Mercredi 16 avril 2014 3 16 /04 /Avr /2014 09:15

The market was able to print a bullish candle on Tuesday: after a new low, the market was able to rally and closed near the session's high. The close was right on the blue horizontal resistance. So, either the correction is over (clear 'abc') or the bounce back is over and we will resume the decline in coming sessions. Looking at the chart, we have a slight preference for the 'end of the correction' scenario.

 

SWM20140415.JPG

 

Looking at our indicators, the Swing was at '4', telling us the move remains impulsive.

 

stmodel20140415.JPG

 

The ST model computed new stop levels on most of our positions:

 

stspx20140415.JPG

stndx20140415.JPG

stcac20140415.JPG

stdax20140415.JPG

stestox20140415.JPG

stibex20140415.JPG

 

Short Term Trading Book:

 

- SPX: long at 1830.28 (stop @ 1787, 3pts below the ST model to take into account bid/ask spread)

- NDX: long at 3477.72(stop @ 3370, 5pts below the ST model to take into account bid/ask spread) 

- CAC: long at 4374.06(stop @ 4300, 5pts below the ST model to take into account bid/ask spread) 

- EStoxx: long at 3115.67 (stop @ 3064, 5pts below the ST model to take into account bid/ask spread)

- DAX: long at 9275.85 (stop @ 9189, 10pts below the ST model to take into account bid/ask spread)

- IBEX: long at 10131.3(stop @ 10022, 5pts below the ST model to take into account bid/ask spread) 

 

 

Medium Term Trading Book:

 

- No more medium term position at this stage.

 

 

Out of model position: 

 

- 1 put SPX, MAY, strike 1400 @ usd2.85

- 2 short NDX @ 3487.38

Par sigmatradingoscillator
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Mardi 15 avril 2014 2 15 /04 /Avr /2014 14:13

The Sigma Whole Market Index bounced back on Monday and it seems it is just a bounce back from oversold territory. As long as the market remains below recent trading range, we consider the situation is negative. Nevertheless, we can't consider the situation is 'highly' bearish as long as we remain above the red ascending line.

 

 

SWM20140414.JPG

 

Looking at our indicators, the swing was at '4' on Monday. As the Trend Level was at '1' on Friday, it means we got a confirmed buy signal.(have a look at the link in the right column if you want more details on our methodology).

To be honest, we have no conviction in this buy signal but we have to admit that our ST model has a better track record than our own feeling, this is the reason why we don't take major divergence with the model.

 

stmodel20140414.JPG

 

So, we followed the ST model and bought:

- 1 CAC @ 4374.06

- 1 DAX @ 9275.85

- 1 Estox @ 3115.67

- 1 IBEX @ 10131.3

- 1 SPX @ 1830.28

- 1 NDX @ 3477.72

 

stspx20140414.JPG

ndx20140414.JPG

stdax20140414.JPG

stcac20140414.JPG

stestox20140414.JPG

stibex20140414.JPG

 

Short Term Trading Book:

 

- SPX: long at 1830.28 (stop @ 1782, 3pts below the ST model to take into account bid/ask spread)

- NDX: long at 3477.72(stop @ 3365, 5pts below the ST model to take into account bid/ask spread) 

- CAC: long at 4374.06(stop @ 4292, 5pts below the ST model to take into account bid/ask spread) 

- EStoxx: long at 3115.67 (stop @ 3048, 5pts below the ST model to take into account bid/ask spread)

- DAX: long at 9275.85 (stop @ 8909, 10pts below the ST model to take into account bid/ask spread)

- IBEX: long at 10131.3(stop @ 9974, 5pts below the ST model to take into account bid/ask spread) 

 

 

Medium Term Trading Book:

 

- No more medium term position at this stage.

 

 

Out of model position: 

 

- 1 put SPX, MAY, strike 1400 @ usd2.85

- 2 short NDX @ 3487.38

Par sigmatradingoscillator - Publié dans : Market Analysis
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Mardi 15 avril 2014 2 15 /04 /Avr /2014 10:39

Sorry, I'm very busy today, I will post the update later

Par sigmatradingoscillator
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Lundi 14 avril 2014 1 14 /04 /Avr /2014 18:03

Following recent weakness in the market and as the market is now trading below its recent trading range, we decided to open a side bet on the NDX (because this index has been the weakest for a couple of weeks).

