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24 avril 2015 5 24 /04 /avril /2015 12:28

Europe

The Sigma Whole Europe Index remains volatile (on an intraday basis). This market is driven by market rumours/declaration related to Greek negociations. In this context it is difficult to have high conviction for the time being.

24/04: Europe is waiting for Greece, US close to breakout
24/04: Europe is waiting for Greece, US close to breakout

The Sigma Trend Index remains close to its zero line. Both the Swing and the Power Level were neutral (at '3') on Thursday.

24/04: Europe is waiting for Greece, US close to breakout
24/04: Europe is waiting for Greece, US close to breakout

United States:

With the uncertainty back in Europe, US markets are leading. The Sigma Whole Market Index is close to break its trading range and to print new highs.

The NDX is already printing new highs => this sounds good for the market.

24/04: Europe is waiting for Greece, US close to breakout
24/04: Europe is waiting for Greece, US close to breakout

The Sigma Trend Index continues to increase and it is now at '20' => closer and closer to the key '34' level.

24/04: Europe is waiting for Greece, US close to breakout

The ST model uplifted its stop on the NDX.

Daily Trading Book:

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4205, 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: stopped

- DAX: stopped

- IBEX: stopped

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22 avril 2015 3 22 /04 /avril /2015 23:39

Europe:

The Sigma Whole Europe Index had a volatile day in Europe: Wednesday's high was close to Tuesday's high while Wednesday's low was well below Tuesday's low. Once again the candle looks like a 'doji'.

2 consecutive 'doji' underline a pickup in uncertainty. This situation is confirmed by the increase in the volatility of European volatility.

23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US

The Sigma Trend Index is close to its zero line (at '1'). The market is looking for direction.

23/04: Volatile day in Europe, at the top end of the trading range in US

United States:

The Sigma Whole Market Index is close to the top of its trading range. The DJT continues to rebound while the NDX is close to print new highs.

23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US
23/04: Volatile day in Europe, at the top end of the trading range in US

The Sigma Trend Index jumped to '15'. We are still far from the key '34' level => impossible to generate a sell signal at this stage.

23/04: Volatile day in Europe, at the top end of the trading range in US

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: stopped

- DAX: stopped

- IBEX: stopped

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22 avril 2015 3 22 /04 /avril /2015 10:21

Europe:

The Sigma Whole Europe Index printed a nice doji on Tuesday. The important point to underline is the failed rally that occurred during the session.

It is also interesting to notice the volatility of European volatility starts to pick up again.

22/04: Nice 'doji' in Europe, flat market in US
22/04: Nice 'doji' in Europe, flat market in US

The Sigma Trend Index remains close to its zero line and both the Swing and the Power Level were neutral (at '3') on Tuesday.

22/04: Nice 'doji' in Europe, flat market in US
22/04: Nice 'doji' in Europe, flat market in US

United States:

The Sigma Whole Market Index is close to the top end of its trading range. Let's see if it is able to break it in coming sessions.

The DJT enjoys a nice bounce back from the lows. So far, so good.

22/04: Nice 'doji' in Europe, flat market in US
22/04: Nice 'doji' in Europe, flat market in US

The Sigma Trend Index remains close to its zero line, other indicators are neutral.

22/04: Nice 'doji' in Europe, flat market in US

Following the intraday rally that occured on European market, the ST model was stopped on the DAX, Estoxx and IBEX.

We booked modest gains on our short positions on the DAX and IBEX.

- 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: stopped

- DAX: stopped

- IBEX: stopped

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21 avril 2015 2 21 /04 /avril /2015 08:12

Europe:

The Sigma Whole Europe Index enjoyed a nice bounced back. Nevertheless, it is interesting to notice the Sigma Smart Money Index Europe went sharply down in latest sessions. This is something to monitor.

21/4: A nice bounce back
21/4: A nice bounce back

The Sigma Trend Index bounced back and it is now right on its zero line. So, it will be important to monitor if it remains in positive territory or if it rolls back in negative territory.

21/4: A nice bounce back
21/4: A nice bounce back

United States:

The Sigma Whole Market Index remains in its trading range and there is no real change following Monday's rally.

21/4: A nice bounce back

The Sigma Trend Index remains close to its zero line. So, we can't talk above a strong uptrend. Market is clearly in consolidation (or in a building top pattern).

21/4: A nice bounce back
21/4: A nice bounce back

The ST model lowered (once again) its stops on most European shorts. Here is a screenshot from our new internet site (more news to come soon).

21/4: A nice bounce back

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 @ 3713, 5pts above the ST model to take into account bid/ask spread)

- DAX: short at 12033.7 (stop @ 11838, 10pts above the ST model to take into account bid/ask spread)

- IBEX: short at 11657 (stop @ 11488, 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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20 avril 2015 1 20 /04 /avril /2015 08:33

Europe:

The Sigma Whole Europe Index had a bad session on Friday, losing nearly 2%. As we wrote on Friday, it seems the Greek negotiations are acting as a catalyst for some profit taking. Nevertheless, there is (nearly) no doubt we will get a happy end because Mario and Co can't afford a Lehman II event.

It is interesting to notice that some indexes are already close to important support. The market will probably bounce back on Monday.

20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US

It is important to notice the Sigma Trend Index fell in negative territory. The Swing came in at '1', telling us the decline was highly impulsive.

20/4: Europe under heavy pressure, no major damage in US

United States:

The Sigma Whole Market Index lost 1.2% on Friday, but there is no major damage on the US market. Both the DJT and the DJU are above their key support. So, as long as the trading range (red horizontal lines) remains in place, the short consolidation remains our favorite scenario.

20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US
20/4: Europe under heavy pressure, no major damage in US

The Sigma Trend Index declined to '-2' and the Swing came in at '1', telling us the decline was highly impulsive.

20/4: Europe under heavy pressure, no major damage in US

The ST model lowered its stops on the DAX, IBEX and the Estoxx. It is interesting to notice that both the IBEX and the DAX are the most impacted in current decline => we were right to short those indexes rather than the CAC and the Estoxx.

- 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 @ 3826, 5pts above the ST model to take into account bid/ask spread)

- DAX: short at 12033.7 (stop @ 12235, 10pts above the ST model to take into account bid/ask spread)

- IBEX: short at 11657 (stop @ 11857, 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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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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  • : 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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