Vendredi 1 août 2014 5 01 /08 /Août /2014 08:19

The Sigma Whole Market Index sharply declined on Thursday, losing 2% (the second weakest day on a ytd basis). This index broke 2 major supports: the pink trading range and the red uptrend. We need a quick bounce back in order to stabilize the situation or the selloff will probably accelerate. It is interesting to notice that, in the past, the Sigma Trend Index immediately bounced back when it closed below the red uptrend (pink boxes). If this don't happen, the uptrend could be over.

 

SWM20140731.JPG

The Russell 2000 sharply declined and broke an important support. But even the Nasdaq100, one of the strongest index (if not the strongest one) broke a major support.

 

chartRUT20140731.JPG

chartNDX20140731.JPG

 

The Sigma Trend Index hit unseen level for the last 18 months. For sure we should get a bounce back from here and this will probably trigger a buy signal in our short term model. Nevertheless, if we are at a major turning point in the market, it will take some time to adjust metrics and probabilities in the model and we will get some stop losses in coming weeks. This is the Achille's tendon of the ST model: it is accurate to catch short term change within medium term trend but it fails when the medium term trend comes to an end.

Normally the medium term model (MT model) should catch medium term changes but this model didn't give a sell signal few weeks ago: the Sigma Trend Index was slightly below the required level.

 

STI20140731.JPG

stmodel20140731.JPG

 

We hit our stop levels on all our positions except for the NDX:

- SPX: sold at 1931.94 => -46.5 (loss)

- CAC: sold at 4275.87 => -72.29 (loss)

- EStoxx: sold at 3127.65 => -46.68 (loss)

- IBEX: sold at 10712.84 => 201.04 (gain)

 

Short Term Trading Book:
 

- SPX: stopped
- NDX: long at 3940.03 (stop @ 3835, 5pts below the ST model to take into account bid/ask spread)
- CAC: stopped
- EStox: stopped
- DAX: stopped
- IBEX: stopped
 

 
Medium Term Trading Book:
 

- No more medium term position at this stage.


Par sigmatradingoscillator - Publié dans : Market Analysis
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Jeudi 31 juillet 2014 4 31 /07 /Juil /2014 09:00

The Sigma Whole MArket Index tested the bottom end of its trading range but was able to bounce at this level. The situation remains tricky but it is too early to say the rebound is over.

 

SWM20140730.JPG

 

We can also notice that key supports are holding on both the Russell2000 and the S&P Small Cap600. As long as the market remains above those supports, there is room for further advance.

 

chartRUT20140730.JPG

chartSC20140730.JPG

 

The Sigma Trend Index continues to slide in negative territory, this is not a good sign for the market.

 

stmodel20140730.JPG

 

The ST model uplifted its stop on the IBEX:

 

stibex20140730.JPG

 

Short Term Trading Book:
 

- SPX: long at 1978.44 (stop @ 1932, 3pts below the ST model to take into account bid/ask spread)
- NDX: long at 3940.03 (stop @ 3835, 5pts below the ST model to take into account bid/ask spread)
- CAC: long at 4348.16 (stop @ 4276, 5pts below the ST model to take into account bid/ask spread)
- EStox: long at 3174.33 (stop @ 3128, 5pts below the ST model to take into account bid/ask spread)
- DAX: stopped
- IBEX: long at 10511.80 (stop @ 10714, 10pts below the ST model to take into account bid/ask spread)
 

 
Medium Term Trading Book:
 

- No more medium term position at this stage.
Par sigmatradingoscillator - Publié dans : Market Analysis
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Mercredi 30 juillet 2014 3 30 /07 /Juil /2014 08:44

The Sigma Whole Market Index is stuck in a narrow trading range. We have to wait for a breakout in order to get a clear signal for the next direction.

 

SWM20140729.JPG

 

Russell 2000, S&P Mid Cap400 and S&P Small Cap 600 are close to key supports. We are convinced that if they move through those supports, the whole market will go under pressure.

