Signals and Commentary for SP500 Jan/18/2011
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chart [ green arrow : uptrend high confidence | yellow arrow: uptrend low confidence ]
chart [ red arrow : downtrend high confidence | purple arrow : downtrend low confidence ]
Statistical Learning Models :
Neural Net Daily Trend Identifier : UP [0.98 confidence : High ]
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) : 0.57%
percentile : 54%
9 periods Return (36 hours) :1.5%
percentile : 73%
Volatility :
10 period Volatility (40 hours) : 6.0% annualized
percentile : 13%
Relative Volatility (10 per / 50 per)
percentile : 64%
Markov Regime Switching identifier ( daily close ) :
Probability of a strong uptrend regime : 1.6
Probability of a weak uptrend regime : 28.9
Probability of a sideways / weak uptrend regime : 47.4
Probability of a downtrend / volatile regime : 22
SPY - VIX statistical relationship ( daily close ) :
zone : uptrend
percentile : 79% [ HIGH ]
Wavelet Discontinuity Watch (daily close ) :
Risk of a correction / crash increasing.
High volatility regime pattern emerging.
Overall commentary for Jan/18/2011:
NeuralTrend model up with high confidence for fourth consecutive day.
Filtering model main trend is up, with decreasing momentum.
Volatility started to increase again.
MatLab´s Markov model WARNING signal still valid as the downtrend regime probability closed at 20%.
SPY-VIX statistical relationship entering in HIGH zone, meaning more upside is limited and odds favor downside.
Wavelet model probability of a discontinuity is increasing, and showing similarities with April 2010 highs.
Model suggested positioning changed neutral.
Model does not recommend full position shorting until signals are flashing.
Good trading.
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