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=========SIGNALS, NOT INDICATIVE OF POSITIONS=========
401K/Long Positions: YES
Short Positions: No
# Ensemble Memebers that are Bullish: 999/999
I have identified my BUY and SELL signals for LONG positions, with 1 model member. It will become a lot more robust, and a lot less whipsaws when I develop an ensemble of 999 members this upcoming winter. These signals are the result of several scripts and a very large Excel Spreadsheet on my desktop. So I will post the ‘final answer’ above which is what most of you want anyways!
I have found that when the Technicals Model to SPX performance is at or below -200%, this is the only good time to SHORT the market.
==============My Website To-Do List (Vision)=============
This site which only premiered on April 1st, 2016 has already come a long way. But there is so much more that I want to do, so I thought I would demonstrate my goals below! If you have any suggestions, feel free to shoot me an e-mail or comment
- Done, In Testing: Ensemble of 999 long/short indicators
- Build a real-time display for worldwide indicies, currencies and commodities, this is the first step in transitioning the site to a real-time tool for more active traders
- Replicate the Technicals Model at the Weekly, Hourly, 15-min scales to give a real-time view of Market Trends expanding from the Daily view that I already provide
- Custom charting code so I can display multiple models in best possible way
- Real-time charting of Hindenburg Omens
As always, the Monthly, Weekly, Daily, Hourly and so on SPX charts I show are from all hours of the day, and therefore the prices and indicators will vary from charts which only show action during regular trading hours. I believe this method is more robust and encapsulates global sentiment, better capturing trends.
I mark negative divergences in red, and positive divergences in green. Please note that some indicators such as -DI are inverse, so a positive divergence is bearish and a negative divergence is bullish!
Time for another log-in free Friday post. If you like what you are reading, please consider signing up for a free log-in using the quick form at the bottom of this post!
What a bullish week!
S&P500 Volatility (proprietary)
I developed the S&P500 Volatility Index to help characterize the volatility of the S&P500 market on a scale of 0 to 20. It has nothing to do with $VIX (which shows the market’s expectation of 30-day volatility, constructed using the implied volatilities of a wide range of S&P 500 index options). This indicator serves to rank the volatility of the current market period using market data from 1990 to 8/9/2016.
Why does this matter? In coming up with BUY and SELL signals in any system, you need to know when to flip quickly, vs. times you can wait and see if your signal is a fluke or not. This is a way to limit position flip-flopping.
Score>15 Market is volatile [flip quickly]
Score~10 Transition zone
Score<5 Market lacks volatility [wait out change in indicators]
3-day average S&P500 volatility is scored at: 8.8 [8.7 single day]
New Volatility Model (expanded from 10 inputs to 50): 10.3 [11.9 single day]
Below I plot the momentum scores since 1990. You can see the Bear and Bull markets, but there were also times in Bull markets you needed to trade aggressively (May 2010, 2011, Aug 2015), and periods in Bear markets you could trade with a slower trigger.
Technicals Model (proprietary)
The first chart below is the cumulative Technicals Model dating back to 2006. The Model has had 23 up days in a row. The last negative day was Mon 11/7 (after being down 26 days in a row)! This was worse than any time during the 2008-2009 crash! Here you can see the model performance (in blue vs. SPX in black) all the way back to 2006. I added the purple 200 day moving average to help discriminate between bull markets vs. bear markets (although fake-outs do occur such as 2011, and either 2015 or earlier in 2016). I also want to point out that the cumulative Technicals Model has not made a new All Time High in 2016. The model has now regained the 200 dma that it lost in October.
I have noted that the model did not confirm the last high for the SPX in 2007 (as denoted by red down arrows on the model, vs. SPX green up arrows).
Below the Model and SPX chart on figure 1, I have the performance of the ratio of the two. I have noted extreme readings (green) as potential bargain buy (such as Brexit which was the last extreme reading in green), and extreme Red readings being bearish for the market. Today is the 3rd day back in positive territory.
This next chart shows the daily readings, not in cumulative mode as above. Here you can see which particular trading days are the strongest/weakest technically with the markets as portrayed by the model. Divergences also show up near market Tops/Bottoms.
Made a new high surpassing the November high today, wiping out any negative divergence that was in place. This is very bullish!
Comparing the slope of the Technicals Model vs. SPX today, the Model is very slightly more bullish. These 1-day signals are not very reliable, but better than 50-50.
What is this model? It’s a comprehensive assessment of a good number of technical indicators on each S&P500 stock. This model does 2 things well. First, it shows divergences from SPX price (for example, take a look at the Brexit SPX reaction at the end of June (black) vs. the non-reaction in my model (blue)). Most valuable of all, my model has a lot less volatility than SPX price but does a great job of capturing SPX trend, which should do well with forecasting SPX price movements in the future.
SPX Monthly [from Nov 30, 2016]
On the monthly scale, the market continues to be either forming a top, or consolidating during the past several years.
ADX: Bearish, trading
RSI: Upper quartile
Candle: Doji, indecision
Volume: Below the steady 20 period moving average.
Moving Averages: Close>12>36>72>120 period moving averages
% Bollinger Band: Upper Quartile
Bollinger Band Width: Slowly widening but at very narrow levels
MACD: Bullish at a positive value, histogram ticked higher
SPX Weekly [from Dec 9, 2016]
Another new high this week (closing above the Bollinger Band), but, there are negative divergences back to 2013 on the ADX DI, RSI, MACD and MACD histogram. These divergences have only steepened this year. Also note the blue Bollinger Band Width 2nd from the bottom. The yellow line represents the narrowest recorded since 1970. Notice we are rising from these levels. A BIG move is materializing.
