Wednesday, September 30, 2009

09.30.09 - Coming Back to the Five Day


After a waterfall start, the Advance - Decline line began to hold its ground about an hour into the day, and prices have been recovering ever since.  As of the mid-day, the QQQQs have filled their loss, and the SPYs are close behind just beneath their five-day moving average.  These last few days have been quite sloppy, and traders need to take note of a) how quickly the sell button was hit, and b) the persistent willingness to buy it back.  Meanwhile, internals continue to improve though I'll be watching that five-day for potential resistance very closely (say SPY $105.75).

Tuesday, September 29, 2009

09.29.09 - Comeback Kid?


The major indices took an am session trip down south on the consumer confidence miss, but appear to have stabilized near SPY pivot/ 5-dma at $106, and are seemingly setting up to test the daily VWAP.  Internals are mixed in potential range-day fashion, though they appear to be setting up for a bid, we'll see if they can hold it together here.  The negative intra-day tone is hard to ignore, but so have been the repeated pm session come backs during the last few months.

Monday, September 28, 2009

09.28.09 - Trend-Day Monday


In spite of a rough overnight trade in Asia, the US and European markets finally got their bearings and caught a bid on merger news. Internals are extremely positive and advancing on an even keel.  Look at the steady slope of that dotted Cumulative Tick line in the second pane down. Low volatility in these readings is as important as their trend-direction and absolute level when it comes to identifying trend days like this.

Meanwhile, I am raising stops and will be watching the Intra-Day Sentiment measure (right) and Tick closely for any change in character as we go into the mid-day lull.

Saturday, September 26, 2009

ETF Rewind - Week 39 (09/25/09)

(Click Image to Enlarge/ Glossary)

The markets took a little back last week with the S&P 500 (SPY) closing lower by -2.1%. Materials led the retreat (XLB -4.6%), while the Dollar finally caught a small bid (UUP +0.2%). However, looking at the Relative Strength Index chart below, the recent extended run higher has short-term oscillators rapidly leaving the impression that we are now as oversold as we were overbought just one short week ago.

Week Forty of 2009 features the following economic reporting calendars:
If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's nightly ETF Rewind Pro service. In addition to coverage of nearly 200 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

Enjoy your weekend!


Never Investment Advice

Mrkt_Rwnd: Home of "ETFRanks"

Admittedly, the ETF Rewind service's greatest strength is also its weakness:  a tremendous amount of information in a very compact presentation.  Okay, maybe too much information for some.

To address this issue, earlier this month I began incorporating a proprietary composite scoring system for all 200 or so tracked ETFs using many of the nightly spreadsheets' key heuristics as presented in the service's introductory video series. I call the resulting scores 'ETFRanks'.  As discussed below, the ranks appear to be strong selection criteria for active investors using an intermediate time-frame.

Rank Construction

Here is a brief overview of the factors included in the calculation of the ranks:
  1. Long-Term Trend
  2. Intermediate-Term Trend
  3. Relative Strength
  4. Risk-Reward Profile
  5. Short-Term Oversold/ Overbought Oscillator State
  6. Relative Volume/ Liquidity
To achieve a rank of 10, the most 'bullish' score, an ETF would have to be strongly and consistently upward trending on both an absolute and relative basis, and be at least slightly oversold on a very short-term basis.

Cross-Sectional View of Market Status

Each night I create a histogram of the resulting ranks for all the equity-based indices, like so:



The modality of this chart provides me with a strong sense of overall market status.  Note how the markets' recent pullback within an environment of upward strength has pushed many of the ETFs into the highest scoring quintile.  Also, it is abundantly clear with the strong rightward skew how preternaturally strong this market has been.  Lastly, it is also a good touchstone against which to compare any individual ETFs of interest.  In the future, I will make note of any major changes to the modality of this chart in my weekly ETF Rewind summary.

