Thursday, July 29, 2010

The End of Market Rewind - On Airs, Waters & Places

Well, it's not quite that dramatic....  However, after three years and well over a kilobyte of posts here (1,026 to be exact), it's time to raise our foundation and move the Rewind to greener pastures over at a new address:  ETF Prophet!

I remember when I started Market Rewind not long before "the big bang" -- Bill a.k.a. NoDooDahs and Traderfeed were my aspirational bloggers!  They are now both gone, and this old-school blog is starting to look quite 1.0 as well in spite of my periodic maintenance efforts.

Mostly though, financial blogging is a bit of lonely enterprise, and it takes a lot of time and effort to maintain a desired standard of excellence as a solo shop.  Therefore, I have joined forces to collaborate with seven other top-notch active traders who have my utmost respect for a combined effort. 

Several of the names you will recognize, others are new to the blog-o-sphere, but all are top-rate high performance traders:

Yes, a small play on words, but mostly a locale where we hope to raise the bar while having fun and breaking down some of the vertical barriers between disciplines and authors.

Those of you who visit this site frequently know it is a veritable treasure trove of studies and commentary (see "The Vault"), and I will thus keep it posted here for whatever that is worth.  Meanwhile, come join us, won't you!? [Bookmark This Site]
"Life is short, [the] art long, opportunity fleeting, experiment treacherous, judgment difficult."~ Hippocrates
Last but not least, thank you all for your kind support these past several years!

Cheers, Mrkt_Rwnd

07.29.10 - Overdue Technical Pullback Arrives

Here it is, two or three days off schedule, but here nevertheless.  Semi's have really led this move.  I'm watching the SPY closely for indicated support in the $109 range right here near S2 with a possible higher low put in and with the five-day moving average still rising.  However, I'd like to see internals confirm, particularly cumulative tick.  Whether this is bought between here and the high $108 range will tell us alot about the recent rally effort.  Obviously GDP looms large tomorrow. 

This will be my last substantive post at Market Rewind.  Stay tuned later in the day for an elaboration.

Wednesday, July 28, 2010

All Good Things Must Come to an End?

And with every closed door, an open window... to be continued....

07.28.10 - Semi's Lead Sell Pressure

The market is "finally" experiencing mild sell pressure after it's recent explosive move higher.  While Semi's (SMH) have been leading the way down and I'll be keeping a close eye on those, overall internals are mixed with positive cumulative tick set against marginally higher down volume and negative advancers - decliners.  Therefore, I am not expecting a major breakdown at this time.  Certainly jobless claims and GDP will play strongly going into the end of the week and there may be some nervousness going into those after two negative economic reports earlier in the week.

What is that below?  Hmmm.....  Re-publishers, please contact me about Market Rewind RSS feed going forward.  Yes, this is a Mary had a little lamb test!  Are you reading?

Tuesday, July 27, 2010

07.27.10 - Sitting on the 200-Day Moving Average

Up and Down Volume are well matched and, with the easy a.m. fade over, there is no clear trend going into the afternoon session.  However, as overbought as we are on the daily time frame, I am on guard for prospective downside even as price is holding up admirably after several consecutive accumulation days.

Monday, July 26, 2010

07.26.10 - Positive Internals Getting Stretched

Internals are very strong this follow-through Monday, although we are seeing initial resistance at R1 and daily time-frame indicators are in official overbought territory even as the 200-dma has proven a strong magnet and intermediate signals are beginning to align to the long-side.

Sunday, July 25, 2010

ETF Rewind - Week 29 (7/23/10)

(Click Image to Enlarge/ ETF Rewind Glossary)

Equities rebounded last week, breaking down-channel resistance and registering higher lows.  In fact, the S&P 500 (SPY) managed to break above its fifty-day moving average and came within a hair of going positive relative to its ten-month moving average, finishing  higher by +3.5% on the week.  The major indices are slightly overbought going into the final week of July, but only mildly so and with the European Bank "Stress-Tests" out of the way and a predominance of upside earnings surprises, I'd suppose at least even odds that markets can continue to repair the last couple months' damage.

Week Thirty of 2010 features a busier economic reporting calendar including Housing, Beige Book and Gross Domestic Product estimates:
I hope you are having a terrific weekend!

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 over 200 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading, rotation modeling, and various powerful portfolio management tools.

Never Investment Advice: Prior Weekly Summaries: ETF Rotation Models

Friday, July 23, 2010

Friday Fun - What Should Never Be

07.23.10 - Post CEBS Struggle Above Pivot

Markets are struggling to digest yesterday's outsized gains after the European Bank Stress Test release, which in itself was a bit of a non-event.  At this point, internals continue to suggest more sideways trade into the pm session, although I'd like to see the NASDAQ begin to hold its ground more firmly and soon.

