chart green : uptrend high confidence | yellow : uptrend low confidence
Statistical Learning Models :
Neural Net Daily Trend Identifier : UP [0.95 confidence : High ]
Daily Short-Term Overreaction : UP [confidence : Low]
Filtering Model (4-hour frequency):
Main Trend : UP
Momentum : UP [increasing]
Mean Reversion (4-trading hours frequency) :
4 periods accumulated return (16 hours) : 0.6%
percentile : 59%
9 periods Return (36 hours) : 1.3%
percentile : 68.0%
10 period Volatility (40 hours) : 7.8% annualized
percentile : 22%
Relative Volatility (10 per / 50 per)
percentile : 69%
Markov Regime Switching identifier ( daily close ):
Probability of a strong uptrend regime : 2.7
Probability of a weak uptrend regime : 34.6
Probability of a sideways / weak uptrend regime : 52.6
Probability of a downtrend / volatile regime : 10.4
SPY - VIX statistical relationship ( daily close ):
zone : uptrend
percentile : 41.5% [ 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/07:
Neuralnet trend model still in high confidence uptrend zone.
Main trend up, with increasing momentum.
Overall volatility is historically low but rising. Relative volatility is rising, usually this signals short-term trend changes.
MatLab´s Markov model updated the regime probabilities, downtrend regime went from 7.4% to 10.4%. If it keeps rising chances are good we are entering at least in a short term correction.
Wavelet model probability of a discontinuity is still low but increasing.
The wavelet pattern currently emerging leads to a correction or a crash, but still no signal yet.
Model suggested positioning is small short with stops on SPY highs around 127.8.