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17 avril 2015 5 17 /04 /avril /2015 07:49

Europe:

Following some declarations related to the Greek situation, the European market was under pressure on Thursday. Those renewed tensions between Greece and European leaders could act as a catalyst for a short term correction.

17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient

The Sigma Trend Index sharply declined to '6' (from '95' few days ago) and the Swing came in at '2', telling us the decline was rather impulsive.

17/04: Europe under pressure, US resilient

United States:

The Sigma Whole MArket Index remains resilient and its decline was less important than in Europe. Nevertheless, both the DJU and the DJT remain close to major supports.

17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient
17/04: Europe under pressure, US resilient

The Sigma Trend Index declined to '8' and other indicators are neutral at '3'.

17/04: Europe under pressure, US resilient
Daily Trading Book:

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4201, 5pts below the ST model to take into account bid/ask spread)

- CAC: theoretical short at 5136.9 (stop @ 5296, 5pts above the ST model to take into account bid/ask spread)

- EuroStoxx50: theoretical short at 3742.6 (stop @ 3860, 5pts above the ST model to take into account bid/ask spread)

- DAX: short at 12033.7 (stop @ 12407, 10pts above the ST model to take into account bid/ask spread)

- IBEX: short at 11657 (stop @ 12015, 10pts above the ST model to take into account bid/ask spread)

For new readers:

It is important to underline that the ST model hasn't been able to generate any right signal on Europe in the last 2 months: all sell signals were wrong and have been stopped (after strong years in 2013 & 2014). We consider this situation is probably due to ECB's action and we don't consider recent bad performance is a turning point in the life cycle of our quant model: Central Banks won't be able to cheat forever and at some point 'normal conditions' will come back.

Nevertheless, if we want to survive until normal conditions come back, we must limit our exposure in current environment. So, we decided to only implement the new short positions on 2 indexes: IBEX and DAX. We report other positions as 'theoretical short' in order to underline the difference.

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16 avril 2015 4 16 /04 /avril /2015 08:38

Europe:

The Sigma Whole Europe Index moved higher on Wednesday. This index is right below previous high. If it prints a marginal high and start to decline, a short term top could be in place.

Then, we could have a 5% to 10% decline before another upleg.

All European have roughly the same pattern.

16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top

The Sigma Trend Index increased to '21' but it remains well below recent highs.

16/04: It seems we are close to a short term top

United States:

The Sigma Whole Market Index slightly increased on Wednesday but some key indexes had a bearish reversal during the session. This is something to monitor in coming days.

16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top

The Sigma Trend Index rose but it remains well below the key '34' level.

16/04: It seems we are close to a short term top
16/04: It seems we are close to a short term top

Daily Trading Book:

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4201, 5pts below the ST model to take into account bid/ask spread)

- CAC: theoretical short at 5136.9 (stop @ 5296, 5pts above the ST model to take into account bid/ask spread)

- EuroStoxx50: theoretical short at 3742.6 (stop @ 3860, 5pts above the ST model to take into account bid/ask spread)

- DAX: short at 12033.7 (stop @ 12407, 10pts above the ST model to take into account bid/ask spread)

- IBEX: short at 11657 (stop @ 12015, 10pts above the ST model to take into account bid/ask spread)

For new readers:

It is important to underline that the ST model hasn't been able to generate any right signal on Europe in the last 2 months: all sell signals were wrong and have been stopped. We consider this situation is probably due to ECB's action and we don't consider recent bad performance is a turning point in the life cycle of our quant model: Central Banks won't be able to cheat forever and at some point 'normal conditions' will come back.

Nevertheless, if we want to survive until normal conditions come back, we must limit our exposure in current environment. So, we decided to only implement the new short positions on 2 indexes: IBEX and DAX. We report other positions as 'theoretical short' in order to underline the difference.

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15 avril 2015 3 15 /04 /avril /2015 14:07

I'm on the road, meeting some clients but I experience some difficulties in order to update the models.

I hope to do it later today.

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14 avril 2015 2 14 /04 /avril /2015 06:30

Europe:

The bubble continues to grow in Europe: even the 50days MA is outside the Bollinger Bands... How far can it go? I don't know. "The market can remain exuberant longer you can remain solvent..."

