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Asymmetrica
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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/18/2011 0 comments
    Jan 18, 2011 6:55 AM | about stocks: SPY, QQQ, FAS, FAZ, GLD, SH

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

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

    Statistical Learning Models :

    Neural Net Daily Trend Identifier : UP [0.98 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)  : 0.57%
    percentile :  54%


    9 periods Return (36 hours)  :1.5%
    percentile :  73%

    Volatility :

    10 period Volatility (40 hours) : 6.0% annualized
    percentile :  13%

    Relative Volatility (10 per / 50 per)
    percentile : 64%

    Markov Regime Switching identifier ( daily close ) :

    Probability of a strong uptrend regime : 1.6
    Probability of a  weak uptrend regime : 28.9
    Probability of a sideways / weak uptrend regime : 47.4
    Probability of a downtrend / volatile regime : 22

    SPY - VIX statistical relationship ( daily close ) :

    zone : uptrend
    percentile : 79% [ HIGH ]

    Wavelet Discontinuity Watch (daily close ) :

    Risk of a correction / crash increasing.

    High volatility regime pattern emerging.




     
    Overall commentary for Jan/18/2011:
     
    NeuralTrend model up with high confidence for fourth consecutive day.
     
    Filtering model main trend is up, with decreasing momentum.
     
    Volatility started to increase again.
     
    MatLab´s Markov model WARNING signal still valid as the downtrend regime probability closed at 20%.
     
    SPY-VIX statistical relationship entering in HIGH zone, meaning more upside is limited and odds favor downside.
     
    Wavelet model probability of a discontinuity is increasing, and showing similarities with April 2010 highs.
     

    Model suggested positioning changed neutral.

    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, QQQ, FAS, FAZ, GLD, SH
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