Thursday, July 22, 2010

07.22.10 - Power Tick

As is often the case, the outsized gap higher held and ran on better than expected Euro-zone and earnings reports. Volume is slightly better than yesterday and internals suggest price should hold or improve on VWAP. However, I will note that next resistance is just above at the 200-dema near SPY $110.  Meanwhile, it's good to see price back above its 50-dsma -- IF that can flatten out in the days ahead, bulls will no doubt take heart.

Wednesday, July 21, 2010

07.21.10 - Consolidation Above 5-DMA

It's good to be back, still getting in touch with the rhythm of the market, but don't see any real surprises. Today's gap tested the flattening five-day moving average and held, but internals are really running sideways and price is now hanging around its VWAP ahead of Uncle Ben.

Monday, July 12, 2010

Mkt_Rwnd On Summer Break (July 12-20)

Trade/ Invest Like Champions
You Captains of Industry!



June 2010 Rewind - June Swoon

June's economic data provided little respite for those doubting the global slowing theory.  The S&P 500, Dow Jones Industrials and NASDAQ 100 cash indices again finished lower for the month by -5.39%, -3.58%, and -6.11%, respectively.

The holiday-shortened first week of July provided a solid reversal, however, and traders will be undoubtedly be keenly watching each earnings report for signs of where markets go from here.  Any early mixed results are almost certain to keep volatility high unless a series of strong cross-sector beats emerges.

Sentiment: Negative
Volatility: Moderate (VIX 23-37)
Direction: Highly Negative




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 27 (7/9/10)

(Click Image to Enlarge/ ETF Rewind Glossary)

The market finally got its reversal, repairing most of the prior week's damage, leaving the S&P 500 (SPY) higher by +5.1% for the best weekly performance of the year.  However, we are now just as short-term overbought as we were recently oversold, and only earnings will tell where we go from here.

Week Twenty-Eight of 2010 presents the following reporting calendars featuring retail sales, the FOMC minutes, and the start of Q2 earnings:
Lastly, in accordance with a more positive intermediate-term outlook, I noted a couple of more encouraging historical analogues popping up on our weekly simile analysis, provided hereI will be on vacation next week -- have a good one!

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 over 200 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading, rotation modeling, and various powerful portfolio management tools.

Never Investment Advice: Prior Weekly Summaries: ETF Rotation Models

Friday, July 9, 2010

Aggregate M & Z Indicators Now Part of ETF Rewind!

CSS Analytic's Aggregate M & Z indicators, two powerful multi-period cross-trend/ reversion indicators, are now incorporated into our nightly reports for all of ETF Rewind's 200-plus core index tracking list. Indeed, the summed reading of how many are on a buy or sell levels across category lists may be a powerful analysis in its own right.

Here are links explaining more about the indicators and their construction:

Agg-M - Trade With The Trend Using AggM as a Filter
Agg-Z - Another Composite Trend/Mean Reversion Indicator

If you like the looks of those equity curves, you really owe it to yourself to explore David Varadi's innovative work further at his DV Indicators site*.

Friday Fun - Walking on the Moon

07.09.10 - Near 20-DMA Tag

The SPY came very close to tagging its falling twenty-day moving average this morning. Internals are positive and, short of a late pre-weekend bid lift, I am looking for a modestly positive afternoon session. Although we are near-term overbought, intermediate indicators are beginning to trigger buy signals. These cross-currents could make for a most interesting kick-off to earnings season next week coming off of a prospective corrective bottom.

Thursday, July 8, 2010

07.08.10 - Digesting the Move

The market is trading in mixed fashion depending on the index, but internals are generally healthy and it's good to see yesterday's gains being evenly digested.  Looking ahead, progressive resistance on the SPY should start near the twenty-day moving average of $107.75, up through 50/200-day moving average convergence zone in the $110 to $111 area.

Wednesday, July 7, 2010

07.07.10 - Trend Day

A day after the Russell tagged official "bear market" correction levels, we are seeing a nice bounce with internals strongly sloped to the upside. Although the NASDAQ 100 is running just under its "R1" level, breadth is strong enough that we should have a good chance of breaking through. It's good to see the five-day moving averages flattening out.

Tuesday, July 6, 2010

07.06.10 - Tick Trending Down against Gap

You can see how the downward sloping dotted magenta five-day moving averages acted as significant technical resistance today, precipitating all manner of hedging and profit taking at the mid-day, no doubt.  Relative volume is building, we'll see if it can stop the fall at its cessation point going into the afternoon (solid white).