Out-of-Sample Performance

As a first-pass test of the out-of-sample efficacy of the ranks, I ran the scores for all the ETFs as of twenty-days ago, and then again as of sixty-days ago. The upper panels of the chart below show the backward looking/ in-sample performance of the ranks as of the date of those respective runs for the two periods (left  = 20-days; right = 60-days):



The forward, out-of-sample performance for the same ETFs as ranked in the upper half during the ensuing twenty- and sixty-day periods is then shown in the lower half.  As you can see, the relative out-performance/dispersion of the higher ETFRank'ed securities held up admirably.

This has been a very trendy period within a relatively stable beta seeking regime, so I will grant that I need to conduct the same type of testing over a far greater sampling for a thorough evaluation.  However, I strongly suspect the ETFRanks will hold up well. 

[See also Home of Mrkt Metrics]



As a postscript, this is my personal attempt at an inclusive ranking system.  Yes, it's built into the ETFR, and yes I'm keeping it 'proprietary', but I promise that it isn't rocket science and there are no 'magic formulas' involved. Rather,  I hope between the article and the comments below that you find enough raw material and inspiration to attempt your own.

Friday, September 25, 2009

Mrkt_Rwnd: Home of "Mrkt Metrics"

Those of you who know me by my chat name, "Mrkt_Rwnd", will better understand this title.

After a several-week test period, it's time to proclaim Market Rewind the official home of "Mrkt Metrics." The purpose of the metric gauges is to port some of the dashboard indicators found in the nightly ETF Rewind into a real-time widget.

The metrics are simple, yet important measures of the current market environment, described as follows (calculations are delayed 15-minutes):

1. Daily Sentiment - Harkening back to my old market sentiment series of articles from nearly two years ago, this indicator tallies eight inter-market spreads as a proxy measure of inter-day market strength. My premise is that all eight spreads will fire to the positive during highly bullish days and vice versa. More on this powerful confirming indicator in future posts.

2. Short-Term Overbought/ Oversold - This oscillator is based on a very short-term, multi-day weighted Relative Strength Indicator (RSI). To be consistent with the other gauges, however, low readings represent an overbought/red state, while high readings represent an oversold/green state.

3. Market Normalcy - This indicator is based on the absolute number of standard deviations price is from its mean over an intermediate-period. Extremely low readings represent highly non-normal environments. When these are observed, smaller position sizes may be warranted, especially if you are trying to fade the current short-term directional trend.

4. Short-Term Trend - This is a very short-term z-score measure indicating current directional price momentum.

5. Intermediate-Term Trend - This is a composite score using intermediate z-scores and RSIs.

6. Long-Term Trend - A long-term z-score. Looking at all three time-frame trend indicators together should provide an excellent directional tell. And, when the intermediate- and long-term indicators swing south together, watch out for your long-term holds!  By the same token, if they push their statistical limits too hard, a larger structural mean-reversion may be in the cards.

All gauges range from 0 to 100 with higher readings representing more positive states.

Missing from the full ETF Rewind dashboard are the trend versus mean-reversion environment indicators, and some other useful volatility based indicators that were a bit more difficult to easily replicate in Google Docs. Nevertheless, I hope you'll find it a good near real-time perspective of the current market state.

[See also Home of ETFRanks]

09.25.09 - Unable to Bounce


The markets were unable to turn around two days of losses, leaving us quite oversold going into the end of  month.  Although Cumulative Tick is net positive, it seems all internals are downward sloping even as the VIX has risen sharply (more significant on a Friday), and Down Volume begins to outpace Up Volume.  Also, the five-day moving average is now downward sloping.  On the other hand, the S&P 500 is sitting right on it's twenty-day moving average, which has proven strong support during recent bull-market dips.  Also note the large potentially supportive volume spike right as we hit that level/ SPX +/-1,035.

Never Investment Advice

Thursday, September 24, 2009

09.24.09 - Downside Follow Through


Well, we can be a little surprised no?  The short-term trend was definitely set downward yesterday, and yet this follow through puts us near oversold on a very short-term basis.  Internals look rather ghastly at the mid-day, although price so far has held in this narrowing range just above the NASDAQ 100's daily S2 level (say QQQQ $41.90) Even so, the high correlation among all the sectors and extreme internal readings have me thinking trend-day just now.

The "space" between the twenty- and thirty-day moving averages has provided strong support during past rally dips, so I will be keeping a close eye on those (say near SPY $104).

