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Signals and Commentary for SP500 Jan/11/2011

|Includes: FAS, FAZ, GLD, QQQ, SH, SPDR S&P 500 Trust ETF (SPY), USO, VIXY, VXX


chart [ green : uptrend high confidence | yellow : uptrend low confidence ]

 chart [ red : downtrend high confidence | purple : downtrend low confidence ]

 

 

Statistical Learning Models :

 

Neural Net Daily Trend Identifier : DOWN [0.5 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)  : -0.3%

percentile :  32%

 

 

9 periods Return (36 hours)  : 0.9%

percentile :  59%

 

Volatility :

 

10 period Volatility (40 hours) : 8.4% annualized

percentile :  28%

 

Relative Volatility (10 per / 50 per)

percentile : 76%

 

Markov Regime Switching identifier ( daily close ):

 

Probability of a strong uptrend regime : 2

Probability of a  weak uptrend regime : 26.5

Probability of a sideways / weak uptrend regime : 55.6

Probability of a downtrend / volatile regime : 15.7

 

SPY - VIX statistical relationship ( daily close ):

 

zone : uptrend

percentile : 36% [ normal ]

 

Wavelet Discontinuity Watch (daily close ) :

 

Risk of a correction / crash increasing.

 

 High volatility regime pattern emerging.

 

 

 

 

 

Overall commentary for Jan/11/2011:

 

Neuralnet trend model turned to downtrend with low confidence. Let´s see if it is confirmed by going into downtrend with high confidence mode in the next sessions.

 

Filtering model main trend is up, with decreasing momentum.

 

Volatility is now stable, but trend is still up.

 

MatLab´s Markov model updated the regime probabilities, downtrend regime increased for fourth consecutive day from 13.3% to 15.7%. The dangerous zone is around 20% .

 

Wavelet model probability of a discontinuity is increasing, and showing similarities with April 2010 highs.

 

Model suggested positioning still did not change : small short with stops at SPY highs around 127.8.

 

Good trading.

 


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