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27 février 2015 5 27 /02 /février /2015 09:17

First of all, sorry for yesterday but Over-blog was partially down for the whole day. So, I was unable to upload any charts. This is why I didn't post any update.

 

Europe:

The Sigma Whole Europe Index continues to move higher and higher in a nearly vertical pattern: ~= +30% since mid-October!!!! Mmmmm, thanks M. Draghi, short term you are a master but long term someone will have to pay the bill....

 

EU-Daily-Chart_SWEU_20150227.jpg

 

Looking at key European Indexes, we can notice the vertical pattern on all charts:

EU-Daily-ChartDAX_20150227.jpg

EU-Daily-ChartESTOXX_20150227.jpg

EU-Daily-ChartCAC_20150227.jpg

EU-Daily-ChartSMI_20150227.jpg

EU-Daily-ChartFTSE_20150227.jpg

 

Nevertheless, the Sigma Trend Index Europe starts to show some signs of weakness. A negative divergence appears between the Sigma Trend Index Europe and the Sigma Whole Europe Index. This is a major warning for the European equity market.

 

EU-Daily-SigmaTradingOscillator_20150227.jpg

 

The Sigma Trend Index remains above its key '34' level for the 6th time in 7 sessions. This kind of overheating is short term impressive but highly dangerous on a medium term basis.

 

steumodel20150226.PNG

 

United States:

The Sigma Whole Market Index remains strong and as long as it remains above the red horizontal support, there is no danger for US markets.

 

US-Daily-Chart_SWM_20150227.jpg

 

Nevertheless, we can see some clouds on the horizon. First of all, there is an important negative divergence between the Sigma Trend Index and the Sigma Whole Market Index. This is not good.

 

US-Daily-SigmaTradingOscillator_20150227.jpg

Secondly, some major indexes don't confirm recent strength and were not able to print new highs. This is something to carefully monitor.

 

US-Daily-ChartDJT_20150227.jpg

US-Daily-ChartDJU_20150227.jpg

 

The Sigma Trend Index continues to slide and it is now close to its zero line. Other indicators are neutral at '3'.

 

stmodel20150226.PNG

 

The ST model uplifted its stop on the NDX:

 

stndx20150226.PNG

 

Daily Trading Book: 

- SPX: stopped
- NDX: long at 4236.28 (2014's close) (stop @ 4097, 5pts below the ST model to take into account bid/ask spread)
- CAC: short at 4852.47 (stop @ 4981, 5pts above the ST model to take into account bid/ask spread)
- EuroStoxx50: short at 3511.63 (stop @ 3600, 5pts above the ST model to take into account bid/ask spread)
- DAX: short at 11101.5 (stop @ 11392, 10pts above the ST model to take into account bid/ask spread)
- IBEX: short at 11006.8 (stop @ 11216, 10pts above the ST model to take into account bid/ask spread)

 

 

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26 février 2015 4 26 /02 /février /2015 12:23

I've been unable to upload any pictures for more than 4 hours. It seems over-blog is down.

I'll try again later.

 

Sorry for this, but this is due to overblog (not us).

 

 

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25 février 2015 3 25 /02 /février /2015 09:43

Today, I wrote a short topic on strategy. No update on the quant models but there is no change in our positions.

 

It is interesting to notice that the Economic surprise is improving fast in Europe(red line) while this index is declining fast in US(blue line). The negative correlation is so 'perfect' that we believe the FX has been the main driver of this situation.

 

macro-sent-Chart_ECO_Surp_20150224.jpg

 

We can notice this situation is in line with recent outperformance of the Stoxx600 relative to the S&P500 (in euro): medium term uptrend in favor of the S&P has just been broken.

 

region-alloc-Chart_EU_vs_US_MT_Trend_20150222.jpg

 

Looking at key valuation metrics, it is obvious that Europe is much cheaper than US. Here is a sum up review of US & EU valuatin based on key metrics. (1= not attractive based on long term average multiple, 3=neutral, 5=attractive based on long term average multiple).

