A few days ago, MoneyWeek magazine here in the UK supplied the
following information regarding the golden/death cross:
"...the reason I maintain that the 200-day moving average must be
sloping downis
that otherwise the death cross is not such an effective signal.
Since 1962, the S&P 500 has seen 25 occasions when the 50-day
moving average has crossed down through the 200. Of these, 13 have
resulted in continued declines. That's little better than 50:50.
"However, if you only count the incidents when the 200-day
moving average was declining, suddenly the probability of a
successful trade increases: you rule out nine of the 12 poor
signals, delay three of the accurate ones by a few days and only
miss two of the good ones..."
The converse rule does not apply to the golden cross.
The great death cross of late 2007 is one such instance in which
the 200 MA was sloping up. However, the 'delay' lasts just a few
days.
Overall, I do not know whether this modified strategy yields a
greater net profit.
Posted by philosoraptor on 23rd of Jun 2010 at 01:27 pm
Is anyone recording Wimbledon? Records are currently being
broken all over the place, involving an American. I am watching it
now. Amazing. I will say no more.................
m3 Peter's SSO and ES Daily Swing System has scaled into its
second short position. Can anyone remember the % per scale-in and
total maximum scale-ins? I have searched for the info to no
avail.
The Euro is certainly due for a short term bounce, but worth
noting the accompanying leader was written just over a month ago
(May 07) and by Niall Ferguson. Not an easy man to like, but he
certainly knows his onions...
EURUSD and GBPUSD both currently at critical support, on the
precipice - need to turn back quickly or else. Something has to
give. Volatility is surely going to continue to stay high in the
equity markets and elsewhere. The mechanical systems should be
strong performers in the medium term.
Posted by philosoraptor on 6th of May 2010 at 01:37 pm
Two SSO systems - daily and 30 min - the former is still taking
longs, the latter Matt mentioned is now only taking shorts - at
least that is my understanding of the situation...
From the BBC, "Imports and exports by air freight represent just
1% of UK trade by weight, according to the think tank Oxford
Economic Forecasting. However, in value terms, around 30% of
exports are transported by air - with the pharmaceutical industry
particularly reliant on air freight, due to the high value and low
weight of their product."
I have been playing around with Peter's m3 Divergence indicator
- when it draws what I call 'double' divergence it seems to result
in great trading opportunities. Check out the last two days on a
FAS 3 min chart - three nailed on winning trades (if I had taken
them all!)...
Correlations BETWEEN currency pairs have also been changing,
which is why it would be great if Matt continues to post his
weekend update chart of the Dollar index vs other specific Dollar
currency pairs. Hint, hint.
Posted by philosoraptor on 6th of Mar 2010 at 06:20 am
This is something I missed last month, so apols if already
posted on the blog - after their recent share split, 'Berkshire
Hathaway B' has now been added to the 'XLF' ETF. Not just added,
but with the fourth highest weighting of c. 8+%. The rub? Well,
according to this article, historically BRK/B acts more like a
Consumer Staple stock than a Financial:
As a footnote, I have just researched UYG/SKF and FAS/FAZ
individual components but can see nothing that suggests BRK/B forms
any part. Please correct me if I am wrong.
Q. given BRK/B's weighting, will XLF lose its correlation with
these other financial ETFs in future and/or particularly at key
market turning points?
Newsletter
Subscribe to our email list for regular free market updates
as well as a chance to get coupons!
The community is delayed by three days for non registered users.
Title: Modified Death Cross Strategy A
The Death Cross Is Not Always a Killer
Posted by philosoraptor on 6th of Jul 2010 at 01:59 pm
A few days ago, MoneyWeek magazine here in the UK supplied the following information regarding the golden/death cross:
"...the reason I maintain that the 200-day moving average must be sloping downis that otherwise the death cross is not such an effective signal. Since 1962, the S&P 500 has seen 25 occasions when the 50-day moving average has crossed down through the 200. Of these, 13 have resulted in continued declines. That's little better than 50:50.
"However, if you only count the incidents when the 200-day moving average was declining, suddenly the probability of a successful trade increases: you rule out nine of the 12 poor signals, delay three of the accurate ones by a few days and only miss two of the good ones..."
