ETF Rewind - Week 22 (05/29/09)

(Click Image to Enlarge/ Glossary)

It was another choppy but positive week for equities with the S&P500 (SPY) gaining an impressive +3.9% during the holiday-shortened week. This move put the index well above its simple 10-month moving average for the first time in over a year (although it remains just slightly below its 200-day).

In fact, gains were posted across all asset classes, with only the US Dollar showing mild weakness (UUP -0.8%). Note, however, how the reflation trade has nearly all commodities and correlated emerging market ETFs, such as DBC and EEM, looking very short-term overbought under the Price Index columns.

Week Twenty-Three of 2009 features another busy earnings and economic calendar, including the important Friday Jobs report:

• Yahoo! - U.S. Economic Calendar
• Yahoo! - U.S. Earnings Calendar

Volume was very light during most of May, and it is easy to imagine a scenario where institutional money now begins to reenter equities after price having consolidated through time alongside all of the major indices having moved above -- or nearly above -- that magic 200-day line in the sand.

However, that is merely the technician's perspective. Last week's sector leadership was less than inspiring, equities are slightly short-term overbought, the economy remains off-track, and bonds could start competing with equities at current (rising) rate levels. The light volume contributed without a doubt, but it is really no wonder we witnessed such repeated sharp, fast breaks last week given these vastly opposed perspectives! Enjoy Your Weekend!

Never Investment Advice

If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's new nightly ETF Rewind Pro service (free trial). In addition to coverage of over 170 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

05.29.09 - Energy Props Broad Market

Looking across the major sectors, it seems Energy (XLE +1.5%), Basic Materials (XLB), and Consumer Staples (XLP) are largely holding up this market, and that can't be good for too long -- even though this feels a bit like consolidation just now. However, most internals are going sideways along with price as the S&P500 hugs its VWAP. The flattish 5-DMA has so far provided support, keep an eye on that on any third test. Treasury yields are finally giving some relief to bond prices, which should also help equities to an extent.

05.28.09 - Fast Breaks

Intermarket cross-talk among bonds, equities and commodities have led to extremely fast and wide-ranging moves during the last several days. Most of the majors are slightly in the red, although the S&P is still hanging on to break even. My larger concern is that internals are weakening. Also, beyond Energy (XLE), leadership is lacking with specific weakness in the Semi's (SMH) and Consumer Discretionaries (XLY). The Seven-Year Treasury Auction results are coming up any moment now.

Hourly Volume TradeStation Code

Here is a TradeStation Paintbar study to help distinguish which hourly bar total volume ($TVOL) is in. First hour heavy volume days are said to be more likely to trend. Cheers, Jeff

//Each Hourly Bar Assigned a Different Color by Market Rewind

Variable: BarCount(0), CustomColor(0);

If Date <> Date[1] Then BarCount = 1 Else BarCount = BarCount + 1;

If BarCount = 1 then CustomColor = DarkRed;
If BarCount = 2 then CustomColor = Red;
If BarCount = 3 then CustomColor = Yellow;
If BarCount = 4 then CustomColor = Cyan;
If BarCount = 5 then CustomColor = Blue;
If BarCount = 6 then CustomColor = Green;
If BarCount = 7 then CustomColor = DarkGreen;

PlotPaintBar( High, Low, "CustomColor", CustomColor ) ;

05.27.09 - Consolidation Trade

Price has held remarkably level on the housing data, choosing to focus on the increase in sales rather than inventory for sale. VWAP has a mildly positive slope and internals have been mostly cooperative. However, at the mid-day, I note an apparent bottoming to the VIX just under 30 and a possible turn in Cumulative Tick. It could just be a mid-day pause, but I'll be keeping a close eye on those.

05.25.09 - Confidence Game

Equities exploded higher on the strong Consumer Confidence report, putting us into a nice trend day with Advance - Decliners, Up Volume and Cumulative Tick all running to the upside set against a lower VIX. As tempting as it may be to fade such a wide bar, professional traders will require evidence rather than risk getting run over by this strong tape.