 

valuationEU20150225.PNG

Explanation of different abbreviations:
- PE_NTM = P/E Next 12Months
- PE_LTM = P/E Last 12Months
- P/Book = Price/Book Value
- P/S = Price/Sales
- Dvd Yld = Dividend Yield
- EV/EBITDA = Enterprise Value/EBITDA
- EV/Sales = Enterprise Value/Sales
- EarningsYLD - BDS_YLD = Earnings YLD (= 1/PE) - 10y Government benchmark

valuationUS20150225.PNG

 

Looking at current sentiment, we can notice the Bull/Bear spread is at elevated level but we are not (yet) in euphoria territory. So, Current situation could last for some times and the party is (probably) not over. You can remain on the dance floor but don't forget to remain close to the emergency exit, it is always better in case of fire alarm...

 

macro-sent-Chart-Bull_Bear_20150224.jpg

 

There is no change in our positin at this stage.

 

Daily Trading Book: 

- SPX: stopped
- NDX: long at 4236.28 (2014's close) (stop @ 4090, 5pts below the ST model to take into account bid/ask spread)
- CAC: short at 4852.47 (stop @ 4981, 5pts above the ST model to take into account bid/ask spread)
- EuroStoxx50: short at 3511.63 (stop @ 3600, 5pts above the ST model to take into account bid/ask spread)
- DAX: short at 11101.5 (stop @ 11392, 10pts above the ST model to take into account bid/ask spread)
- IBEX: short at 11006.8 (stop @ 11216, 10pts above the ST model to take into account bid/ask spread)

 

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24 février 2015 2 24 /02 /février /2015 13:54

Europe:

The Sigma Whole Europe Index continues to rally, the euphoria remains the main driver of this market. (blow off top)

 

EU-Daily-Chart_SWEU_20150224.jpg

 

Based on the Sigma Smart Money Index Europe (blue line), it seems that "big players" joined the party and this is probably the main explanation behind this huge rally in Europe.

 

EU-Daily-Chart_SSMI_20150224.jpg

United States:

The Sigma Whole Market Index remains very strong. The market is clearly in a no fear mood.

The breakout seems confirmed, and we are in favor of more upside rather on US markets rather than in favor of a reversal from current levels. The market is (according to us) too strong for a false break.

 

US-Daily-Chart_SWM_20150224.jpg

 

The Sigma Smart Money Index remains below its recent highs. So, "big players" seem/remain cautious.

 

US-Daily-SSMI_20150224.jpg

 

The Sigma Trend Index remains close to '10' => a 'sell' signal (based on our ST model) is nearly impossible in coming sessions.

 

stmodel20150223.PNG

 

Daily Trading Book: 

- SPX: stopped
- NDX: long at 4236.28 (2014's close) (stop @ 4090, 5pts below the ST model to take into account bid/ask spread)
- CAC: short at 4852.47 (stop @ 4981, 5pts above the ST model to take into account bid/ask spread)
- EuroStoxx50: short at 3511.63 (stop @ 3600, 5pts above the ST model to take into account bid/ask spread)
- DAX: short at 11101.5 (stop @ 11392, 10pts above the ST model to take into account bid/ask spread)
- IBEX: short at 11006.8 (stop @ 11216, 10pts above the ST model to take into account bid/ask spread)

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24 février 2015 2 24 /02 /février /2015 11:06

I'm unable to retrieve data for some indexes. So, I'm unable to update my indicators.

I hope the problem will be fixed later in the day (by the data provider) and that I will be able to post the update later today.

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23 février 2015 1 23 /02 /février /2015 12:06

Europe:

The Sigma Whole Europe Index was under pressure on Friday but thanks to 'new developments' in the Greek story (at the end of the session) the market was able to erase its losses and to close roughly flat.

 

EU-Daily-Chart_SWEU_20150222.jpg

 

The market remains in its blow off mood, and there is no sign of reversal on the charts. How far can it go?

 

EU-Daily-ChartSTOXX600_20150222.jpg

EU-Daily-ChartESTOXX_20150222.jpg

EU-Daily-ChartDAX_20150222.jpg

EU-Daily-ChartCAC_20150222.jpg

 

The Power Level (PL) came in at '2' on Friday. So, the ST model generated a sell signal on European markets.