Wednesday, September 23, 2009

September FOMC Statement Blue-Line Comparison

Blue-lined comparison of September versus August FOMC statement. Also see past Fed-Day reactions on this nifty little site. [Click Graphic to Enlarge]

09.23.09 - Fed Day Wednesday


Following the recent pattern, the SPY morning gap closed down to S1/5-DMA, where it found immediate support. Initially weak internals have been repairing since the first higher low, and will soon be challenging the opening highs. I expect we will flatten out going into the FOMC announcement, with a volatility spike soon thereafter. What, you wanted the direction! Come back after the announcement for the red-lined markup comparing this statement to the last one (here).

Tuesday, September 22, 2009

09.22.09 - Working on New Highs

The SPY is at new highs for the year considering last week's dividend. There was a very tradeable opportunity to get in on the gap move right after the second pullback catch at the 500-minute ema based on confirmation of a falling VIX, generally strong Advance - Decline line, a healthy and advancing Cumulative Tick, and more than anything else perhaps, heavily outpacing Up Volume. I will grant, however, that the pre-Fed day volume is on the light side.

Monday, September 21, 2009

09.21.09 - Early Recovery

Higher price and tick lows repeatedly challenging upper resistance at the 250-minute ema were a good clue price would break higher. However, after nearly filling the (post-session) gap, the S&P is struggling, cumulative tick is leaning negative and down volume continues to outpace. The real action, obviously, has been in the NASDAQ 100, up nearly 30 basis points on the day. Even though internals look fair to middling at best, the 500 minute ema is now providing effective support and it has paid to be prepared for upside risk of late.

Sunday, September 20, 2009

ETF Rewind - Week 38 (09/18/09)

 (Click Image to Enlarge/ Glossary)

The markets put in another positive performance with the S&P 500 (SPY) closing higher by +2.3%. The Relative Strength Index charts below reflect the virtually unique persistent short-term strength we have been witnessing.

Week Thirty-Nine of 2009 features the following reporting calendars and FOMC meeting:
If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's nightly ETF Rewind Pro service. In addition to coverage of nearly 200 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

Enjoy your weekend!

 
Never Investment Advice

Friday, September 18, 2009

09.18.09 - Quadruple Expiration Friday


First hour volume was tremendous on this quadruple witching expiration day (stock index futures, stock index options, stock options and single stock futures).  The SPY looks worse on my charts than it actually is, as it went ex-dividend today to the tune of 61 cents.  While internals got off to a rocky start, the outlook is beginning to improve and cumulative tick is marching nicely higher.

Thursday, September 17, 2009

09.17.09 - Blow Off Top?

Well, that would be a pretty presumptuous statement, no? Hey, but it feels good to have written it! The morning test of R1 failed precisely , now down to the daily pivot and back within yesterday's range. Internals are fairly negative and my sentiment indicator is pushing neutral to negative. Not surprisingly, the Semi's (SMH) have been hit particularly hard, down -1.8%.  This doesn't auger well for the afternoon session, but how many times has this market been saved by the bell?  For now, let's see if that pivot can hold else next SPY support at $106 and a quarter.

Never Investment Advice

Wednesday, September 16, 2009

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  2. VIX and More - Bill Luby's weekend subscriber letter provides a global overview on equities while tackling macroeconomic issues and fundamental analysis alike, not to mention Bill's unique and well regarded views on market volatility and its implications for the week ahead.

  3. Market Rewind - How does your portfolio stack up to the market? What's working now? Take a deep-dive each night into over 190 ETFs while maintaining a broad perspective over twelve major asset classes with ETF Rewind Pro.

    If that weren't enough, actionable model portfolio ideas, mechanical timing signals, nightly commentary, pairs trading, and custom portfolio correlation and optimization analytics are all included!
As part of the three-day trial period, you will receive three evening editions of Jeff's ETF Rewind Pro, as well as Rob and Bill's most recent weekly subscriber letters for evaluation.