ETF Rewind - Week 21 (05/22/09)

(Click Image to Enlarge/ Glossary)

Last week's diminutive S&P500 (SPY) returns, up +0.3%, belied the significant recovery attempt and failure of the majors, putting in lower May highs across the board. The real gainers were International (EFA +5.2%) and Emerging Market (EEM +5.6%) stocks, boosted by higher Commodities (DBC +5.0%) and a weakend US Dollar (UUP -3.6%). In contrast, long-term Treasuries (TLT) fell rather hard, down about -4.6%.

Week Twenty-Two of 2009 features the following busy earnings and economic calendar, including Preliminary GDP on Friday:

• Yahoo! - U.S. Economic Calendar
• Yahoo! - U.S. Earnings Calendar

For now, it's good to see sectors and asset classes begin to diverge in performance rather than all trading as one. While our economic woes are far from over and the outlook remains cloudy, at least investors are able to choose their battles. Enjoy Your Long Weekend!

Never Investment Advice

If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's new nightly ETF Rewind Pro service (free trial). In addition to coverage of over 170 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

05.22.09 - Light Pre-Holiday Upward Bias

There is a gentle up-slope on today's Volume Weighted Average Price and there have been good trend and fade opportunities on both sides with yesterday's low trough and today's pre-session highs setting the range. While the bias has been mildly higher, at the mid-day we find ourselves back at that VWAP with a deteriorating Cumulative Tick and Advance - Decline slope. Probably just the mid-day lull with Up/Down volume fairly well matched and the VIX running laterally, we'll see.

Never Investment Advice

05.21.09 - Washout

Markets are experiencing strong follow through on yesterday's reversal and "renewed economic concerns." Well, some of us didn't forget anyhow! The VIX has carried back above 30, but has seemingly stabilized at the mid-day along with price. Nevertheless, the falling daily VWAP is proving strong resistance. Can't quite call it a trend day just now and note how the Financials (XLF) are actually holding their own, but the need to exercise caution is obvious.

Never Investment Advice

05.20.09 - Hanging on by a Thread

Daily gains for the bulls look to be in jeopardy as the SPY test of R2 came back down relentlessly to the Pivot on a falling A - D line and increased Down Volume led by the Financials (XLF) and Consumer Discretionaries (XLY). Nevertheless, this just puts us back into yesterday's range thus far and Tick could certainly be worse. We'll just have to see how this evolves, though I would not be surprised in the least if today's a.m. highs turn out to be lower swing highs set against the moves earlier in the month.

[FOMC Minutes]

05.19.09 - Low Volatility Oscillations

After a minor gap fill this a.m., the markets immediately found footing to move up to the pre-session SPY $91.75 level, and have remained north of the VWAP ever since. However, that same pre-session price level has proven stiff resistance forming a mild wedge pattern. The VIX officially broke down under 30 with other internals looking mildly supportive, though perhaps tired with the Advance - Decline line fairly low on an absolute basis and the Cumulative Tick (heavy dotted line) net negative, although up-sloping.

05.18.09 - Light Volume Reprise

We've seen a nice boost on the weekend's overseas trade and earnings outlooks. Subsequently, the markets are holding level during the mid-day on very strong Cumulative Tick, Advance - Decline and Up Volume levels, suggesting the possibility for afternoon carry through. My only slight concern is the waning level of Tick highs during the last couple hours as we lie just south of SPX 900, which is currently acting as clear resistance [edit/ add: this was just consolidation and we did get that carry through. We closed with the VIX at 30 on the nose!]

Never Investment Advice

ETF Rewind - Week 20 (05/15/09)

(Click Image to Enlarge/ Glossary)

The S&P500 (SPY) finally made a more significant dent into its historic rebound, down -4.6% on the week. However, Financials (XLF) and Real Estate (IYR) were down more severely, about -11% each. Consumer Staples (XLP), Technology (XLK) and Healthcare (XLV) were relatively spared for having previously slowed their rate of incline, each down less than -2.0%.

