The MLR Situation

A tip of the hat to Dr. Brett for his kind link this weekend to Thursday's pivot indicator post. Apparently there's a lot of interest in the functional utility of the pivots for daytrading purposes and that's good because I've been preaching about their unique forecasting behavior for years. Brett disclosed some interesting pivot metrics on Friday and it's worth a closer read. His point of reference is the SPY, but I suspect that if his point of reference were the Qs the target correlation numbers would be a bit higher. Later in the week I'll show why, which may, in turn, help to explain my continued focus on the Qs in lieu of the SPY, DIA of IWM. Also later in the week I'll post the integrated pivot and volatility indicator and, without giving anything away, it's got some intriguing possibilities.

The SPY took over #1 rank on Thursday, but it's still a pretty even horse race among the top five. EWC continues to demonstrate impressive resilience both as a country and a currency (see below). This market shows little inclination to fade and Thursday's low volume pop was probably a result of a lack of sellers rather than a flock of buyers. April has a historical tendency to be bullish which, as game theory students know, means absolutely nothing in terms of a trading edge.
On the currencies front the Canadian dollar is easily leading the pack. BZF is showing a similar momentum pattern, but FXC is acting like it's on steroids. The last couple weeks have seen a slap happy pattern in UUP and FXE, each constantly jockeying for the lead and then quickly retracing. Currency traders expect this type of behavior between the dollar and the Euro, it's the volatility that's unusual. Meanwhile, the dollar remains uptrend on weekly bars while the Euro remains downtrend. The yen is not performing well.