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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/21/2011 0 comments
    Jan 21, 2011 7:53 AM | about stocks: SPY, QQQ, VIXY, VXX

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

    Statistical Learning Models :

    Neural Net Daily Trend Identifier : DOWN [0.68 confidence : Low ]
    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)  : <0.9%>
    percentile :  20%


    9 periods Return (36 hours)  : < 0.4%>
    percentile :  30%

    Volatility :

    10 period Volatility (40 hours) : 6.2% annualized
    percentile :  16%

    Relative Volatility (10 per / 50 per)
    percentile : 65 %

    Markov Regime Switching identifier ( daily close ) :

    Probability of a strong uptrend regime : 0
    Probability of a  weak uptrend regime : 7.5
    Probability of a sideways / weak uptrend regime : 48.7
    Probability of a downtrend / volatile regime :  43.7

    SPY - VIX statistical relationship ( daily close ) :

    zone : downtrend
    percentile : 22% [ LOW ]

    Wavelet Discontinuity Watch (daily close ) :

    Risk of a correction / crash increasing.

     High volatility regime pattern emerging.



    Wavelet Discontinuity Watch (4-hour frequency close ) :


    Volatility signal was generated on 01/19/2011



    Overall commentary for Jan/21/2011:

    NeuralNetwork Trend is DOWN, but still with weak confidence.

    Filtering Trend is up with decreasing momentum. This usually lags the neural trend model in turning points.

    Markov Regime Switching identifier probability of DOWNTREND / VOLATILE REGIME is still very high at 43.7.  It´s usually a reliable signal. Since last week when it climbed above 20% this model is warning of an imminent regime change, that finally happened this week. How long will it last ? Let´s keep watching.
     
    SPY-VIX relationship reached the 22% percentile. It has more room to go down. Short term tradable bottoms usually see this indicator around the 10th percentile before a sizeable bounce occurs. So, odds are the bottom has not yet occurred for this down move.


    Wavelets models both intraday and daily are flashing high volatility and increasing risk of a big move. So better trade with caution.


    Good Trading.
    Stocks: SPY, QQQ, VIXY, VXX
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