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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/19/2011 0 comments
    Jan 19, 2011 6:37 AM | about stocks: SPY, QQQ, VXX, VIXY


    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 : DOWN [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)  : 0.67%

    percentile :  65%

     

     

    9 periods Return (36 hours)  :2%

    percentile :  80%

     

    Volatility :

     

    10 period Volatility (40 hours) : 5.0% annualized

    percentile :  7%

     

    Relative Volatility (10 per / 50 per)

    percentile : 41%

     

    Markov Regime Switching identifier ( daily close ) :

     

    Probability of a strong uptrend regime : 2

    Probability of a  weak uptrend regime : 33

    Probability of a sideways / weak uptrend regime : 47.8

    Probability of a downtrend / volatile regime : 17.1

     

    SPY - VIX statistical relationship ( daily close ) :

     

    zone : uptrend

    percentile : 68% [ HIGH ]

     

    Wavelet Discontinuity Watch (daily close ) :

     

    Risk of a correction / crash increasing.

     

     High volatility regime pattern emerging.

     

    Overall commentary for Jan/19/2011:

     

    Trend is up with increasing momentum.

     

    MatLab´s Markov model WARNING signal is out, since downtrend probability fell to below 20%. A false signal ? I would give a day or two before calling this signal a fail.

     

    Market correction seems to be coming sooner rather than later, but the exact moment is a tough call. 

     

    Positioning is neutral but ready to short.

    Stocks: SPY, QQQ, VXX, VIXY
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