The converse rule does not apply to the golden cross.
The great death cross of late 2007 is one such instance in which the 200 MA was sloping up. However, the 'delay' lasts just a few days.
Overall, I do not know whether this modified strategy yields a greater net profit.
Is anyone recording Wimbledon? Records
congratulations U.S.A.!
Posted by philosoraptor on 23rd of Jun 2010 at 01:27 pm
Is anyone recording Wimbledon? Records are currently being broken all over the place, involving an American. I am watching it now. Amazing. I will say no more.................
Ah yes, thanks. Basically, the
SSO end of day system
Posted by philosoraptor on 18th of Jun 2010 at 12:25 pm
Ah yes, thanks. Basically, the system never loses. I'm all in, I've even bet the farm...
Title: m3 Daily Swing System m3
Posted by philosoraptor on 18th of Jun 2010 at 12:08 pm
m3 Peter's SSO and ES Daily Swing System has scaled into its second short position. Can anyone remember the % per scale-in and total maximum scale-ins? I have searched for the info to no avail.
Title: The End Of The
EWI had this picture in tonight's update & an excerpt
Posted by philosoraptor on 10th of Jun 2010 at 06:05 am
The Euro is certainly due for a short term bounce, but worth noting the accompanying leader was written just over a month ago (May 07) and by Niall Ferguson. Not an easy man to like, but he certainly knows his onions...
http://www.newsweek.com/2010/05/07/the-end-of-the-euro.html
Currencies
Posted by philosoraptor on 13th of May 2010 at 04:21 pm
EURUSD and GBPUSD both currently at critical support, on the precipice - need to turn back quickly or else. Something has to give. Volatility is surely going to continue to stay high in the equity markets and elsewhere. The mechanical systems should be strong performers in the medium term.
Technical Implications from Last Weeks Equity Plunge
Posted by philosoraptor on 12th of May 2010 at 01:46 pm
Are you saying proud Scots
Brown announces
Posted by philosoraptor on 10th of May 2010 at 01:03 pm
Are you saying proud Scots and Welsh are "nutters"?
Two SSO systems - daily
Questions about SSO System
Posted by philosoraptor on 6th of May 2010 at 01:37 pm
Two SSO systems - daily and 30 min - the former is still taking longs, the latter Matt mentioned is now only taking shorts - at least that is my understanding of the situation...
Matt, the different m3 moving average
M3 Switch Advanced
Posted by philosoraptor on 30th of Apr 2010 at 03:46 pm
Matt, the different m3 moving average types are as follows:
<!-- /* Font Definitions */ @font-face {font-family:"Cambria Math"; panose-1:2 4 5 3 5 4 6 3 2 4; mso-font-charset:1; mso-generic-font-family:roman; mso-font-format:other; mso-font-pitch:variable; mso-font-signature:0 0 0 0 0 0;} @font-face {font-family:Calibri; panose-1:2 15 5 2 2 2 4 3 2 4; mso-font-charset:0; mso-generic-font-family:swiss; mso-font-pitch:variable; mso-font-signature:-1610611985 1073750139 0 0 159 0;} /* Style Definitions */ p.MsoNormal, li.MsoNormal, div.MsoNormal {mso-style-unhide:no; mso-style-qformat:yes; mso-style-parent:""; margin:0cm; margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:12.0pt; font-family:"Times New Roman","serif"; mso-fareast-font-family:Calibri; mso-fareast-theme-font:minor-latin;} .MsoChpDefault {mso-style-type:export-only; mso-default-props:yes; font-size:10.0pt; mso-ansi-font-size:10.0pt; mso-bidi-font-size:10.0pt;} @page Section1 {size:612.0pt 792.0pt; margin:72.0pt 72.0pt 72.0pt 72.0pt; mso-header-margin:36.0pt; mso-footer-margin:36.0pt; mso-paper-source:0;} div.Section1 {page:Section1;} --> 1=Simple
2=Exponential
3=Weighted
4=Adaptive
5=Hull
6=Exponential Modified Hull
7=Flex
8=SuperFlex
Title: Sell GS, buy RBS? http://www.bbc.co.uk/blogs/thereporters/robertpeston/2010/04/goldman_may_owe_british_taxpay.html
Latest news blurbs on GS
Posted by philosoraptor on 16th of Apr 2010 at 02:46 pm
http://www.bbc.co.uk/blogs/thereporters/robertpeston/2010/04/goldman_may_owe_british_taxpay.html
Title: SPY Weekly Pivot Point SPY
SPX 60 Views
Posted by philosoraptor on 16th of Apr 2010 at 12:51 pm
SPY also just tested the weekly pivot point of 118.91 - a key event if closes below this level?