The annual subscription fee of $865 (about $72 per month ~ a 25% discount) clears through Market Rewind's secure PayPal site (Maple Park Management, LLC). Should you already be a subscriber to any of the respective publications, that author will rebate you the prorated portion of your current subscription.

You aren't likely to find a better bargain for as much of a diverse informed edge anywhere else on the web. Why not give it a try?



Note: Each service is subject to the respective author's disclaimers and notices.

09.16.09 - Motoring Higher

Equity prices have broken out above their early October 2008 oscillations and look set to fill some of the gaps lower from September one year ago (SPY $110 anyone?). Internals are very strong and at trend-day levels, if you hadn't guessed.  52-week new highs are also expanding to levels not seen in years, as you would expect after the major extended decline.

Tuesday, September 15, 2009

09.15.09 - Retesting Preopen Highs

After a brief spate of opening sell pressure, the S&P 500 held its ground firmly at the daily pivot and price is now challenging pre-session highs up and over the October 14th 2008 reaction. Internals have continued to improve and now look quite bullish headed into the close.

Introducing DiNapoli on the Dollar/Yen


I am honored to feature this guest article by active currency trader and friend, Derek Ching. Derek maintains a Series 3 & 30 license as a registered CTA (commodity trade advisor) with the National Futures Association. As managing director for Hawaii Forex, he provides technical training and strategies for professional traders on DiNapoli Levels, a sophisticated form of advanced Fibonacci analysis. More information can be found at http://www.hawaiiforex.com/. Republication Rights Granted.

Since April the value of the US dollar (USD) has steadily lost value against the Yen (JPY). Across the Asia Pacific, the USD/JPY cross rate remains a key gauge or barometer of a two-way play of global economic fundamentals and risk aversion.

The barometer has experienced many high and low points in the last 26 months. In June 2007 the USD/JPY traded a five-year high of 124.16 to the USD. As far as the fundamentals were concerned, that five-year high was more about a weaker Yen, rather than a stronger US Dollar. Over these 26 months, through better and worse, USD/JPY has declined as the Yen has appreciated 25 percent against the US Dollar.

Chart 1. DiNapoli MACD Predictor

[Click Charts to Expand]

This 25 percent decline in USD/JPY is illustrated in Chart 1, with the initial change of trend signal appearing soon after the USD/JPY five-year high in June 2007. The red line over the price bars illustrate the MACD predictor (referred to as DiNapoliMP or “DiNapoli MACD predictor”). The regular DiNapoli MACD is shown at the bottom the chart.

The mechanics of the predictor are relatively simple. As shown in the chart when the price of USD/JPY fell below the red line on the price axis (MACD predictor), the corresponding trend as shown on the regular DiNapoli MACD is bearish (the MACD line is below the blue MACD signal line). The advantage of the MACD predictor is it gives a specific point reading on the price axis when the trend on the regular MACD is turning up or down ahead of market action. That price point for mid 2007 was a close below 118.60 for a confirmed bearish trend.

Fast forward and the USD/JPY is now trading circa 92.00. There have been some key turning points over the past 26 months, no more so than the vacuum on global risk appetite produced by the events of the third quarter of 2008.

As the risk of systemic failures grew in the third quarter of 2008, investors shed risk in earnest and moved to liquidate a five year trend of carry trades. The carry trade is the well-known strategy that involves global investors borrowing Yen and investing it in another domicile, typically directed to stocks, commodities or emerging markets. The estimated size of the carry trades was in the vicinity of ¥1.2 trillion in 2008.

For five years carry trades had been facilitated with an abundance of Yen liquidity and low interest rates in Japan. The subsequent buying back of Yen saw USD/JPY fall 21% from August 2008 lows to a low of 87.11 in December 2008 (Chart 2). Momentum into the 87.11 low during December 2008 provided the next DiNapoli signal.

Chart 2 illustrates the DiNapoli Oscillator Predictor (OP) that provides overbought and oversold levels. Note the low formed during October 2008 near the OP oversold level (Price low = 90.88 Oversold level = 91.18). The price low illustrated in Dec 2008 was well oversold with the low at 87.11 and lower OS band value at 88.59. This presents a long term DiNapoli bullish opportunity, which can better defined by narrowing the lens to a daily chart.