Week Twenty-One of 2009 features a significantly lighter earnings and economic calendar, including Housing data and the April FOMC minutes release:

• Yahoo! - U.S. Economic Calendar
• Yahoo! - U.S. Earnings Calendar

Among the tracked ETFs, both Consumer Discretionarys (XLY) and Utilities (XLU) look short-term oversold, whereas Precious Metals (DBP) is now technically overbought by some measures. While the short-term trend has been interrupted and there is much fretting over the future of this rally, we thus far remain above critical support levels, and, while I'm net bearish on next week -- with all the money managers claiming to be on the lookout for re-entry points -- it seems early to be calling it officially down for the count. Enjoy Your Weekend!

Never Investment Advice

If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's new nightly ETF Rewind Pro service (free trial). In addition to coverage of over 170 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and portfolio management tools.

05.15.09 - Relative Volume Peaks

Today's early move to yesterday's highs immediately broke down consistent with the short-term trend all the way back to the pre-opening lows. Note how the downward sloping intra-day five-day moving averages proved strong resistance, and could not be breached.

One indicator I like to follow is what I call 'Relative Volume', comparing current bar volume to the multi-day average for those same bars to remove the 'smile' effect where absolute volume is higher at the start and finish of the trading day. When relative volume peaks far above average levels, trends often pause -or- reverse as key value levels are reached, confirming the cessation of the excess supply or demand. Today, for instance, you can see two clear peaks at the AM session price highs and lows. Absolute volume is relatively higher today, making it easier to play trends.

These mid-day lows held yesterday and Wednesday so it's clearly an important level, though just now internals appear to suggest they may break this go around. For potential support levels below, see yesterday's post.

Never Investment Advice

05.14.09 - Small Recovery Trend Day

Shrugging off small stopping volume peaks, advancing up volume, falling VIX, and nicely sloped AD and cumulative tick lines are all suggestive of a nice little trend recovery day. As a recap, yesterday we discussed several technical reasons we may see support between the close and SPY $87, as follows:

o Lower Trend Channel Line
o 20-Day Moving Average
o May 1st/ 4th Gap
o February Swing Highs
o First Key Fibonacci Level
o Three Days Down

We'll see how far this reaction can take us. I expect we may see some resistance at the declining five-day moving averages. For the SPY that's near yesterday's open/ today's R1 just north of $90.

Reading:

o MarketSci - Filtered 40-Week MAs
o Quantifiable Edges - Sharp Drops

Never Investment Advice

05.13.09 - Very Negative Cumulative Tick

Today's weak retail sales numbers pushed the markets down very quickly, and we have seen a mild negative price bias ever since. However, internals paint a worse picture still, with Cumulative Tick and Down Volume highly negative. Nevertheless, while we have broken our parabolic rise, we remain within the multi-week trend channel, which lies within the SPY $88 handle. Also, while volume has risen the last two days, there has certainly been nothing record breaking about it.

As long as the VIX remains capped below 33.50, I won't get too concerned. By the same token, if we do see a recovery, I expect traders will initially respect the down-trending five-day moving averages now running across all indices.

SPY Entering First Target Zone:

05.12.09 - Giving Some Back

We are seeing downside follow through today on increasing volume. I expect we may see stronger channel support between here and SPY $89.50, though there is no sign of that just yet. After the initial pullback to SPY S1, price action chopped along for several hours, but could not retake the VWAP and repeated tests of the ES-June 900 level could not hold. The best 'tell' through the chop was the persistently widening gap between Down and Up Volume, and a Tick that simply could not get motivated.

05.11.09 - Quiet Post Gap Trade

Price is holding at opening levels with the VIX likewise running sideways. In fact, just about every indicator is nearly lateral, save down volume, which naturally has continued to outpace up volume. Note also how all indices are struggling mightily with their five-day moving averages, which are proving strong resistance. Even the NASDAQ100, which - led by the Semi's (SMH) - has shown apparent relative strength after last week's weak performance, has been halted by this key level.

