Friday, July 18, 2008

Qs Weekly Update

Closing print on the Qs was actually 44.81 so I don't know what's up with Telechart's quote of 44.59.
Nevertheless, for the week, Qs up .25 or .5%, IWM up 2.4%, DIA up 3.7%, SPY up 1.8%.
Qs were the laggard this week, while the IWM played out its upward surge perfectly, closing on the LR30 daily mean bar for the week (and showing the most potential for an extended run).
Interestingly, both the A50 and A200 are now reading 28 and both succeeded in crossing and holding above the 20 DSMA.
The A50 is looking a bit more overbought than the A200, but checking out the MACD, both are upslope on the zero line, which historically has provided at least a couple carry through days before any reversal.
The big driver for the markets next week will, of course, continue to be earnings as we swing into the heart of reporting season and this backdrop can produce a volatile mix of fundamental and technical signals.
Of note today, XLF volume was exactly one half of yesterday's record, which is probably an indicator of something important. . .or maybe just trader exhaustion.
I'm currently flat again, having exited my August XLF and IWM long calls ahead of the weekend. I was caught off guard by the accelerated premium decay in the August XLF calls today as volume and volatility subsided, but managed to book a few pennies in the green.


Will said...

Hi Bob,

Have you done much backtesting with the multiple linear regression model, e.g. experimenting with the lines (or "x" standard deviations from them) as entries or stops?


bzbtrader said...

That is an area of on-going research and I plan to offer a 3 LRs model for daily bars on the Collective2 in the near future.
I'm also working with another blogger testing a system that uses both the pivots and the 3LRs to generate daytrading signals but I'm not ready to publish that system yet as we continue to test a variety of protective stops and other risk managment tools.