Chart 2. DiNapoli Oscillator Predictor


Chart 3. DiNapoli Trend Trade on Fading Stochastics


Chart 3 presents the bullish opportunity in December 2008 presented in Chart 2 with a daily timeframe with an MACD predictor line and a stochastic indicator at the bottom of the chart. The refined buy signal according to DiNapoli technique is not given at the crossover of price and the MACD predictor line, rather seven sessions later on 30 December 2008.

The refined entry (in purple) occurs on the fading of the DiNapoli preferred stochastic, that is the %K red line moves from above to below the %D blue line. Note the stochastic actually turned down in the midst of a strong bullish trend. The buy signal is generated on the probability the weaker Stochastic will correct itself in line with a strong trend in the DiNapoli MACD setting.

Chart 4 presents the same time period as Chart 3 for the USD/JPY and incorporates the DiNapoli Oscillator Predictor band to produce a Logical Profit Objective (LPO). The target price for the long generated on 30 December 2008 is represented by the upper predictor band (in blue) at 93.14 on 5 January 2009.

Chart 4. DiNapoli Logical Profit Objective (LPO)


Chart 5 presents another DiNapoli trade signal that soon followed the conclusion of the long view on 5 January 2009.

Adopting a weekly perspective, a longer position play was signaled in February 2009. Chart 5 illustrates a longer term weekly pattern signal using the DiNapoli displaced moving average (DMA), illustrated by a blue line. Parameters are referenced from the book Trading with DiNapoli Levels.

Because of the specific format of the crossovers into the week of 6 February 2009, a reversal “Double Repo” pattern appeared, completed as the initial signal bar closed above the DMA at the end of the week. The next step for a DiNapoli trader would be to again alternate the timeframe to a daily chart, to evaluate a trade entry.

Chart 5. DiNapoli DMA & the Double Repo


In breaking down the weekly entry signal of Chart 5, the DiNapoli oscillator predictor is applied in Chart 6 on a daily timeframe. The proximity of the price of USD/JPY to the overbought band illustrates that an attempt to enter at the high of the weekly signal would be a mistake given resistance and the overbought level near 92.16. To further fine tune the entry price, a DiNapoli Retracement tool is applied to produce a “K” confluence zone (purple range) for entry consideration.

Chart 6. DiNapoli Retracement and the “K” Confluence Zone


Chart 7 presents a weekly chart, the relevant timeframe to assess a longer term view of logical profit objectives based on DiNapoli levels. These levels incorporate Fibonacci Levels, rather than DiNapoli Oscillator Predictor band. As initially illustrated in Chart 1, the higher price objective near 101.66 represents a “K” confluence level of resistance. This resistance level provided a trade target in April 2009.

Chart 7. Logical Profit Objective (LPO) using DiNapoli Levels


Since the 101.66 resistance served in April 2009, the USD/JPY has declined. In fact, the subsequent months saw dynamic pressure from resistance at that “K” level of confluence in the USD/JPY illustrated in Chart 1. DiNapoli levels had forecasted strong resistance at “K” on the monthly chart several months earlier producing a confluence level from the low of 12/2008 well in advance. Following the election of the Democratic Party of Japan (DPJ), the USD/JPY traded down to its July 2009 low near 92.00.

Despite the USD encountering post election support against the Yen near 92.00, the fundamental future for the Yen certainly looks stronger. It is certainly the subject of debate if five years of carry trades were liquidated within the space five months. However, caveat emptor, the carry trade could return to the radar with the expectation that the US Federal Reserve starts raising interest rates in March 2010, sustainable time for industrial production and employment to bounce.

Moreover the catalysts for the two major waves of weakness of the Yen over the past 18 months cannot be entirely put to rest be it, energy price risk, risk aversion and carry trade, cyclical downturn, trade and corporate outlooks. The first wave spanned 6 months from March to August 2008 and the second wave spanned January to April 2009. Both these declines saw Yen shed 15 percent to the US dollar.

