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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.

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## Signals and Commentary for SP500 Jan/19/2011 0 comments

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.

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