Friday, August 14, 2009

Friday Vixology

It's been over a week since we looked at the VIX and Qs charts with the LR30 lens, so this is the update as of Thursday's close. Clearly, a lot has changed as the LR30 channel had formed a new paradigm on both the VIX and the Qs.
Both charts are in technical alignment and remain bullish for the markets. With the new orientation of the Qs LR30 mean slope and the position of the MACD technicals the Qs look poised to hit the next overhead support level at 41.25, which was suggested last week . . . and then . . . .?
This view, of course, is in conflict with many experienced technicians who see a rolling over in momentum on the major indices and who are projecting an already long overdue retracement. For now, I'll just go with the day to day flow until we see that LR30 mean turn downslope.
While I'm off for the rest of day on some family business, here are three articles to tease your trading brain and share some of the best current thinking on dynamic equity curve switching, mean reversion and implied statistical correlations.
These are all themes that I've (very) briefly touched on in recent posts, but the collective output of this little brain trust provides insights and perspectives well beyond the abilities of this old trader and should pique' the interest of every inquisitive mind. Check em' out.
Jeff Pietsch - Equity Curve Switching
Michael Stokes - Short-Term Mean Reversion
Don Fishback - Statistical Correlation

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