 

steumodel20150220.PNG

 

So, we opened short positions on European indexes during 'extended' hours. We sold:

- 1 CAC @ 4852.47

- 1 EStoxx @ 3511.63

- 1 DAX @ 11101.5

- 1 IBEX @ 11006.8

 

United States:

The Sigma Whole Market Index remains in rally mood and it was able to move above its strong horizontal resistance. It seems nothing can stop this market. We are probably in a blow off top process but it is always difficult to have the right timing for the top. The market could continue to rally for a couple of weeks/months (like in 1999- early 2000).

 

US-Daily-Chart SWM 20150222

 

Looking at key indexes, we can notice some divergences between indexes.

 

US-Daily-ChartSP500_20150222.jpg

US-Daily-ChartRUT_20150222-copie-1.jpg

US-Daily-ChartNDX_20150222.jpg

 

US-Daily-ChartDJI_20150222.jpg

 

But the DJT and the DJU didn't confirm the new top. So, let's focus on those indexes.

 

US-Daily-ChartDJT_20150222.jpg

US-Daily-ChartDJU_20150222.jpg

 

The Sigma Trend Index came in at '18' and the swing came in at '4', telling us the move was impulsive.

 

stmodel20150220.PNG

 

The ST model uplifted its stop on the NDX:

 

STNDX20150220.PNG

 

Daily Trading Book: 

- SPX: stopped
- NDX: long at 4236.28 (2014's close) (stop @ 4090, 5pts below the ST model to take into account bid/ask spread)
- CAC: short at 4852.47 (stop @ 4981, 5pts above the ST model to take into account bid/ask spread)
- EuroStoxx50: short at 3511.63 (stop @ 3600, 5pts above the ST model to take into account bid/ask spread)
- DAX: short at 11101.5 (stop @ 11392, 10pts above the ST model to take into account bid/ask spread)
- IBEX: short at 11006.8 (stop @ 11216, 10pts above the ST model to take into account bid/ask spread)

 

 

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20 février 2015 5 20 /02 /février /2015 10:55

Europe:

The Sigma Whole Europe Index booked another strong session on Thursday.

 

EU-Daily-Chart_SWEU_20150219-copie-1.jpg

 

The Sigma Trend Index increased to '52' (well above '34'). So, the ST model is ready to generate a fresh 'sell' signal on European markets if the Swing or the Power Level decline below '3' in the next 3 sessions.

 

steumodel20150219.PNG

United States:

The Sigma Whole Market Index printed a 'doji' on Thursday and the double top pattern remains possible. It seems the red horizontal resistance is very strong and the marked experiences some difficulties to move above this level.

 

US-Daily-Chart_SWM_20150219-copie-1.jpg

 

Both the Swing and the Power Level remained above '2' on Thursday. So, the ST model was not able to generate a 'sell' signal on this warning signal. So, the warning is cancelled.

 

stmodel20150219.PNG

 

The ST model uplifted its stop on the NDX:

 

stndx20150219.PNG

 

Daily Trading Book: 

- SPX: stopped
- NDX: long at 4236.28 (2014's close) (stop @ 4081, 5pts below the ST model to take into account bid/ask spread)
- CAC: stopped
- EuroStoxx50: stopped
- DAX: stopped
- IBEX: stopped

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19 février 2015 4 19 /02 /février /2015 14:54

Europe:

The Sigma Whole Europe Index remains very strong and there is no sign of reversal at this stage. ECB's liquidity continues to fuel the market and it seems the blow off scenario could be on the agenda.

 

EU-Daily-Chart_SWEU_20150219.jpg

 

Looking at key EU indexes, the situation is the same across Europe:

 

EU-Daily-ChartCAC_20150219.jpg

EU-Daily-ChartDAX_20150219.jpg

EU-Daily-ChartSTOXX600_20150219.jpg

EU-Daily-ChartEUSMALL200_20150219.jpg

EU-Daily-ChartIBEX_20150219.jpg

 

The IBEX reached our stop level and we closed our short position: 10677.7 - 10823.5 = - 145.8 (loss)

 

The Sigma Trend Europe increased to '23' but it remains below the key '34' level.