Monday, July 5, 2010

ETF Rewind - Week 26 (7/2/10)

(Click Image to Enlarge/ ETF Rewind Glossary)

After another week of serious downdraft leaving the S&P 500 (SPY) lower by another -5.3% on the week and nearly -4% in a month, the major US indices are now extremely oversold with the NASDAQ 100 down a record ten consecutive sessions. Going into the holiday shortened week, Week Twenty-Seven of 2010 likewise presents a more than proportionately light reporting calendar:
I hope you have a terrific long weekend!

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 over 200 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading, rotation modeling, and various powerful portfolio management tools.

Never Investment Advice: Prior Weekly Summaries: ETF Rotation Models

Friday, July 2, 2010

Friday Fun - The Final Countdown

07.02.10 - Record Down Days

Looks like some of the major indices are set up for record setting consecutive down days.  SPY price is just above S1/ yesterday's lows, but internals are quite negative going into the long weekend at this point.

Thursday, July 1, 2010

07.01.10 - Nauseating Reversal

Was that enough for now? Volume is certainly heavy enough, we are at the half and there must be institutions with fixed allocation parameters that are looking at forced rebalancing here, if not soon. The VIX tagged 37.5 before the reversal just above yesterday's indicated long-term Fib support. If this can catch I suspect it may run a while if jobs doesn't surprise too badly to the downside -- though I don't mean to imply we are out of the woods here by any means.

Wednesday, June 30, 2010

Feeling Like Summer 2009?

H1N2010

H1 2010 -- Is it a virus, or the first half stock market performance on the year? Here is a small slice from ETF Rewind showing percentage changes for major indices, caps, styles and sectors during the last three, six and twelve month periods.

It's no surprise that the internationals were the hardest hit, but that's a lot of red no matter how you spin it. Preferred Stocks and the Real Estate Sector were the relative winners. I'm always left scratching my head on the latter, although I understand many REITs used the most recent run higher to substantially recapitalize. [Click Image to Magnify]

06.30.10 - Sluggish EOQ Trade

Internals and inter-market sentiment are positive at the mid-day, but not trending and price action is very sluggish with the SPY just holding onto its up-trending VWAP.

Tuesday, June 29, 2010

Relative Volatility & Comparative Mean Reversion Strategy Performance

It is simple intuition that mean reversion systems should outperform during periods of greater volatility when higher noise levels permit stronger relative returns. In an attempt to quantify the level of comparative returns, this study segregates average daily returns for a simple, well known Relative Strength Index (RSI) strategy as our mean reversion proxy according to varying levels of ranked Historic Volatility (HV).

By ranking HV, we are provided with a responsive rolling window of relative volatility that self-considers historical context and is thus far superior to fixed level analysis, as follows using the S&P 500 SPY Exchange Traded Fund as our trading vehicle:

As shown, the long-short strategy outperformed slightly in all environments on a frictionless, simple/ non-compounded basis. However, as volatility rose to upper traunches over the 2,385-day study period, the comparative level of daily edge increased significantly. Indeed, as expected, daily buy-and-hold returns actually went net negative past the median point.

However, as traders it's a goal to maximize returns per trade and strategy returns would have undoubtedly been significantly diluted by trading costs as volatility fell. Therefore, one can imagine a creative strategy that emphasizes mean reversion systems as volatility rises and vice-versa favoring long-side holds as volatility falls towards its lower quartile.

By the same token, it's important for new traders to recognize that mean reversion strategy returns can themselves be on the margin and volatile on days like today when the market is down a couple hundred points. Can you guess what buy/sell signal the proxy system is on today?

[Relative Ranked Volatility has been added to the nightly ETF Rewind dashboard.]

Never Investment Advice

06.29.10 - "Shanghai Surprise"

Yesterday's stand-off was settled today with a sizable opening gap and run to the downside, breaking potential trend line support near SPY $105. Whereas yesterday's volume was the lightest of the month, we are now near highs -- true distribution. Price action is catching its breath at the mid-day, but internals are very very negative and I don't feel compelled to add to my small long positions just yet.

It's difficult to draw next support from a technical standpoint as so much time has passed since prior key levels and the fear trade is definitively on. However, I'll draw a fat mark somewhere between SPY $100-103 as a next target with a bias to $101 [edit: whoops, meant $102].

Monday, June 28, 2010

06.28.10 - Bull - Bear Standoff

Today's graphic is worth a thousand words. Profit taking on the first thrust attempt to log a higher high were immediately pushed back to the daily VWAP.