 

chartmid20140729.JPG

 

There is no new information coming from our indicators: the Sigma Trend Index seems unable to move back in positive territory.

 

stmodel20140729.JPG

 

There is no change in our positions:

 

Short Term Trading Book:
 

- SPX: long at 1978.44 (stop @ 1932, 3pts below the ST model to take into account bid/ask spread)
- NDX: long at 3940.03 (stop @ 3835, 5pts below the ST model to take into account bid/ask spread)
- CAC: long at 4348.16 (stop @ 4276, 5pts below the ST model to take into account bid/ask spread)
- EStox: long at 3174.33 (stop @ 3128, 5pts below the ST model to take into account bid/ask spread)
- DAX: stopped
- IBEX: long at 10511.80 (stop @ 10670, 10pts below the ST model to take into account bid/ask spread)
 

 
Medium Term Trading Book:
 

- No more medium term position at this stage.
Par sigmatradingoscillator - Publié dans : Market Analysis
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Mardi 29 juillet 2014 2 29 /07 /Juil /2014 08:59

Looking at the chart of the Sigma Whole Market Index, we can notice a flat consolidation (in pink). In order to confirm the uptrend is alive, we need to move above this horizontal channel.

 

SWM20140728.JPG

 

Looking at the relative performance between the S&P1500 and the US 10yr T-Notes, we can notice a kind of distribution pattern. At this time this is just a point of attention, but we need to monitor it because if the (red) uptrend channel is broken in coming weeks, this would mean the Bull Run started in Sept 2011 is over and this would (probably) lead to a major correction in equities.

 

bdseq20140728.JPG

 

Looking at the chart of the EurosToxx50, we can count a clear 5 waves move to the downside (1-2-3-4-5) followed by a 2 waves move (a-b). We believe we need another upleg (c) in order to finish the rebound (in abc). Then, the selling pressure should come back.

 

chartestox20140728.JPG

 

We can see a similar pattern on a lot of indexes:

chartSC20140728.JPG

chartRUT20140728.JPG

chartMID20140728.JPG

chartIBEX20140728.JPG

 

The Sigma Trend Index is close to its zero line (at '-5'). It will be interesting to monitor if it can move back in positive territory.

 

stmodel20140728.JPG

 

There is no change in our positions:

 

Short Term Trading Book:
 

- SPX: long at 1978.44 (stop @ 1932, 3pts below the ST model to take into account bid/ask spread)
- NDX: long at 3940.03 (stop @ 3835, 5pts below the ST model to take into account bid/ask spread)
- CAC: long at 4348.16 (stop @ 4276, 5pts below the ST model to take into account bid/ask spread)
- EStox: long at 3174.33 (stop @ 3128, 5pts below the ST model to take into account bid/ask spread)
- DAX: stopped
- IBEX: long at 10511.80 (stop @ 10585, 10pts below the ST model to take into account bid/ask spread)
 

 
Medium Term Trading Book:
 

- No more medium term position at this stage.
Par sigmatradingoscillator - Publié dans : Market Analysis
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Lundi 28 juillet 2014 1 28 /07 /Juil /2014 08:29

The Sigma Whole Market Index pulled back on Friday. Recent uptrend is quiet choppy, next week will be very interesting. The market needs to move above the pink horizontal resistance in order to confirm the uptrend.

 

SWM20140725.JPG

 

Looking at our indicators, the Sigma Trend Index fell in negative territory, this is not a good sign for the market. It is crucial this index moves higher early next week or the market will be in trouble.

The Swing was at '2', telling us the decline was impulsive.