 

steumodel20150218.PNG

 

United States:

The Sigma Whole Market Index remains strong, there is no sign of reversal at this stage but the market hasn't been able to move above the red horizontal resistance. So, a double top scenario remains possible.

 

US-Daily-Chart_SWM_20150219.jpg

 

There are important divergences among key US indexes: some are below resistances, other moved above their resistances while others are close to major supports. So, it is not so easy to draw a clear conclusion.

 

US-Daily-ChartNDX_20150219.jpg

US-Daily-ChartRUT_20150219.jpg

US-Daily-ChartMID_20150219.jpg

US-Daily-ChartDJT_20150219.jpg

US-Daily-ChartDJU_20150219.jpg

 

The Sigma Trend Index declined below the key '34' level in the last 2 sessions but the market hasn't been able to print a negative impulse  => no 'sell' signal at this stage. If we didn't get a negative impulse on Thursday, the warning signal will be cancelled and the ST model won't generate any 'sell' signal as long as the STI moves again above the key '34' level.

 

stmodel20150218.PNG

 

Daily Trading Book: 

- SPX: stopped
- NDX: long at 4236.28 (2014's close) (stop @ 4058, 5pts below the ST model to take into account bid/ask spread)
- CAC: stopped
- EuroStoxx50: stopped
- DAX: stopped
- IBEX: stopped

 

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18 février 2015 3 18 /02 /février /2015 09:18

Europe:

The Sigma Whole Europe Index had a difficult start on Tuesday but after a pullback of more than 1% early in the morning, the index started to recover early losses around lunch time. The afternoon was relatively strong and the index was roughly flat on the close. Once again, it seems nothing can stop the market as long as the different Central Banks are in dovish mood.

 

EU-Daily-Chart_SWEU_20150217-copie-1.jpg

 

Most Europe Indexes are close to print new highs: it seems nobody cares about Greece and Ukraine.

 

EU-Daily-ChartESTOXX_20150217-copie-1.jpg

EU-Daily-ChartSTOXX600_20150217-copie-2.jpg

EU-Daily-ChartDAX_20150217-copie-1.jpg

EU-Daily-ChartCAC_20150217-copie-1.jpg

 

The Sigma Trend Index remains close to '10', both the Swing and the Trend Level are neutral at '3'.

 

steumodel20150217.PNG

 

United States:

The Sigma Whole Market Index is right on previous top. Let's see if the market is able to print new highs in coming days or if it rolls down from current levels.

 

US-Daily-Chart_SWM_20150217.jpg

 

The Sigma Trend Index slightly declined on Tuesday but both the Swing and the Power Level(PL) were at '3'. So, we didn't get any 'sell' signal at this stage.

 

stmodel20150217.PNG

 

Daily Trading Book: 

- SPX: stopped
- NDX: long at 4236.28 (2014's close) (stop @ 4058, 5pts below the ST model to take into account bid/ask spread)
- CAC: stopped
- EuroStoxx50: stopped
- DAX: stopped
- IBEX: short at 10677.7 (stop @ 10823, 10pts above the ST model to take into account bid/ask spread)

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17 février 2015 2 17 /02 /février /2015 09:13

Europe:

With US markets closed on Monday, the Sigma Whole Europe Index was in a wait and see mood.

 

EU-Daily-Chart_SWEU_20150217.jpg

 

Looking at key EU indexes, it is difficult to be bearish at this stage.

 

EU-Daily-ChartSTOXX600_20150217.jpg

EU-Daily-ChartCAC_20150217.jpg

EU-Daily-ChartESTOXX_20150217.jpg

EU-Daily-ChartDAX_20150217.jpg

 

The Sigma Trend Index remains close to '10', all other indicatots were neutral on Monday.

 

steumodel20150216.PNG

 

United States:

The US markets were closed on Monday. So, there is no update today on those markets.

 

Daily Trading Book: 

- SPX: stopped
- NDX: long at 4236.28 (2014's close) (stop @ 4058, 5pts below the ST model to take into account bid/ask spread)
- CAC: stopped
- EuroStoxx50: stopped
- DAX: stopped
- IBEX: short at 10677.7 (stop @ 10823, 10pts above the ST model to take into account bid/ask spread)

 

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  • : 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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