ETF Rewind - Week 19 (05/08/09)

(Click Image to Enlarge/ Glossary)

Travel leaves this weekly review post necessarily shortened. Last week the S&P500 put in another whopping +5.8% gain. By the same token, treasury yields continued to rise, prospectively narrowing the gap in near-term return expectations among the asset classes -- something to think about. Nevertheless, just as we now see intermediate overbought indications within equities in the Rewind, other models suggest that this atypical upward run should continue to be treated with respect.

Week Twenty of 2009 (is that possible!) features the following earnings and economic calendar:

• Yahoo! - U.S. Economic Calendar
• Yahoo! - U.S. Earnings Calendar

Enjoy Your Weekend!

If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's new nightly ETF Rewind Pro service (free trial). In addition to coverage of over 170 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and portfolio management tools.

05.08.09 - Mixed Bull

Obviously a strong day, but not without its divergences. For instance, the NASDAQ100 is nearly flat and the XLY/XLP ratio (Consumer Discretionary/Staples) has been flipping back and forth. Nevertheless, Cumulative Tick, Up Volume and the Advance Decline line remain strong on relatively high volume. The VIX is also pushing 30 today! Still, I'll be surprised if we definitively take out yesterday's highs (or even today's), but we are certainly pushing that boundary and traders have to continue to respect this trend until clear evidence emerges to the contrary.

PS - And, as often happens in the blogosphere, we immediately break that upper AM to Mid-day trend line upon posting! The "hard right edge." ;-)

05.07.09 - (Another) Gap Filled

This market continues to be subject to large intersession moves. Like yesterday, today's gap was quickly filled and we have been running sideways into the midday after support near the daily pivot just above the rising five-day moving average. Cumulative Tick is slightly net negative, but neutrally sloped with down volume slightly outpacing up volume. On the bullish ledger, we can say that price has shown stability within yesterday's range at key levels, and the VIX is on a gentle down slope.

I am prepared for more noise ahead of the ultimate "test" release, but this early in the game its hard to divine which way that may play, if it all given the many pre-releases.

Fall to Spring '07/'08 Versus '08/'09

Just for curiosity's sake. Obviously conditions are quite different and most of us are hopeful that this 200-day test holds. I do find it incredible that a whole year has passed since the last test, however.

2007/2008

2008/2009

2007/2008 Extended

05.06.09 - Can't Keep a Strong Market Down

After strong noise in the intersession, first down 1%, then up the same on the ADP numbers, we rolled over to the prior day close only to find immediate support at that level and register a series of higher lows and highs, which now have us back above the VWAP and rechallenging opening levels. Cumulative Tick and Advancing volume have been strong all day, even during the first washout, no doubt on strength in the small share financials. However, for now I expect those opening levels to be difficult to surpass. Talk about needing a flexible mindset!

05.05.09 - Running Sideways

Price has been running sideways with a negative bias beneath the VWAP. The preponderance of tick readings have been negative, though not disturbingly so. Volume is higher today, so trends have been easier to read. Last night we had as many overbought readings on the ETF Rewind as I can recall seeing. As many have pointed out, this is not uncommon in a bullish environment, but we're talking majorly short-term overbought by traditional measures. At the very least, it will be interesting to see how the markets digest recent gains in the days ahead. As for me, I am trading very conservatively with a short-side bias for now.

Reading: Quantifiable Edges/ Historic Breadth

Never Investment Advice

05.04.09 - Collision Course with 200-Day

If we can keep above the SPY's VWAP/ R2 through the mid-day, we may well see another leg up into the close. I'll be watching those key levels along with the VIX very closely today. Here is a past link from the archives on characteristics of a "Trend Day". I'm not long-term bearish by any means, but short-term this move does put us well into overbought territory across many indices. Therefore, I'm using this Monday pop as an opportunity to hedge and may consider a net short on further upside.

Meanwhile, note below how the S&P500 is setting up to join the NASDAQ100 in challenging its 200-day moving average in the days ahead.