14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process
14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process

Nevertheless, it is interesting to notice the Volatility of the European Volatility started to bounce back and the Sigma Smart Money Index Europe is unable to print new highs in current rally.

14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process
14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process

The Sigma Trend Index slightly declined but the market remains overbought at this stage.

14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process
14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process

United States:

We remain focused on the DJU, DJT and NDX because those indexes ae close to major supports and believe a breakout of those supports should be bearish for the whole market. So, we consider those indexes are the most important one to monitor(for the time being).

14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process
14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process
14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process
14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process

The Sigma Trend Index remains close to its zero line and we can consider it has been neutral for a couple of weeks. So, the market is either in consolidation or in a building top process.

14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process
14/4: 17% spread between the Sigma Whole Europe Index and its 200d MA, US either in consolidation or in a building top process

It is important to underline that the ST model hasn't been able to generate any right signal on Europe in the last 2 months: all sell signals were wrong and have been stopped. We consider this situation is probably due to ECB's action and we don't consider recent bad performance is a turning point in the life cycle of our quant model: Central Banks won't be able to cheat forever and at some point 'normal conditions' will come back.

Nevertheless, if we want to survive until normal conditions come back, we must limit our exposure in current environment. So, we decided to only implement the new short positions on 2 indexes: IBEX and DAX. We report other positions as 'theoretical short' in order to underline the difference.

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4201, 5pts below the ST model to take into account bid/ask spread)

- CAC: theoretical short at 5136.9 (stop @ 5296, 5pts above the ST model to take into account bid/ask spread)

- EuroStoxx50: theoretical short at 3742.6 (stop @ 3860, 5pts above the ST model to take into account bid/ask spread)

- DAX: short at 12033.7 (stop @ 12407, 10pts above the ST model to take into account bid/ask spread)

- IBEX: short at 11657 (stop @ 12015, 10pts above the ST model to take into account bid/ask spread)

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12 avril 2015 7 12 /04 /avril /2015 23:17

Europe:

The Sigma Whole Europe Index continues its rally and the vertical move remains well in place.

Looking at the P/E Next 12Months, we can notice the European market is at its highest multiple (P/E based) in the last 13 years. So, don't forget it, current rally is driven by multiples expansion, not by earnings revisions.

13/04: It is all about multiples expansion
13/04: It is all about multiples expansion

The spread between the Sigma Whole Europe Index and its 200days MA is at 16.9% and the Sigma Trend Index jumped to '95' !!!!! If it is not euphoria, it must be very close to.

13/04: It is all about multiples expansion
13/04: It is all about multiples expansion

United States:

The Sigma Whole Market Index continues to rise and it is now very close to its 52 weeks high.

We remain focused on the DJU, DJT and the NDX: a new (short term) low from those indexes would be bearish for the whole market. But for the time being the broad picture remains positive.

13/04: It is all about multiples expansion
13/04: It is all about multiples expansion
13/04: It is all about multiples expansion
13/04: It is all about multiples expansion

The Sigma Trend Index is at '9'. So, it is close to its zero line, the market remains in a trading range.

13/04: It is all about multiples expansion
Daily Trading Day:

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4201, 5pts below the ST model to take into account bid/ask spread)

- CAC: theoretical short at 5136.9 (stop @ 5296, 5pts above the ST model to take into account bid/ask spread)

- EuroStoxx50: theoretical short at 3742.6 (stop @ 3860, 5pts above the ST model to take into account bid/ask spread)

- DAX: short at 12033.7 (stop @ 12407, 10pts above the ST model to take into account bid/ask spread)

- IBEX: short at 11657 (stop @ 12015, 10pts above the ST model to take into account bid/ask spread)

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10 avril 2015 5 10 /04 /avril /2015 08:40

Europe:

The Sigma Whole Europe Index surged to new highs: the asymptotic move remains well in place. This is why we want to limit our short exposure in current environment because it is highly dangerous to be short for the time being. Nevertheless, when this bubble will burst, it will go down fast, very fast, maybe as fast as in 2000 and 2008.

10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too

The Sigma Trend Index jumped to '78'. The spread between the Sigma Whole Europe Index and its 200days moving average is now at 16%!!!!

