Monday, December 22, 2008

12.22.08 - Hugging S1 on Negative Tick

The S&P 500 has been trading above and around S1 (SPY $87.20) since the morning sell-off and break below it's twenty-day moving average. Cumulative Tick is trending lower, which doesn't have me optimistic on the day. Note, however, that the VIX (43) has been trending down along with price. In this regard, here is an interesting article from one of our new blog role sites, "Ripe Trade," on positive correlation periods between the SPX and VIX. Volume is at extreme lows.

Blog Role Additions: Excellent quantitative trading blogs, check them out!

o Skill Analytics - Discussing system-based trading strategies.
o Ripe Trade - Providing actionable trading signals.

If you've missed it, also note Traderfeed's excellent series of recent expositions on constructing, interpreting and trading with Cumulative Tick.

11:25AM PST - Cumulative Tick/ A-D/ TRIN have only continued to deteriorate. Watch S2 ($86.20) for possible support, but be careful on this negative trend day.

Close - Nice bullish hammer with the recovery, although some view last dash recoveries as bearish. The final half-hour respite back to S1 came quickly, with TRIN being the most obvious tell, though it felt risky the whole way through after S2 having been broken. For the time being, SPY $85.50 appears to be an important level (also see 12/12).

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1 comment:

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