Saturday, January 31, 2009

Weekly Update - new template

First of all, here's a new thumbnail look at my little 4 ETF basket using line charts of the ETFs and the VIX and overlaid with the new Telechart moving linear regression (7) study (described below). This is a little visual lesson in mean regression theory and is designed to help forecast when the ETF/VIX divergence is about to mean revert.

For this week's secondary study (below) I've returned to the VIX daily and weekly bars and the T2100 advance/decline line daily and weekly bars.
While Don Worden's comment at Friday's close was in support of an oversold environment, the technical studies presented in these 3 charts suggest a grimmer prognosis as all technicals are essentially downtrend at the zero line.
The big change this week is a reconfiguration of the 3LRs study (3 linear regressions) to a new 4LRs study. Previously, I was using periods of 30,11 and 3 to define the LR channels. I've now revised the LR periods to 75,30,11. I've added the LR75 to help better detect potential butterfly candidates, a strategy which has worked out well so far. Telechart has also added a moving average linear regression (MLR) study to their inventory of indicators and after playing with various settings, I've settled on a MLR7 to replace the LR3, which was the least useful LR of the study (IMHO) in forecasting momentum and direction. Note how the MALR7 mirrors the cycle of the RSI2 and stochastics 10,2,2 in the middle technical pane of the charts. I've also reconfigured the MACD 5,20,3 indicator to display as a histogram for a somewhat clearer view of momentum and zero line reversals.

Finally, here's an interesting site using a sophisticated algorithm to time the markets. They provide a free weekly forecast of the SPY low. . .you've got to spend some money if you want the rest of the stats. They've been pretty right on for the past month, although this week's forecast was not a rousing success (HEY!, everybody misses a few). Good for confirmations of market turn ups, put sales and potential short term longs.

No comments: