Signals and Commentary for SP500 01/06/2011
chart green : uptrend high confidence | yellow : uptrend low confidence
Statistical Learning Models :
Neural Net Daily Trend Identifier : UP [0.96 confidence : High ]
Daily Short-Term Overreaction : DOWN [confidence : Low]
Filtering Model (4-hour frequency):
Main Trend : UP
Momentum : UP [decreasing]
Mean Reversion (4-trading hours frequency) :
4 periods accumulated return (16 hours) : 0.1%
percentile : 44%
9 periods Return (36 hours) : 1.35%
percentile : 68.0%
Volatility :
10 period Volatility (40 hours) : 7.8% annualized
percentile : 22%
Relative Volatility (10 per / 50 per)
percentile : 65%
Markov Regime Switching identifier ( daily close ):
Probability of a strong uptrend regime : 2.8
Probability of a weak uptrend regime : 41.8
Probability of a sideways / weak uptrend regime : 48
Probability of a downtrend / volatile regime : 7.4
SPY - VIX statistical relationship ( daily close ):
zone : uptrend
percentile : 52.0% [ normal ]
Wavelet Discontinuity Watch (daily close ) :
Risk of crash is low but starting to increase.
Higher frequencies starting to increase. Trend change pattern emerging.
Overall commentary for Jan/06:
Neuralnet trend model climbed to high confidence zone.
Main trend still up, with slightly decreasing momentum.
Overall volatility is low but rising. Usually this signals short-term trend changes.
MatLab´s Markov model updated the regime probabilities, embedding more uncertainty by doubling the odds of extreme regimes (strong uptrend from 1.4% to 2.8% and downtrend from 4% to 7.4%
Wavelet model probability of a discontinuity is still low but increasing.
The wavelet pattern currently emerging leads to a correction or a crash.
Model suggested positioning is small short with tight stop if SPY gaps on opening.
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