 

stmodel20140725.JPG

 

The DAX hit our stop loss on Friday: 9630.8 - 9738.15 = - 107.35 (loss)

 

Short Term Trading Book:
 

- SPX: long at 1978.44 (stop @ 1932, 3pts below the ST model to take into account bid/ask spread)
- NDX: long at 3940.03 (stop @ 3835, 5pts below the ST model to take into account bid/ask spread)
- CAC: long at 4348.16 (stop @ 4276, 5pts below the ST model to take into account bid/ask spread)
- EStox: long at 3174.33 (stop @ 3128, 5pts below the ST model to take into account bid/ask spread)
- DAX: stopped
- IBEX: long at 10511.80 (stop @ 10585, 10pts below the ST model to take into account bid/ask spread)
 

 
Medium Term Trading Book:
 

- No more medium term position at this stage.
Par sigmatradingoscillator - Publié dans : Market Analysis
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Vendredi 25 juillet 2014 5 25 /07 /Juil /2014 08:54

The Sigma Whole Market Index closed unchanged for the second consecutive session. The market is looking for its next direction. We are not far from recent highs and it will be interesting to see if we can retest this level in coming sessions.

 

SWM20140724.JPG

 

There is no change in our indicators.

 

stmodel20140724.JPG

 

The ST model computed new stop levels on all our positions:

 

stspx20140724.JPG

stndx20140724.JPG

stcac20140724.JPG

stdax20140724.JPG

stestox20140724.JPG

stibex20140724.JPG

 

Short Term Trading Book:
 

- SPX: long at 1978.44 (stop @ 1932, 3pts below the ST model to take into account bid/ask spread)
- NDX: long at 3940.03 (stop @ 3835, 5pts below the ST model to take into account bid/ask spread)
- CAC: long at 4348.16 (stop @ 4276, 5pts below the ST model to take into account bid/ask spread)
- EStox: long at 3174.33 (stop @ 3128, 5pts below the ST model to take into account bid/ask spread)
- DAX: long at 9738.15 (stop @ 9632, 10pts below the ST model to take into account bid/ask spread)
- IBEX: long at 10511.80 (stop @ 10585, 10pts below the ST model to take into account bid/ask spread)
 

 
Medium Term Trading Book:
 

- No more medium term position at this stage.
Par sigmatradingoscillator - Publié dans : Market Analysis
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Jeudi 24 juillet 2014 4 24 /07 /Juil /2014 08:57

The Sigma Whole Market Index consolidated on Wednesday. The divergence between large cap indexes (s&p100, s&p500, nasdaq 100) and small & mid cap indexes (Russell 2000, S&P Small Cap 600, S&P Mid Cap 400, ...) becomes extreme and we need a catch up from one side or the other one.

 

SWM20140723.JPG

 

Looking at the relative performance of large cap vs other sizes, we can notice that recent outperformance is unsustainable.

 

largevssmall20170723.JPG

 

Looking at our indicators, the Sigma trend Index continues to climb (at '10'). We are still far from the key '34' level, but this is something we have to monitor.

 

stmodel20140723.JPG

 

The ST model computed new stop levels on all our positions:

 

stspx20140723.JPG

stndx20140723.JPG

stcac20140723.JPG

stdax20140723.JPG

stestox20140723.JPG

stibex20140723

 

Short Term Trading Book:
 

- SPX: long at 1978.44 (stop @ 1930, 3pts below the ST model to take into account bid/ask spread)
- NDX: long at 3940.03 (stop @ 3833, 5pts below the ST model to take into account bid/ask spread)
- CAC: long at 4348.16 (stop @ 4268, 5pts below the ST model to take into account bid/ask spread)
- EStox: long at 3174.33 (stop @ 3120, 5pts below the ST model to take into account bid/ask spread)
- DAX: long at 9738.15 (stop @ 9625, 10pts below the ST model to take into account bid/ask spread)
- IBEX: long at 10511.80 (stop @ 10451, 10pts below the ST model to take into account bid/ask spread)
 

 
Medium Term Trading Book:
 

- No more medium term position at this stage.
Par sigmatradingoscillator - Publié dans : Market Analysis
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