Jan 10, 2011 7:09 AM | about stocks: SPY, QQQ, VIXY, GLD, SH, FAZ, FAS, VXX

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


    Statistical Learning Models :


    Neural Net Daily Trend Identifier : UP [0.42 confidence : Low ]

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



    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 :  68.2%


    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 : 2.4

    Probability of a  weak uptrend regime : 29.5

    Probability of a sideways / weak uptrend regime : 54.8

    Probability of a downtrend / volatile regime : 13.3


    SPY - VIX statistical relationship ( daily close ):


    zone : uptrend

    percentile : 45.2% [ normal ]


    Wavelet Discontinuity Watch (daily close ) :


    Risk of a correction / crash increasing.


     High volatility regime pattern emerging.




    Overall commentary for Jan/10/2011:


    Neuralnet trend model still in uptrend zone, but confidence dropped to low levels.

    Main trend up, with increasing momentum.

    Volatility is now stable, but volatility trend is up.

    MatLab´s Markov model updated the regime probabilities, downtrend regime increased for third consecutive day from 10.4% to 13.3%. The dangerous zone is around 20% . We will keep a close eye on it today. A major down day could trigger a snowball.


    Wavelet model probability of a discontinuity is increasing, and beginning to show similarities with April 2010 highs.


    Model suggested positioning did not change : small short with stops at SPY highs around 127.8.


    Good trading.


    Lacking enough Flying-Hours in Quantitative Thinking ? Then try Understanding Daily Reports first.

    Stocks: SPY, QQQ, VIXY, GLD, SH, FAZ, FAS, VXX
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