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mike's current entrepreneurial focus comprises the innovative development of ETF quantitative hedging technology using classical Euler-Lagrange-Hamilton mechanical methods. long & short index ETFs are quantitatively paired to optimize delta neutral or high beta portfolio performance w/o... More
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Equity Informatics Blog
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  • S&P 500 geodesic model update - Dec 4, 2009
    S&P 500 indication:  momentum has changed to the down-side since last update on nov-20-2009.
    *** visit my intro to trading long/short ETFs in pairs using geodesic concepts
    the difference between the rates of change of the 2 geodesic parameters recently has knee jerked just like the index after about 4 days hitting new highs.  it has crossed the y=0 line twice recently and is below it now which is a mildly bearish indication.  the 12 DMA suggests the overall trend is still down.  may be a good time to move over to the sidelines if you haven't much cash to flow with the volatility.  rapid and steep slope changes in the signal (blue line) indicates increased volatility.  stay cautious.  "i have a bad feeling about this drop."  quote from which movie?

    Disclosure: LONG a quantitatively weighted pair of SH & SPY. No holdings in the others.
    Dec 06 7:46 PM | Link | Comment!
  • S&P 500 geodesic model update - Nov 20, 2009
    S&P 500 indication:  possible momentum change in progress to the down-side

    (visit my intro to trading long/short ETFs in pairs using geodesic concepts)

    the signal (blue line) & it's 12 DMA (yellow line) are now moving in opposite directions.  the previous 2 short-term tops preceded in a similar fashion.  i'm looking for 3 more indicators to confirm a bearish trend.  technically we're not there yet.  (1) if the blue line and yellow line cross, that would signal a bear warning is in order.  that would confirm the short-term top.  (2) if the blue line crosses y=0, that would signal a bear watch.  (3) if and only if the yellow line inflects and crosses y=0 & maintains the same downward slope as the blue line for a day or two, that would signal a bear market is in progress whether for the short-term or long-term.  the model as is today does not necessarily make a distinction between the two.  development on that idea is ongoing.

    Nov 20 9:06 PM | Link | Comment!
  • S&P 500 geodesic model update - Nov 18, 2009
    S&P 500 indication:  highly probably change in momentum coming

    (visit my intro to trading long/short ETFs in pairs using geodesic concepts)

    the sensitivity of the signal (amplititude) has increased with time as neutrality has gone far beyond "normal" ranges on the geodesic curve (not shown).  as such, it's momentum change signals are more pronounced.  what is shown below is a plot of daily differences of the 2 key parameters of the model.  the focus of today's update is recognition of short-term top formations in the S&P 500 as highlighted below.  today, another top just may have formed.  each formation includes 2-3 data pts at the top of each rise in the index followed by an equally sloped downward trend in the blue line.  confirmation of the top comes a few trading days later as the blue line crosses it's 12 DMA.  if trends continues as expected, anticipate a possible sell off in the index lasting for around 7-8 trading days.

    Nov 18 8:54 PM | Link | Comment!
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  • the market is very finicky right now. time to consider getting into to some bond ETFs like BIV, BND & IEF.
    Nov 27, 2009
  • a little dip is due. the market really shouldn't cheat the short man. otherwise he will turn into a big bear. we don't want that.
    Nov 26, 2009
  • no more u.s. government bond auctions this week is NOT good news for the equities market for the next few trading days.
    Nov 18, 2009
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