 

We solde 2 NDX @ 3487.38

Par sigmatradingoscillator - Publié dans : Trade
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Dimanche 13 avril 2014 7 13 /04 /Avr /2014 12:43

Here is our year to date P&L review. In the case of the SPX, the long position opened in February is still open, this is the reason why we have less transactions on this index.

 

plspx20140411.JPG

plndx20140411.JPG

plibex20140411.JPG

plestox20140411.JPG

pldax20140411.JPG

plcac20140411.JPG

Par sigmatradingoscillator - Publié dans : Profit & Loss
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Dimanche 13 avril 2014 7 13 /04 /Avr /2014 12:02

On Thursday we wrote: ... "Is it a bounce back in a downtrend? Is the correction already over? As long as the market remains above the blue horizontal support, we must favor the second solution."....

The market clearly broke the blue horizontal support and we got an acceleration to the downside. The market remains within the red uptrend channel (at this stage) but it would be really bearish if the market breaks this uptrend channel.

 

SWM20140411.JPG

 

Looking at the relative performance between the S&P1500 and the US 10y T-Notes, the situation continues to deteriorate. Tthis is a major warning signal for bulls.

 

bdseq20140411.JPG

We reach the same conclusion looking at the relative performance between US cyclicals and US defensives stocks.

 

cyclvsdef20140411.JPG

 

Looking at our indicators, the Sigma Trend Index took a hit on Friday, it is now deeply in the red at '-54'. The swing was at '2' and the Power Level was at '1', this tells us the decline was highly impulsive.

 

stmodel20140411.JPG

 

Nearly all positions were stopped on Friday because we reached stop levels. So, we booked some modest gains (on an aggregate basis):

 

- NDX stopped at 3446.83 => 3446.83 - 3536.25 = -89.42 (loss)

 

- CAC stopped at 4338.91 => 4338.91 - 4271.74 = 67.17 (profit)

 

- Estox stopped at 3108.77 => 3108.77 - 3050.32 = 58.45 (profit)

 

- DAX stopped at 9373.84 => 9373.84 - 9189.05 = 184.79 (profit)

 

- IBEX stopped at 10258.10 => 10258.10 - 10496.50 =  -238.4 (loss)

 

Short Term Trading Book:

 

- SPX: long at 1754.73 (stop @ 1811, 3pts below the ST model to take into account bid/ask spread)

- NDX: stopped

- CAC: stopped

- EStoxx:  stopped

- DAX: stopped

- IBEX: stopped

 

 

Medium Term Trading Book:

 

- No more medium term position at this stage.

 

 

Out of model position: 

 

- 1 put SPX, MAY, strike 1400 @ usd2.85

 

Par sigmatradingoscillator - Publié dans : Market Analysis
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Vendredi 11 avril 2014 5 11 /04 /Avr /2014 08:18

The Sigma Whole MArket Index closed (just) below its trading range. It will be crucial for the market to re-enter the range on Friday because a second close below the blue line will probably trigger further selling pressure.

 

SWM20140410.JPG

 

The Swing was at '1' and the Power Level was at '2', this tells us the move was highly impulsive but we already knew that looking at the size of the black candle.

The Sigma Trend Index closed at '-27', this is a sharp decline in one session.

 

stmodel20140410.JPG

 

The ST model uplifted some stops:

 

stcac20140410.JPG

stdax20140410.JPG

 

Short Term Trading Book:

 

- SPX: long at 1754.73 (stop @ 1811, 3pts below the ST model to take into account bid/ask spread)

- NDX: long at 3536.25(stop @ 3447, 5pts below the ST model to take into account bid/ask spread) 

- CAC: long at 4271.74(stop @ 4339, 5pts below the ST model to take into account bid/ask spread) 

- EStoxx: long at 3050.32 (stop @ 3109, 5pts below the ST model to take into account bid/ask spread)

- DAX: long at 9189.05 (stop @ 9374, 10pts below the ST model to take into account bid/ask spread)

- IBEX: long at 10496.5(stop @ 10260, 5pts below the ST model to take into account bid/ask spread) 

 

 

Medium Term Trading Book:

 

- No more medium term position at this stage.

 

 

Out of model position: 

 

- 1 put SPX, MAY, strike 1400 @ usd2.85

Par sigmatradingoscillator - Publié dans : Market Analysis
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