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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/12/2011 0 comments
    Jan 12, 2011 7:34 AM | about stocks: SPY, SH, FAZ, FS, VIXY, VXX, GLD, QQQ

     

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

     

    chart [ red : downtrend high confidence | purple : downtrend low confidence ]

     

     


    Statistical Learning Models :

     

    Neural Net Daily Trend Identifier : UP [0.84 confidence : High ]

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

     

     

    Filtering Model (4-hour frequency):

     

    Main Trend : UP

    Momentum : UP [decreasing]

     

     

    Mean Reversion (4-trading hours frequency) :

     

    4 periods accumulated return (16 hours)  : 0.15%

    percentile :  45%

     

     

    9 periods Return (36 hours)  : 0.3%

    percentile :  43%

     

    Volatility :

     

    10 period Volatility (40 hours) : 5.2% annualized

    percentile :  8%

     

    Relative Volatility (10 per / 50 per)

    percentile : 33%

     

    Markov Regime Switching identifier ( daily close ) :

     

    Probability of a strong uptrend regime : 2.3

    Probability of a  weak uptrend regime : 32.1

    Probability of a sideways / weak uptrend regime : 52

    Probability of a downtrend / volatile regime : 13.6

     

    SPY - VIX statistical relationship ( daily close ) :

     

    zone : uptrend

    percentile : 50% [ normal ]

     

    Wavelet Discontinuity Watch (daily close ) :

     

    Risk of a correction / crash increasing.

     

     High volatility regime pattern emerging.

     



    Overall commentary for Jan/12/2011:

     

     

    Neuralnet trend model back in uptrend with high confidence. When the trend model switches fast between up and down trends, its consolidation mode, so today´s signal must be understood in context.

    Filtering model main trend is up, with decreasing momentum.

    Volatility decreased, but unlikely to remain at low levels for long.

    MatLab´s Markov model updated the regime probabilities, downtrend regime decreased a bit to 13.6%

     

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

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

    Model does not recommend full position shorting until signals are flashing.

    Good trading.



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



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