ADX: Bearish, trending
RSI: Upper quartile
Candle: Very Bullish
Volume: Well below the steady 20 period moving average.
Moving Averages: Close>20>50>100>200 period moving averages
% Bollinger Band: Above the upper band
Bollinger Band Width: Expanding from very narrow levels
MACD: Bullish at a positive value, histogram ticked higher for 5th straight week
The trend higher is not done.
ADX: Bullish, trading
Candle: Quite Bullish
Volume: Very low, well below the slumping 20 period moving average.
Moving Averages: Close>20>100>50>200 period moving averages
% Bollinger Band: Above the top Bollinger Band
Bollinger Band Width: Expanding from narrow levels
MACD: Bullish at a positive value, histogram ticked higher for 4th day in a row
Approaching the 2070 pivot.
At today’s highs, negative divergences remain on ADX +DI, MACD and MACD histogram, but have broken on ADX -DI and RSI.
Today we moved firmly into the bottom of the Sept-Oct triangle (denoted in yellow). The secondary bottom of that same triangle is currently at 2270. This is the next target.
Still need a new $VIX low as the positive divergence in RSI was wiped out Tuesday.
High-Low was +61 today. The McClellan Oscillator was positive for the 24rd trading day, making a new high 11/25/16, with the summation index in positive range. Negative divergences are still valid for the McClellan Oscillator, and a new one is forming on New Highs.
SPX %above MA
The stochastic indicators have signaled a BUY for 5 of the 5 indicators. Negative divergence seen on the Full Stochastics (red arrows) since March.
3 of these indicators have fallen quickly out of the red Topping Zone, rising back into it. Interestingly, most of these are now even or slightly higher than the previous high, which of course is bullish.
Are we nearing the end of this flush or is this the new trend lower (meaning Trump saved America from Deflation)? If TLT:TIP can get and stay below 1.00, the economy may be starting to expand faster (without the FED?).
The bond market Deflation vs. Inflation metric (iShares Barclays 20+ Year Treasury Bond Fund vs. iShares Barclays TIPS Bond Fund). The previous peak was 10 Feb 2016. Values late in 2014 and pretty much all of 2016 are showing higher Deflation fears than even 2008-2009.
From this chart you can clearly see when the FED stepped in (when this ratio was nearing 1, except things got out of control at the peak of the 2008 downturn until the FED figured some things out). Clearly things changed since late 2014 and the FED has stepped aside leading to the Deflation fears building beyond the 2008 crisis.
HYG:IEF made new 2016 highs again today. All negative divergences have been wiped out. This is very bullish.
HYG:IEF ratio is a way of looking at Greed vs. Fear in the more sophisticated bond market.
Oil continues in sideways mode since June. I wonder if it leads the market down perhaps after the holidays?
Summary: Bulls vs. Bears
A bullish Friday to finish out a bullish week. Been long since a couple days after the election and it has been quite fruitful. See no reason to fear being long right now. My proprietary Techncials Model made a higher high than the November high today. This wipes out and negative divergence. HYG:IEF made another 2016 high, wiping out any negative divergences. Very bullish Weekly chart analysis as well. Breadth and Internals are quite good, though the number of New Highs fell off today, which is something to watch.
- SPX Daily above the 20, 50, 100, 200 dma
- Positive Divergence vs. September Low on McClellan Oscillator
- Positive Divergence vs. September Low on 2/5 Percent Above Moving Averages
- Positive Divergence vs. September Low on Technicals Model
- HYG:IEF at 2016 highs
- Oil short term bounce
- BUY signals on 5 of 5 of Number of stocks above their 20/50 dma, and just broke negative divergences on most of these
- Broke long term trend of the number of New Highs decreasing
- Technical Model (cumulative) is above its 200 dma
- SPX 20 dma above the 50 dma for the 12th day, and above the 100 dma for the 10th day
- 999/999 Ensemble Members are bullish
- Technical Model positive last 23 days
- Weekly MACD is a BUY
- $VIX continues its downtrend, but this may be ending soon
- Closed above Top Weekly Bollinger Band
- Cumulative Technicals Model has not made a new high in 2016
- Technical Model negative for 26 of past 49 days, unprecedented!
- The Performance of the Technical Model:SPX ratio has been negative for 72 of the past 94 trading days, unprecedented!
- Daily scores from the Technical Model negatively diverging through the months of July-September
- Negative divergence on New Highs reforming
- SPX 50 dma below the 100 dma for past 24 trading days
- Monthly technicals very favorable for a stalling market
Levels to watch…
- 2070 Bottom of Sept-Oct triangle and pivot
- 2212 pivot
- 2177 pivot
- 2148 near 50/100 dma
- 2131 pivot level
- 2128 20 dma
- 2116 pivot level
- 2089 SPX 200 dma
- 2085 pivot
- 2070 pivot
Feb-March 2016 Posts: https://stormchaser80.wordpress.com/
Note: I want you to know that although I have taken the steps to start the subscription business, I will continue to offer the free service through May 2016. I want there to be a good record of (hopefully) accomplishment. Plus I don’t want to spring anything on anyone unfairly. I thought 3 months was enough lead time. I also want to present something nice, and well worth your visit (and subscription).
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