Posted by mhordila on 19th of Feb 2010 at 12:44 pm
It looks like the FED Spread is testing the broken trendline,
suggesting the SPX may drift up in the following 2-3 weeks.
The weekly KC24 (Keltner Channels 24 period) also suggests
that if do not turn down now, a breakout above the channel is
being setup, with a new upleg for the March 2009 rally.
And finally, the 3 timeframes in a picture (that's a
correlation which seems active since 2007) suggests we are
continuing up for another month.
You guessed, the red line is FXI shifted forward 85 days.
Good luck, Mike H.
Posted by mhordila on 26th of Feb 2010 at 08:01 am
The FED Spread is above the trendline and above the zero line,
suggesting the SPX may drift up in the following weeks.
The 10-day KC24 also suggests that a breakout above the
channel is being setup.
The FXI correlation continues to suggest we are drifting
higher for a while.
While I welcome feedback, I will be away next week with
limited internet access, so I may be slow to respond.
Good luck, Mike H.
The FED Spread drops sharply under the trend line and below the
zero line, suggesting the SPX may make an important high at the end
of next week.
The KC24 10-day shows a breakout above the channel. A test
from above of the upper boundary is possible, see the 1 week chart
(testing from below).
The FXI correlation suggests we may see a reversal before the
last week of March.
The TOS PPS signals (monthly for trend, weekly for timing)
are again in synch, giving a long signal. For now, the trend is up.
Good luck, Mike H.
Posted by mhordila on 12th of Mar 2010 at 09:53 am
The FED Spread is suggesting SPX would start a decline these
days, lasting 1-2 weeks.
The FED ADS Index (Aruoba-Diebold-Scotti Business Conditions
Index) implies SPX going down soon for the following 2 months.
The FXI correlation indicates SPX reversing before the last
week of March, with a decline for the next 2 months.
The TOS PPS signals (monthly for trend, weekly for timing)
are still on a long signal. For now, the trend is up.
An interesting thing about these leading indicators is that they
are derived from 3 entirely different data sets.
And also, these data sets have no direct relationship to the
US stock prices.
So, they actually would represent fundamental analysis, not
technical analysis proper.
So far, they worked reasonably well for at least the last
couple of years.
Posted by mhordila on 12th of Mar 2010 at 01:11 pm
To clarify things, somebody just pointed out to me that this,
that I am doing here, is not Fundamental Analysis, but it is in
fact Econometric Modelling.
Posted by mhordila on 21st of Mar 2010 at 03:14 pm
Pay special attention to the FED Spread, maybe they know
something we don't...
The FED Spread suggests SPX is starting a significant
decline.
The yellow line presents the largest drop since June/July
2009, and went thru a few important support lines.
Now it is testing from below the resistance at -0.05.
The FED ADS Index is still divergent, and pointing down for
the following 2 months.
The FXI correlation indicates SPX is at the tipping point,
with a sell-off for the next 2 months.
The PPS signals (monthly for trend, weekly for timing) - on a
long signal. For now, the trend is up.
The KC24 - for now, the trend is up.
Posted by mhordila on 28th of Mar 2010 at 01:48 pm
No big changes since last week.
The FED Spread suggests SPX is starting a significant decline.
The yellow line presents the largest drop since June/July
2009, going thru a few support lines.
Now it is testing the resistance at -0.05.
The FED ADS Index is still divergent, and pointing down for the
following 1-2 months.
The FXI correlation indicates SPX is turning down for the
next 2-3 months.
The PPS signals (monthly for trend, weekly for timing) on a long
signal.
The KC24 is bullish. For now, the trend is up.
An early warning, before my week-end update...
I wouldn't go home short today...
The Fed Funds spiked down yesterday.
As per this model, this is a setup for a rally thru April
16-19.
It's also indeed possible the model stopped working,
but, if the spike up is respected, we could say the market
was too strong, had too much liquidity,
and the correction down was "in time", sideways, not "in
price",
which could mean the next spike up could be really
impressive...
Good luck, Mike H.
Since 12-March-2010 the FED Spread had a "correction in price",
while SPX had a "correction in time".
Last week the yellow line had a sharp spike, going above
resistance lines and above the trend.
According to this model, this is a setup for a rally thru
April 16.
The FED ADS Index also had a "correction in price", while SPX
had a "correction in time".
Now the green line has started to turn up for the following
1-2 months.
The red line SSEC correlation indicates SPX is mostly sideways
for the next 2-3 months.
The PPS (monthly for trend, weekly for timing) is still on a
"buy" signal.
These kind of mechanical systems work well on trending
markets, but can whipsaw on ranging markets.
Posted by mhordila on 11th of Apr 2010 at 12:46 pm
Updates - Big Picture, SSEC Leading, FED ADS Index, FED Funds
Spread, PPS, KC24.
(charts using MultiCharts, TOS, Prophet).
The Big Picture is made up of Nasdaq (blue line) and Nikkei 225
(yellow line) shifted forward 10 years,
a very long term possible projection, covering 1995-2020.
The correlation failed for a couple of years (in 2004 and
2006) but seems to hold pretty well more recently.
The two main spikes up of the blue line are in 2000 and 2007.
As per this model we would see some kind of a decline between
mid 2010 and early 2013.
The red line SSEC correlation indicates SPX is mostly sideways
for the next 2-3 months.
After a "correction in price", while SPX had a "correction in
time",
the FED ADS Index (green line) has started to turn up for the
following 1-2 months,
but the larger timeframe trend for now is down.
The FED Funds Spread (yellow line) had a "correction in price",
while SPX had a "correction in time".
It had a sharp spike last week. Then a drop back to support
(at -0.08).
According to this model, this is a setup for some sort of top
around April 16.
The PPS (monthly for trend, weekly for timing), our conservative
mechanical system, is on a "buy" signal.
The KC24, our trend confirmation model, is bullish.
For now, the trend is up.
Thanks for the charts Mike. I don't know much about this
stuff, but do you think it has anything to do with the Fed's MBS
purchase slowdown? Where does April 16-19 come from?
Lots of indicators, traditional TA, almost everything seems
broken, except price.... and it just keeps going higher!
the yellow line is just the difference between the middle value
of the Fed Funds target rate (set by FOMC) and the Fed Funds
effective rate (set by market), and then shifted 11-12 trading days
to the right... I guess it can be construed as an
indirect measurement of FED liquidity available to the
markets...
Updates - FED Spread and KC24 Weekly, and FXI Leading.
Posted by mhordila on 19th of Feb 2010 at 12:44 pm
It looks like the FED Spread is testing the broken trendline, suggesting the SPX may drift up in the following 2-3 weeks.
The weekly KC24 (Keltner Channels 24 period) also suggests that if do not turn down now, a breakout above the channel is being setup, with a new upleg for the March 2009 rally.
And finally, the 3 timeframes in a picture (that's a correlation which seems active since 2007) suggests we are continuing up for another month.
You guessed, the red line is FXI shifted forward 85 days.
Good luck, Mike H.
Updates - FED Spread and KC24 Weekly, and FXI Leading.
Posted by mhordila on 26th of Feb 2010 at 08:01 am
The FED Spread is above the trendline and above the zero line, suggesting the SPX may drift up in the following weeks.
The 10-day KC24 also suggests that a breakout above the channel is being setup.
The FXI correlation continues to suggest we are drifting higher for a while.
While I welcome feedback, I will be away next week with limited internet access, so I may be slow to respond.
Good luck, Mike H.
Updates - FED Spread, KC24 10-day, FXI Leading.
Posted by mhordila on 7th of Mar 2010 at 03:33 pm
The FED Spread drops sharply under the trend line and below the zero line, suggesting the SPX may make an important high at the end of next week.
The KC24 10-day shows a breakout above the channel. A test from above of the upper boundary is possible, see the 1 week chart (testing from below).
The FXI correlation suggests we may see a reversal before the last week of March.
The TOS PPS signals (monthly for trend, weekly for timing) are again in synch, giving a long signal. For now, the trend is up.
Good luck, Mike H.
Update - FED Spread, FED ADS Index, FXI Leading.
Posted by mhordila on 12th of Mar 2010 at 09:53 am
The FED Spread is suggesting SPX would start a decline these days, lasting 1-2 weeks.
The FED ADS Index (Aruoba-Diebold-Scotti Business Conditions Index) implies SPX going down soon for the following 2 months.
The FXI correlation indicates SPX reversing before the last week of March, with a decline for the next 2 months.
The TOS PPS signals (monthly for trend, weekly for timing) are still on a long signal. For now, the trend is up.
An interesting thing about these leading indicators is that they are derived from 3 entirely different data sets.
And also, these data sets have no direct relationship to the US stock prices.
So, they actually would represent fundamental analysis, not technical analysis proper.
So far, they worked reasonably well for at least the last couple of years.
Good luck, Mike H.
Update - FED Spread, FED ADS Index, FXI Leading.
Posted by mhordila on 12th of Mar 2010 at 01:11 pm
To clarify things, somebody just pointed out to me that this, that I am doing here, is not Fundamental Analysis, but it is in fact Econometric Modelling.
Good to know for the future, Thanks, Mike H.
Update - FED Spread, FED ADS Index, FXI Leading, KC24.
Posted by mhordila on 21st of Mar 2010 at 03:14 pm
Pay special attention to the FED Spread, maybe they know something we don't...
The FED Spread suggests SPX is starting a significant decline.
The yellow line presents the largest drop since June/July 2009, and went thru a few important support lines.
Now it is testing from below the resistance at -0.05.
The FED ADS Index is still divergent, and pointing down for the following 2 months.
The FXI correlation indicates SPX is at the tipping point, with a sell-off for the next 2 months.
The PPS signals (monthly for trend, weekly for timing) - on a long signal. For now, the trend is up.
The KC24 - for now, the trend is up.
Good luck, Mike H.
Update - FED Spread, FED ADS Index, FXI Leading, KC24.
