Signals and Commentary for SP500 01/07/2011
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%
Volatility :
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.
Good trading.
Seeking Alpha's Disclosure: Past performance is no guarantee of future results. No recommendation or advice is being given as to whether any investment is suitable for a particular investor. Any views or opinions expressed above may not reflect those of Seeking Alpha as a whole. Seeking Alpha is not a licensed securities dealer, broker or US investment adviser or investment bank. Our analysts are third party authors that include both professional investors and individual investors who may not be licensed or certified by any institute or regulatory body.