Never Investment Advice

April 2009 Rewind - Spring Thaw

The spring thaw continued for another strong month of gains that finally left a handful of equity indices bullishly above their ten-month moving averages for the first time in nearly a year. This April, the S&P 500, Dow Jones Industrials and NASDAQ 100 cash indices rose +9.39%, +7.35% and +12.72%, respectively. For the year, that still left them mixed at -3.37%, -6.93% and +15.08%, respectively.

The monthly price action was characterized by consistent strength from start to finish with hardly a pullback even while climbing a clear "wall of worry" featuring Swine (H1N1) Flu fears, the GM Bankruptcy, a focus on Banking "Stress-Tests", and a worse than expected GDP report, among others. Instead, the market chose to focus on the "slowing of the decline" thesis, a number of merger and acquisition announcements, and earnings "beat ratios" back near historical levels (say 60-65%), suggesting to some that expectations may have finally neared reality.

Sector-wise, a handful of ETFs posted astounding near 20%+ performances, including the Financials (XLF), Industrials (XLI) and Consumer Discretionaries (XLY), while Style-wise, the Small- and Mid-Cap Value areas (PWY/PWP) led the charge. In contrast, the year's earlier out-performer, Healthcare (XLV), struggled with a -0.1% loss. In spite of the mixed performances on a year-to-date basis, the recent out-performance of the higher-beta indices certainly reflects an increased willingness to accept risk. "Sell in May" tautology aside, it will be interesting to see how the markets perform after these two exceptional months. Can the markets pull off a hat trick going into the Summer?

Sentiment: Mixed "Wall of Worry"
Volatility: Declining (VIX 35-42)
Direction: Higher

[Click to Enlarge/ Additional ETF Analyses Posted on Market Rewind]

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The Style-Box was calculated using the following PowerShares™ ETFs: Small-Growth (PWT), Small-Value (PWY), Mid-Growth (PWJ), Mid-Value (PWP), Large-Growth (PWB), and Large-Value (PWV). The Sector-Ribbon was calculated using the following Select Sector SPDR™ ETFs: Materials (XLB), Industrials (XLI), Energy (XLE), Staples (XLP), Discretionary (XLY), Financials (XLF), Technology (XLK), and Healthcare (XLV). The Standard & Poors 500, Dow Jones Industrial Average and NASDAQ 100 may be traded through ETF proxies, including the SPY or IVV, DIA and QQQQ, respectively.

ETF Rewind - Week 18 (05/01/09)

(Click Image to Enlarge/ Glossary)

After battling Swine (H1N1) Flu pandemic fears out of the gate, all of the broad indices nevertheless finished the week higher, with the S&P500 (SPY) up +1.4%. As highlighted previously, a number of the more beta-oriented equity indices ultimately finished bullishly above their long-term moving averages, including the NASDAQ100 (QQQQ), Emerging Markets (EEM), Consumer Discretionaries (XLY), and Technology (XLK). All that said, interesting how Utilities led the week (XLU +4.6%)! Among the tracked equity indices, only Financials (XLF) and Real Estate (IYR) fell back ahead of the formal "stress-test" results scheduled for next week Thursday.

Week Nineteen of 2009 features the following earnings and economic calendar, including a Friday jobs report:

• Yahoo! - U.S. Economic Calendar
• Yahoo! - U.S. Earnings Calendar

Although overbought conditions have repeatedly been addressed intra-week with the now familiar post-Monday blues recovery pattern, note within the Price Index column how overbought readings are once again creeping across multiple ETFs. Enjoy Your Weekend!

Never Investment Advice

If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's new nightly ETF Rewind Pro service (free trial). In addition to coverage of over 170 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and portfolio management tools.

05.01.09 - Where Did All The Volume Go?

Must have gone the way of May flowers. Lowest volume day in a couple months (see below). Indices are mixed at the mid-day with a moderately falling VIX. Other internals are also generally mixed and SPX is sitting right on the VWAP, which in turn is tracing slightly above the rising intra-day five-day moving average. Although I retain a moderately negative bias for the day, it could be one of those days to hit the linx/ water early.

Enjoy your weekend and don't forget to check out the weekly rewind.

Hourly Bar Volume