Thanks for sharing but I am not sure it addressed my question at all. I was wondering what quantitative/ analytical support you have for the markets to make back another 4-5%. I am not asking to reveal your core ideas but you already posted some some outputs of your analysis and I was wondering which of those numbers support your previous conclusion. Thanks.
It is no complicate casual research with reason and effect. I like to keep it very very simple. If the breadth of the market is improving I am bullish, as simple as that. I do not waste time in complicated market analysis. I use <b>ONLY</b> price and volume as my ingredients for my system. I might change my opinion the next day. But if not for the last few weeks, the fluctuation is not that high.
fair point but have you not been proven wrong now over several days? Price action again favors the downside since Friday. I still think to exit my ES position at 1097 was a perfect trade (which obviously also contained a component of luck as I could not forsee the Spain credit downgrade) but its pretty clear to me that any long position around 1097 levels +-10 points provided a very unfavorable risk/reward. Thats why I am surprised that you did not change your mind based on your own "breadth analysis".
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I plan on shorting 20 ES units if we break 1067 from here and otherwise long the same amount in case we break 1082. Simple support/resistance play. It may not play out tonight so I keep the levels in mind for the next couple days and only update if necessary. Investics, I tried something similar to your approach some time ago, I found it to be a great set of indicators to mark major turning points but I did not find much value any time in between. How do you use the number of fresh lows/highs or number of stocks above/below xx-DMAs? Do you generate DMAs off those indicators? Would be interested how you look at them from an analytical standpoint. THanks for sharing...
Investics, Thanks for sharing. Lot of good information. I've tried some casual and some quantitative attempts at market timing, but right now I just use a very simple solution using moving averages. Currently as I measure it the short, medium, and long term trends are down, so I am very careful right now on the long side. I do some short term (days, not day-trading) trading both long and short where I don't worry too much what the market is doing as long as I can get trades on both sides, which has been challenging the last couple weeks. My focus is on stocks because I have an edge in stock selection beyond what I would have in the indices/ETFs, but am looking to add an ETF strategy some day. Regarding your strategy, there were three significant pullbacks in 2009, so essentially you only had 3 long trades for the year? Did you trade this in late 2008? It looks like the breadth chart might have given buy signals too early. Regarding when to sell/short, it seems to me that the number of stocks above the 50 day average can stay very high for very long. Given the market's bullish bias it makes sense to have different sell signals than buy signals. In looking at your chart perhaps this approach would work: cut back on your longs when the number breaks 80, then cut back some more when the momentum on your chart turns (and maybe start going short), and finally exit longs and go short when the trend turns down (eg. the stocks above 50 day drops below it's 50 day). As it is now, despite today's action it seems the breadth momentum is still positive. Regarding your ETF selection. You seem to be pulling from a pretty broad list of ETF's. Do you find an advantage selecting from a large pool of ETF's vs. just selecting the 2x or 3x ETF in the best performing sector?
<b>Market View for 03.Jun.2010</b> Buy Aggressively <b>Buy Cautiously</b> Hold/Wait Sell Cautiously Sell Aggressively (the highlighted option is my current sentiment) <b>Top 5 Bullish Leveraged ETFs by Momentum Based Ranking:</b> URE USD UKK SAA MVV [/list=1]