10/04: Europe surged to new highs, US rose too

United States:

The Sigma Whole Market Index enjoyed a nice session on Thursday. Both the NDX and the DJ Transport continue to rebound, they are well above their support.

10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too
10/04: Europe surged to new highs, US rose too

The Sigma Trend Index rose to '5' (=> it remains close to its zero line). All other indicators are neutral at '3'.

10/04: Europe surged to new highs, US rose too

Daily Trading Day:

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4201, 5pts below the ST model to take into account bid/ask spread)

- CAC: theoretical short at 5136.9 (stop @ 5296, 5pts above the ST model to take into account bid/ask spread)

- EuroStoxx50: theoretical short at 3742.6 (stop @ 3860, 5pts above the ST model to take into account bid/ask spread)

- DAX: short at 12033.7 (stop @ 12407, 10pts above the ST model to take into account bid/ask spread)

- IBEX: short at 11657 (stop @ 12015, 10pts above the ST model to take into account bid/ask spread)

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9 avril 2015 4 09 /04 /avril /2015 07:18

Europe:

The Sigma Whole Europe Index printed a 'doji' on Wednesday. It is interesting to notice that some indexes show some sign of consolidation (DAX, FTSE, SMI, Stoxx600, ...) while others remains strong (CAC, EuroStoxx50, Small Cap, IBEX...). It will be important to monitor if some indexes switch from one 'camp' to the other one.

09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support

The Sigma Trend Index sharply declined from '44' to '25' and the Power Level declined to '2'. So, the ST model generated a 'sell' signal.

It is important to underline that the ST model hasn't been able to generate any right signal on Europe in the last 2 months: all sell signals were wrong and have been stopped. We consider this situation is probably due to ECB's action and we don't consider recent bad performance is a turning point in the life cycle of our quant model: Central Banks won't be able to cheat forever and at some point 'normal conditions' will come back.

Nevertheless, if we want to survive until normal conditions come back, we must limit our exposure in current environment. So, we decided to only implement the new short positions on 2 indexes: IBEX and DAX. We report other positions as 'theoretical short' in order to underline the difference.

We sold:

- 1 Dax @ 12033.7

- 1 IBEX @ 11657.0

09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support

United States:

The Sigma Whole Market Index remains in consolidation but both the NDX and the DJ Transport were able to bounce back on their support. So, there is no drama for the time being. Those 2 indexes remain the most interesting to track at this stage.

09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support
09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support

The Sigma Trend Index remains close to its zero line. This is another sign we are in consolidation mood, waiting for the earnings season.

09/04: New sell signal in Europe, both the DJT & NDX were able to bounce back on their support

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4201, 5pts below the ST model to take into account bid/ask spread)

- CAC: theoretical short at 5136.9 (stop @ 5296, 5pts above the ST model to take into account bid/ask spread)

- EuroStoxx50: theoretical short at 3742.6 (stop @ 3860, 5pts above the ST model to take into account bid/ask spread)

- DAX: short at 12033.7 (stop @ 12407, 10pts above the ST model to take into account bid/ask spread)

- IBEX: short at 11657 (stop @ 12015, 10pts above the ST model to take into account bid/ask spread)

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8 avril 2015 3 08 /04 /avril /2015 10:14

Europe:

The Sigma Whole Europe Index surged to new highs. Once again, there is no sign of reversal: most indexes remains in strong momentum mood. It seems recent action was a consolidation rather than a building top process.

08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation
08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation
08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation
08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation
08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation
08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation
08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation
08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation

The spread between the Sigma Whole Europe Index and its MA 200 days is at its highest level in nearly 2 years (more than 15%).

The Sigma Trend Index is at '44' (well above the key '34' level) and the Swing came in at '5' telling us the session was highly impulsive.

Once again we were stopped on our European short positions. This year is the worst one in 3 years. Hopefully the intraday model has much more results: we will give you more information on our new web site by the end of April.

08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation

United States:

The Sigma Whole Market Index is less impressive than the European one. Once again, the NDX and the DJ transport remain the key index to focus on because they are close to major supports.

08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation
08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation
08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation

The Sigma Trend Index remains close to its zero line. US markets remains in a wait and see mood, waiting for the earnings season. Investors want to measure the forex damages on earnings.

08/04: More than 15% spread between the Sigma Whole Europe Index and its MA200 days, US remains in consolidation

Daily Trading Book:

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4201, 5pts below the ST model to take into account bid/ask spread)

- CAC: stopped

- EuroStoxx50: stopped

- DAX: stopped

- IBEX: stopped

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6 avril 2015 1 06 /04 /avril /2015 16:17

Europe:

The Sigma Whole Europe Index conitnues to lose some momentum. It will be important to monitor if it is a consolidation signal or a building top process.

06/04: The DJT and the NDX are the indexes to focus on

The Sigma Trend Index remains close to its zero line and all other indicators are neutral at '3'.

06/04: The DJT and the NDX are the indexes to focus on

United States:

The Sigma Trend Index remains in a consolidation process. We continue to consider that both the NDX and the DJ transport are the key indexes to focus on because they are close to major supports.

06/04: The DJT and the NDX are the indexes to focus on
06/04: The DJT and the NDX are the indexes to focus on
06/04: The DJT and the NDX are the indexes to focus on

The Sigma Trend Index is close to its zero line. All other indicators are neutral at '3'.

06/04: The DJT and the NDX are the indexes to focus on

There is no change in our positions.

Daily Trading Book:

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4201, 5pts below the ST model to take into account bid/ask spread)

- CAC: short at 5028.43 (stop @ 5148, 5pts above the ST model to take into account bid/ask spread)

- EuroStoxx50: short at 3673.71 (stop @ 3768, 5pts above the ST model to take into account bid/ask spread) stopped

- DAX: stopped

- IBEX: stopped

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2 avril 2015 4 02 /04 /avril /2015 11:33

Sorry to be late but I leave on holiday in a couple of hours and I still have a lot of things to do.

THERE WILL BE NO UPDATE THIS FRIDAY, NEXT UPDATE WILL BE DONE ON SUNDAY OR MONDAY MORNING.

Europe:

The Sigma Whole Europe Index enjoyed a nice rebound in the 5 latest sessions but it hasn't been able to print a new high. So, in current condition, we could be in a double top/lower high pattern. It will be really important to monitor if the market is able to decline below last week's low. If this happens, we could get a 5% correction.

02/04: It looks more and more like a top
02/04: It looks more and more like a top
02/04: It looks more and more like a top
02/04: It looks more and more like a top
02/04: It looks more and more like a top
02/04: It looks more and more like a top
02/04: It looks more and more like a top
02/04: It looks more and more like a top
02/04: It looks more and more like a top

I continue to believe the volatility is too low at this stage and we must be prepared for some wild action in coming weeks.

02/04: It looks more and more like a top

The Sigma Trend Index remains close to its zero line and other indicators are neutral at '3'.

02/04: It looks more and more like a top

United States

The Sigma Whole Market Index struggles to keep its uptrend. The DJ Transport remains the most interesting index at this stage: as long as the support holds on, there is no real problem but if this index declines below its horizontal support this should be a bearish signal for the whole market.

02/04: It looks more and more like a top
02/04: It looks more and more like a top

The Sigma Trend Index remains in negative territory but recent moves were not impulsive (to the downside). So, the situation remains neutral at this stage.

02/04: It looks more and more like a top
02/04: It looks more and more like a top

Daily Trading Book:

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4201, 5pts below the ST model to take into account bid/ask spread)

- CAC: short at 5028.43 (stop @ 5148, 5pts above the ST model to take into account bid/ask spread)

- EuroStoxx50: short at 3673.71 (stop @ 3768, 5pts above the ST model to take into account bid/ask spread) stopped

- DAX: stopped

- IBEX: stopped

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  • : Le blog de sigmatradingoscillator
  • : Professionnel de la finance de marché depuis plus de 10ans, j'ai mis au point une série d'outils de trading me permettant de prendre et couper mes positions. Ici, j'écris un update quotidien sur la situation du CAC,DAX, Eurostoxx, SP500, Nasdaq100. Attention Les éléments repris dans ce blog représentent uniquement mon opinion personnelle et ne constituent en aucun cas une incitation au trading ou du conseil financier. Pour du conseil, consultez votre conseiller en placement
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