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