Further, Japan’s state of economic health going into 2008 and the inability to rebalance or restructure its economy like South Korea and China has seen underperformance in the recovery of the Nikkei 225. The decline in the Yen was only salvaged by a return of global risk appetite in March 2009.

The future trajectory of the USD/JPY will be influenced by the world at large and the rebalancing acts that can be managed by the DPJ. While the current trend suggests further Yen strength, the Bank of Japan is also to be tested with global central banks breaking from their unilateral policy framework to accommodate divergent economic outlooks.

An Intraday Example

An intraday example could be seen during the recent non-farm payroll report at 12:30a GMT on 09/04/09. The USD/JPY had hit a high at the 61.8 retracement node near "K" confluence just after US unemployment data showed some optimism with non-farm payrolls (NFP) falling in August by 216,000 being less than the forecast of 230,000 illustrating a slowing down of job losses in the US. As derived from the "F" focal point low on 9/3/09 4:00 GMT bar, "K" was created in advance via reactions 1 & 2 as shown by the 4 hr chart where resistance is at as of this posting.


From a trading perspective, the application of technical analysis using DiNapoli Levels allows one to adequately manage risk across markets, especially in Forex. The beauty of this approach is that there is little guesswork by relating a practical application of Fibonacci techniques to forecast opportunities in advance entering on a retracement and exiting at predetermined profit objectives.

Those interested in trading currencies may consider E-Micro FX products at the CME (Chicago Mercantile Exchange), allowing complete market transparency with over $100 billion in daily liquidity. Over-the-counter or “spot” dealers should be scrutinized carefully as off-exchange retail foreign currency products/services are not conducted on an exchange unlike futures accounts.

Further education and training of DiNapoli levels can be found at Hawaii Forex (http://www.hawaiiforex.com/).

Monday, September 14, 2009

09.14.09 - Gap Fill & Lateral Trade

The early gap bounce off the five-day moving average and fill has faded to a lateral trade with up and down volume about evenly matched and the advance - decline line likewise running sideways near zero. Cumulative tick paints a more optimistic picture, but until it is aligned with the other internals, I'm reluctant to trade on it.

Saturday, September 12, 2009

ETF Rewind - Week 37 (09/11/09)

(Click Image to Enlarge/ Glossary)

The markets moved back into bull mode last week with another one of those performances often not seen in a year, let alone four days. In fact, the S&P 500 (SPY) closed higher by another +4.1%. Among the tracked ETFs, only Agriculture (DBA), Twenty-Year Treasuries (TLT), and the US Dollar (UUP) closed lower. Many ETFs still look fairly overbought on a very short-term basis, but Friday's cooling reduced the number of securities in that category, and longer-term strength continues to build.

Week Thirty-Eight of 2009 features the following reporting calendars:
If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's nightly ETF Rewind Pro service. In addition to coverage of nearly 200 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

Enjoy your weekend!

Never Investment Advice

Friday, September 11, 2009

09.11.09 - Negative Drift

After marking new highs in the early morning session, equities are struggling under their declining VWAPs and apparently heading towards their respective pivots. The semis are being hit particularly hard. Cumulative Tick and Advance-Decline slopes continue to deteriorate, although down volume is only slightly outpacing up volume at this time. ETF Rewind kicked out an official short-signal last night, not that those have worked out tremendously well during the last six months!

Thursday, September 10, 2009

09.10.09 - Slow to Gather Steam

The S&P is making its second attempt to break R1 (say $104.20) on growing strength in the internals. At this point, I assume we break that resistance with everything aligned to the upside. However, as moderated at they are, I'm not looking for any kind of big move one way or the other even though the recent volatility crush suggests one may be brewing. We'll see.

Wednesday, September 9, 2009

09.09.09 - Strong Internals

Internals are strong and increasingly so, although that last volume peak has price taking pause. It's easy in hindsight to see yesterday as consolidation -- but this last up-move puts us into better defined overbought territory on the daily time frame. It will be curious to see whether and how authoritatively we can break the August swing highs just about here.

Those with Firefox browsers can see the "battle" between my live intra-day sentiment indicator and short-term overbought/ oversold oscillator to the right. More on these when I figure out how to make them cross-browser compatible.

