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.
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.
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
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:
Medium Term Trading Book: