1. A/D line is at 291, moving up. No divergences. +1
2. NYSI is at -45, after bottoming at -500 in late May. +1
3. NYHL (EMA10) is at 47, after a
recent low of -50 in early June. +1
4. NYA200R (EMA20) is at 50.77, just above 50, and turning up. +1
5. NYA200R (ROC14) is at -22, outside the [-20,
20] range, indicative of volatility. -1
6. CPC (50MA) is at 1.042, well
above 1, indicating high fear. -1
Friday, June 22, 2012
Tuesday, June 12, 2012
Market breadth on 6/12/2012
1. A/D line is at 215, moving up after bottoming in mid-May. +1
2. NYSI is at -438, after bottoming at -500 in late May. +1
3. NYHL (EMA10) is at 7, after a recent low of -50 in early June. +1
4. NYA200R (EMA20) is at 50.57, just above 50, but heading down. +0
5. NYA200R (ROC14) is at -14, within the [-20, 20] range, indicative of trending market.
6. CPC (50MA) is at 1.038, well above 1, indicating high fear. -1
- As usual, the components contraddict each other. I am starting to get a sense that they work on different timescales.
- I should introduce neutral ranges, instead of using cutoff lines. Actually, the component score should be a gradient.
- I am not sure that adding up component scores gives enough information. Maybe it's better to have two lines, a positive and a negative, and see how they interact with each other.
- I really need a way to automate the collection of data and the generation of the component scores.
2. NYSI is at -438, after bottoming at -500 in late May. +1
3. NYHL (EMA10) is at 7, after a recent low of -50 in early June. +1
4. NYA200R (EMA20) is at 50.57, just above 50, but heading down. +0
5. NYA200R (ROC14) is at -14, within the [-20, 20] range, indicative of trending market.
6. CPC (50MA) is at 1.038, well above 1, indicating high fear. -1
- As usual, the components contraddict each other. I am starting to get a sense that they work on different timescales.
- I should introduce neutral ranges, instead of using cutoff lines. Actually, the component score should be a gradient.
- I am not sure that adding up component scores gives enough information. Maybe it's better to have two lines, a positive and a negative, and see how they interact with each other.
- I really need a way to automate the collection of data and the generation of the component scores.
Monday, June 4, 2012
Bollinger %B on ratio of USO to SPY
Another interesting relationship. The ratio of USO over SPY seems to follow a downtrend, probably due to USO's negative bias being based on rolling futures, and its expense ratio.
However, extremes in this ratio seem to indicate suitable entry points in USO. I am using Bollinger bands to visualize them and a %B limit of zero as a cut off. In the last 3 years, there have been seven instances where %B has gone at or below zero, including now. The idea would be to accumulate positions every week when %B < 0. This may cause to appear to average down if %B stays under zero for more than a week, but the previous six times have all been followed by rallies in USO.
However, extremes in this ratio seem to indicate suitable entry points in USO. I am using Bollinger bands to visualize them and a %B limit of zero as a cut off. In the last 3 years, there have been seven instances where %B has gone at or below zero, including now. The idea would be to accumulate positions every week when %B < 0. This may cause to appear to average down if %B stays under zero for more than a week, but the previous six times have all been followed by rallies in USO.
There are also interesting gaps in the USO drop, which may suggest a bottom is near. Of course what I marked as exhaustion gap may turn out to be a measuring gap. I don't know for sure how much these gaps can be trusted.
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