Tuesday, September 8, 2009

09.08.09 - Taking Stock

US equities gapped higher on overseas strength during the Monday holiday and more M&A news. At the mid-day, internals are mostly positive with the exception of cumulative tick, suggesting a cumulative proclivity to sell at the bid as price runs sideways beneath the VWAP.

Monday, September 7, 2009

ETF Rewind - Week 36 (09/04/09)

(Click Image to Enlarge/ Glossary)

In spite of higher markets across the board after Friday's Jobs report showing a higher than expected unemployment rate set against fewer job losses and greater household earnings, US equities finished the week mostly lower with the S&P 500 (SPY) down some -1.3%. In fact, among the tracked ETFs, only Emerging Markets (EEM), Transports (IYT), Consumer Staples (XLP) and Precious Metals (DBP) were spared for the week.

Holiday shortened Week Thirty-Seven of 2009 features a commensurately briefer economic calendars, as follows:
If you are interested in a significantly more thorough version of this weekly summary, consider taking a look at Market Rewind's nightly ETF Rewind Pro service. In addition to coverage of nearly 200 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading and various portfolio management tools.

I do hope that you enjoyed your long weekend!

Never Investment Advice

Friday, September 4, 2009

09.04.09 - Breakout Back Above 20-DMA

That little push off the VWAP on a very nice alignment of a falling VIX, rising Cumulative Tick and Advance - Decline lines all on outpacing Up Volume puts the SPY back above its five- and twenty-day moving averages. While relative volume is coming back off that move, I'd be careful with fades until we see how many shorts are inclined to use pullbacks to run for cover, so to speak.

Also be advised that it's easy for the markets to be pushed around with volume as low as it is in this pre-holiday session, so fast breaks like this are always a possibility in either direction.

Thursday, September 3, 2009

August 2009 Rewind - Running On Empty?

[GRAPHIC FIXED -THANKS!] Equities put in another august performance last month, but in some ways discussed below, the rally started to feel as if it were slowly running out of gas. For August, the S&P 500, Dow Jones Industrials and NASDAQ 100 cash indices once again posted positive results of +3.36%, +3.54% and +1.36%, respectively, leaving them all up nicely on the year.

While we have certainly seen some more obvious cracks in the market advance in the first days of September, I note below that there were some early warning signs last month in the lagging performance of the leading NASDAQ 100, and an actual negative result in the Small-Cap Growth stocks. So far the retrace has been mild at best. With the majority of earnings now out of the way, the reaction to tomorrow's jobs report may well set the tone for the balance of the month.

Sentiment: Positive
Volatility: Narrow (VIX 24-27)
Direction: Higher

[Click to Enlarge/ Weekly ETF Analyses]


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.

09.03.09 - Stuck in Second Gear

Internals are largely positive or at least positive sloping; but the market clearly lacks momentum and we are left sitting here near the daily VWAP. I am again having internet issues and for some reason cannot post images to blogger, so here is the twitpic link.

Update: Turned out to be a nice bottom retest earlier today and internals looking quite good going into the close.

Wednesday, September 2, 2009

09.02.09 - Pause after the Fall

Equities put in an early floor near SPY $99.60 this morning after their multi-day drop.  However, we have seen little conviction towards a recovery attempt as yet.  That said, volume has slowed during the last two hours, suggesting the momentum slide has neared an end for now.

The Cumulative Tick and Advance - Decline lines are going sideways, suggesting a range trade environment.  Nevertheless, I'm "hopeful" for an afternoon bounce, maybe after the FOMC minutes.  That said, if we can't see more upside vigor going into the close, it may not auger well considering how short-term oversold we have become.  Meanwhile, I'm watching GLD continue its powerful breakout...

Tuesday, September 1, 2009

09.01.09 - A.M. Roller Coaster

The market has put in a large range expansion, logging two easy on the eyes trades all the way down to this congestion zone into the early August swing-high range (SPY $100-101). Internals are highly negative with rather severe momentum, suggesting that to me there could be further downside in the P.M. session after this first reaction pause.

Well, that would be a recent first, wouldn't it!? [GRAPHIC]