Sunday, June 27, 2010

ETF Rewind - Week 25 (6/25/10)


(Click Image to Enlarge/ ETF Rewind Glossary)

Our technical rotation models' call to remain in currencies and bonds ended up being the correct one as equities moved relentlessly lower for a -3.5% week-over-week decline in the S&P 500 (SPY). Even worse off were Consumer Discretionaries (XLY -5.1%) and Energy (XLE -5.6%) on the slower than anticipated final GDP readings. However, breadth and short-term relative strength indicators hooked a bit higher Friday, we'll see if that can't mount into a small recovery going into the end-of-month/ quarter.

The mid-point of the year, Week Twenty-Six of 2010 brings the following busy reporting calendars:
I hope you have a terrific weekend!


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 over 200 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading, rotation modeling, and various powerful portfolio management tools.

Never Investment Advice: Prior Weekly Summaries: ETF Rotation Models

Friday, June 25, 2010

Friday Fun - Summer Jam

06.25.10 - Internals Firming

While I'll grant that price action looks just like yesterday, internals are much more supportive for the bulls and thus far price has held firmly at S1. Volume is about on par with yesterday and small-caps are leading a small recovery on this Russell re-balancing day. We are certainly 'overdue' an up move -- can we get one going into the turn of quarter?

Thursday, June 24, 2010

06.24.10 - Oversold but Internals Looking Bad

Look at cumulative tick, down volume and the AD line... not good and the news cycle is just not cooperating with oversold readings on the daily bar basis. Next SPY support looking a couple days out is another dollar or two lower near $105-106. The VIX is running just under 30.

Wednesday, June 23, 2010

June FOMC Statement Comparison

Blue-lined markup comparison of the June versus April Federal Open Market Committee statements below. Also see past Fed-Day reactions on this site, and prior statement markups here. Net net, looks like a minor economic downgrade on first review, particularly with respect to the pace of recovery...

[Click Graphic Below to Enlarge]

Did today's trade pattern surprise you? If it did, may I recommend Rob Hanna of Quantifiable Edges new e-book, "The Quantifiable Edges Guide to Fed Days". It's a tremendous compendium of over thirty years of Fed-day patterns and odds, and is well worth the small investment.

06.23.10 - S1/50% Retrace as Fed Day Support

Many overlapping key support levels colliding right about here as we face mid-day volatility evaporation ahead of the FOMC rate decision.  Don't forget to come here first for a blue-line markup of the statement.

Tuesday, June 22, 2010

06.22.10 - Stalled at the 200-Day Moving Average

The S&P500 is trading in a moderately narrow range above its VWAP and 200-day moving average, but just under its flattened five-day moving average. Although down volume still predominates, most other internals are showing a bullish leaning. Don't forget tomorrow is an FOMC day.

Monday, June 21, 2010

06.21.10 - Gap Fill Underway

Small Caps and the NASDAQ 100 have come back to their respective daily pivots. As short-term overbought as the market was, this opening gap was just too tempting to take profits on and or short. Many internals save Cumulative Tick remain net positive on an absolute basis, but at the mid-day they are obviously down sloping. I'll be looking for reversal/ end of trend anywhere between here ($112.10) and SPY $111.75 ("space" between Pivot and R1). If we do keep running lower, the rising five-day moving average about a quarter under that should provide even stronger initial technical support.

Never Investment Advice

Saturday, June 19, 2010

ETF Rewind - Week 24 (6/18/10)

(Click Image to Enlarge/ ETF Rewind Glossary)

Markets continued their march higher on falling volatility with a growing slate of tracking indices recapturing their ten-month moving averages. In fact, the week's action left the S&P 500 (SPY) higher by +2.4%.

While this has been a very nice recovery, the number of short-term overbought readings has also increased and those falling fifty-day moving averages may be tempting for short-sellers to re-initiate positions just overhead. Lastly, looking at the ranks underlying our rotation models, I see that the current US Dollar (UUP) safety position just merely missed being eclipsed by small-caps (IWM). That would be a bullish development indeed -- but we aren't quite there yet.

Nearing the mid-point of the year, Week Twenty-Five of 2010 brings housing, durable goods and a Wednesday Federal Open Market Committee Rate Statement, as follows:
I hope you have a terrific weekend!

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 over 200 ETFs across twelve major asset classes, you will find three model portfolios, daily market signals and commentary, pairs trading, rotation modeling, and various powerful portfolio management tools.

Never Investment Advice: Prior Weekly Summaries: ETF Rotation Models

Friday, June 18, 2010

Friday Fun - Keep on Rockin'

06.18.10 - Tick Struggling

In the second pane of today's graphic, you can see how cumulative tick is struggling at the mid-day. We are overbought here and it is quadruple witching -- we'll see. Looking at today's chart, also bear in mind the SPY went ex-dividend.