Posted by mhordila on 28th of Mar 2010 at 01:48 pm
No big changes since last week.
The FED Spread suggests SPX is starting a significant decline.
The yellow line presents the largest drop since June/July 2009, going thru a few support lines.
Now it is testing the resistance at -0.05.
The FED ADS Index is still divergent, and pointing down for the following 1-2 months.
The FXI correlation indicates SPX is turning down for the next 2-3 months.
The PPS signals (monthly for trend, weekly for timing) on a long signal.
The KC24 is bullish. For now, the trend is up.
Good luck, Mike H.
Update - FED Spread, FED ADS Index, FXI Leading, KC24.
Posted by mhordila on 1st of Apr 2010 at 11:26 am
An early warning, before my week-end update...
I wouldn't go home short today...
The Fed Funds spiked down yesterday.
As per this model, this is a setup for a rally thru April 16-19.
It's also indeed possible the model stopped working,
but, if the spike up is respected, we could say the market was too strong, had too much liquidity,
and the correction down was "in time", sideways, not "in price",
which could mean the next spike up could be really impressive...
Good luck, Mike H.
Updates - FED Funds Spread, FED ADS Index, SSEC Leading, PPS, KC24.
Posted by mhordila on 3rd of Apr 2010 at 02:34 pm
Updates - FED Funds Spread, FED ADS Index, SSEC Leading, PPS, KC24.
(New charts, using MultiCharts instead of Excel).
Since 12-March-2010 the FED Spread had a "correction in price", while SPX had a "correction in time".
Last week the yellow line had a sharp spike, going above resistance lines and above the trend.
According to this model, this is a setup for a rally thru April 16.
The FED ADS Index also had a "correction in price", while SPX had a "correction in time".
Now the green line has started to turn up for the following 1-2 months.
The red line SSEC correlation indicates SPX is mostly sideways for the next 2-3 months.
The PPS (monthly for trend, weekly for timing) is still on a "buy" signal.
These kind of mechanical systems work well on trending markets, but can whipsaw on ranging markets.
The KC24 is bullish.
For now, the trend is up.
Good luck, Mike H.
Updates - Big Picture, SSEC Leading, FED ADS Index, FED Funds Spread, PPS, KC24.
Posted by mhordila on 11th of Apr 2010 at 12:46 pm
Updates - Big Picture, SSEC Leading, FED ADS Index, FED Funds Spread, PPS, KC24.
(charts using MultiCharts, TOS, Prophet).
The Big Picture is made up of Nasdaq (blue line) and Nikkei 225 (yellow line) shifted forward 10 years,
a very long term possible projection, covering 1995-2020.
The correlation failed for a couple of years (in 2004 and 2006) but seems to hold pretty well more recently.
The two main spikes up of the blue line are in 2000 and 2007.
As per this model we would see some kind of a decline between mid 2010 and early 2013.
The red line SSEC correlation indicates SPX is mostly sideways for the next 2-3 months.
After a "correction in price", while SPX had a "correction in time",
the FED ADS Index (green line) has started to turn up for the following 1-2 months,
but the larger timeframe trend for now is down.
The FED Funds Spread (yellow line) had a "correction in price", while SPX had a "correction in time".
It had a sharp spike last week. Then a drop back to support (at -0.08).
According to this model, this is a setup for some sort of top around April 16.
The PPS (monthly for trend, weekly for timing), our conservative mechanical system, is on a "buy" signal.
The KC24, our trend confirmation model, is bullish.
For now, the trend is up.
Good luck, Mike H.
Interesting charts
Posted by kalinm on 1st of Apr 2010 at 11:59 am
Thanks for the charts Mike. I don't know much about this stuff, but do you think it has anything to do with the Fed's MBS purchase slowdown? Where does April 16-19 come from? Lots of indicators, traditional TA, almost everything seems broken, except price.... and it just keeps going higher!
Updates - FED Spread and KC24 Weekly, and FXI Leading.
Posted by mhordila on 1st of Apr 2010 at 02:27 pm
the yellow line is just the difference between the middle value of the Fed Funds target rate (set by FOMC) and the Fed Funds effective rate (set by market), and then shifted 11-12 trading days to the right... I guess it can be construed as an indirect measurement of FED liquidity available to the markets...
http://www.newyorkfed.org/markets/omo/dmm/fedfundsdata.cfm
FED Spread etc.
Posted by ralph on 12th of Mar 2010 at 10:21 am
Thanks Mike,
Interesting stuff. Where can I go to learn more?
Ralph
Updates - FED Spread and KC24 Weekly, and FXI Leading.
Posted by mhordila on 12th of Mar 2010 at 10:48 am
Hi Ralph, send me a private message with your email, and I will send you my docs tonight when I get home. Until then visit:
http://www.newyorkfed.org/markets/omo/dmm/fedfundsdata.cfm
http://www.philadelphiafed.org/research-and-data/real-time-center/business-conditions-index/
Mike
Nice charts below Mike. Have
Posted by steve on 26th of Feb 2010 at 08:56 am
Nice charts below Mike. Have a safe trip. Thanks.