Title: Business impact of ash
GS - a Black Swan, perhaps
Posted by philosoraptor on 16th of Apr 2010 at 12:08 pm
From the BBC, "Imports and exports by air freight represent just 1% of UK trade by weight, according to the think tank Oxford Economic Forecasting. However, in value terms, around 30% of exports are transported by air - with the pharmaceutical industry particularly reliant on air freight, due to the high value and low weight of their product."
http://news.bbc.co.uk/2/hi/uk_news/8624663.stm
m3 Divergence Indicator
Posted by philosoraptor on 13th of Apr 2010 at 04:08 pm
I have been playing around with Peter's m3 Divergence indicator - when it draws what I call 'double' divergence it seems to result in great trading opportunities. Check out the last two days on a FAS 3 min chart - three nailed on winning trades (if I had taken them all!)...
Matt, would you be able
SSO 34 System Trade
Posted by philosoraptor on 13th of Apr 2010 at 03:14 pm
Matt, would you be able to send text messages to foreign mobile phones? If not, email alerts for us aliens please...
Title: This article from Zero
Subprime index
Posted by philosoraptor on 9th of Apr 2010 at 07:04 am
The music will stop one day, surely much sooner than the previous 5 year bull market...he says.
http://www.zerohedge.com/article/guest-post-tim-geithner-sniveling-scamster
No problemo. Would be grateful
The inverse correlation between the dollar and equities and gold seems to have ended at the Feb lows
Posted by philosoraptor on 6th of Apr 2010 at 02:20 pm
No problemo. Would be grateful if you could add the Commodity Index (DBC or similar) to your chart - is that possible? Thanks in advance...
Title: Changing FX Correlations Correlations BETWEEN
The inverse correlation between the dollar and equities and gold seems to have ended at the Feb lows
Posted by philosoraptor on 6th of Apr 2010 at 02:03 pm
Correlations BETWEEN currency pairs have also been changing, which is why it would be great if Matt continues to post his weekend update chart of the Dollar index vs other specific Dollar currency pairs. Hint, hint.
http://www.dailyfx.com/forex/technical/article/forex_correlations/2010-04-05-2254-Risk_Appetite_and_Aversion_is.html?utm_source=twitterfeed&utm_medium=twitter
[article plus table of changing currency pair correlations on a 1 month / 3 month / 6 month / 1 year basis]
Times, they are a changin'...
Spare a thought for us
$3 gas
Posted by philosoraptor on 1st of Apr 2010 at 07:52 am
Spare a thought for us poor, downtrodden, tax riddled Brits - we are currently paying £5 per gallon, that's c. $7.50! Fill up and weep...
Berkshire Hathaway added to XLF
Posted by philosoraptor on 6th of Mar 2010 at 06:20 am
This is something I missed last month, so apols if already posted on the blog - after their recent share split, 'Berkshire Hathaway B' has now been added to the 'XLF' ETF. Not just added, but with the fourth highest weighting of c. 8+%. The rub? Well, according to this article, historically BRK/B acts more like a Consumer Staple stock than a Financial:
http://seekingalpha.com/instablog/595521-kushal-kshirsagar-ph-d/57467-if-it-walks-like-a-duck-classifying-berkshire-hathaway
As a footnote, I have just researched UYG/SKF and FAS/FAZ individual components but can see nothing that suggests BRK/B forms any part. Please correct me if I am wrong.
Q. given BRK/B's weighting, will XLF lose its correlation with these other financial ETFs in future and/or particularly at key market turning points?