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5 mars 2015 4 05 /03 /mars /2015 08:48

Europe:

The Sigma Whole Europe Index was under selling pressure in the morning but the decline was (once again) a good opportunity for investors to jump in the market and to put some money at work. Let's the party continues, this is Mario's happy hours ...

05/03:The market wants extended period
05/03:The market wants extended period

It is interesting to notice the volatility of European volatility continues to rise. Keep an eye on this.

05/03:The market wants extended period

The Sigma Trend Index is close to its zero line. Other indicators are neutral at '3'.

United States:

The Sigma Whole Market Index declined below the red horizontal support during the session but it was able to close right above it. The possible consolidation we mentioned yesterday (4th wave) is maybe close to an end, and the market could resume its advance by the end of this week.

05/03:The market wants extended period

Both the DJ Utilities and the Transport didn't confirm recent top, so we need to monitor those indexes.

05/03:The market wants extended period
05/03:The market wants extended period
05/03:The market wants extended period

The Sigma Trend Index is testing its zero line, le's see what happens now.

The ST model lowered most of its stop on European positions

Trading book

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4104, 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: theoretical short at 3549 (stop @ 3655, 5pts above the ST model to take into account bid/ask spread)

- DAX: theoretical short at 11280 (stop @ 11585, 10pts above the ST model to take into account bid/ask spread)stopped

- IBEX: short at 10989.9 (stop @ 11315, 10pts above the ST model to take into account bid/ask spread)

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4 mars 2015 3 04 /03 /mars /2015 09:52

Europe:

The Sigma Whole Europe Index lost some ground on Tuesday. This is not really surprising because the market had to take a breath. Let's see what happens in coming days, after some consolidation.

04/03: Not convinced the blow-off is already over

It is interesting to notice the IBEX printed (at this stage) a perfect double top pattern and that the FTSE could be printing a false break pattern if the market confirms Tuesday's decline. Other European indexes are very strong.

04/03: Not convinced the blow-off is already over
04/03: Not convinced the blow-off is already over

Looking at our indicators, the Swing came in at '2'. By doing so, the ST model generated a fresh 'sell' signal in Europe.

Nevertheless, as we got some stop losses in recent weeks, we decided to only implement the short for the IBEX. We will report the evolution of other theoretical positions but we want to limit our short exposure at this stage (not sure the blow-off is already over).

We sold 1 IBEX @ 10989.9

04/03: Not convinced the blow-off is already over

United States:

The Sigma Whole Market had a negative session on Tuesday but it remains above its red horizontal support at this stage. So, there is no material danger at this stage.

Looking at te DJT, it seems the market printed 3 waves in recent up leg. So, current consolidation could be a 4th wave, prior to a final upleg (the 5th one). Looking at the DJU, it seems we got a 5 waves decline => we could get a 3 waves ('abc') pullback in coming days.

04/03: Not convinced the blow-off is already over
04/03: Not convinced the blow-off is already over
04/03: Not convinced the blow-off is already over

The Sigma Trend Index declined to '4' but it remains above its zero line. Both the Swing and the Power Level were neutral at '3'.

04/03: Not convinced the blow-off is already over

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4104, 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: theoretical short at 3549 (stop @ 3661, 5pts above the ST model to take into account bid/ask spread)

- DAX: theoretical short at 11280 (stop @ 11629, 10pts above the ST model to take into account bid/ask spread)stopped

- IBEX: short at 10989.9 (stop @ 11355, 10pts above the ST model to take into account bid/ask spread)

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3 mars 2015 2 03 /03 /mars /2015 06:39

Europe:

The Sigma Whole Europe Index contines to rally. We can notice a 'doji' on Monday but we are not convinced it is a reversal sign because European indexes were very strong during US session (after EU close).

Nevertheless, it is interesting to notice that the volatility of European volatility is picking up again and moved above its downtrend. It is not a good sign for the market.

3/3: The party is not over
3/3: The party is not over

The Sigma Trend Index fall back below the key '34' level but other indicators remain neutral at '3'.

Both the Swing and the Power Level are neutral at '3'.

 

3/3: The party is not over

We were stopped on both the Estoxx and the Ibex:

- Estoxx stopped @ 3600.17 => 3511.63 - 3600.17 = -88.54

- IBEX: stopped @ 11216.35 => 11006.8 - 11216.35 = -209.55

United States:

The Sigma Whole Market Index was able to bounce back on its horizontal support and it seems it is ready to print new highs.

Looking at various US indexes, we can notice a mixed picture: the NDX was able to move above 5000 while the DJU continued to slide.

3/3: The party is not over
3/3: The party is not over
3/3: The party is not over
3/3: The party is not over
3/3: The party is not over
3/3: The party is not over
3/3: The party is not over

The Sigma Trend Index was able to bounce back but we are far from the key '34' level. The Swing came in at '4', telling us the session was impulsive.

The ST model uplifted its stop on the NDX

3/3: The party is not over
3/3: The party is not over

- SPX: stopped

- NDX: long at 4236.28 (2014's close) (stop @ 4104, 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: stopped

- IBEX: short at 11006.8 (stop @ 11216, 10pts above the ST model to take into account bid/ask spread)

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2 mars 2015 1 02 /03 /mars /2015 13:50
2/3: Some signs of reversal in US, again able to upload charts (grrrrrrrrr...)

Europe:

The Sigma Whole Europe Index continues to rise and there is little doubt we are in a blow-off top pattern.

This kind of action is fully in line with what has been described by D. Sornette. (Interesting presentation, have a look at it: https://www.youtube.com/watch?v=C_eFjLZqXt8)

2/3: Some signs of reversal in US, again able to upload charts (grrrrrrrrr...)

The Sigma Trend Index remains in overbought territory and there is no sign of reversal at this stage.

Our 'short' position on the DAX was stopped @ 11392.45 => 11101.5 - 11392.45 = -290.95

2/3: Some signs of reversal in US, again able to upload charts (grrrrrrrrr...)

United States:

The Sigma Whole Market Index starts to show some signs of reversal. It is important to monitor if the market is able to stay above the red horizontal support.

2/3: Some signs of reversal in US, again able to upload charts (grrrrrrrrr...)

Most US indexes are experiencing the same kind of consolidation pattern.

2/3: Some signs of reversal in US, again able to upload charts (grrrrrrrrr...)
2/3: Some signs of reversal in US, again able to upload charts (grrrrrrrrr...)
2/3: Some signs of reversal in US, again able to upload charts (grrrrrrrrr...)
2/3: Some signs of reversal in US, again able to upload charts (grrrrrrrrr...)
2/3: Some signs of reversal in US, again able to upload charts (grrrrrrrrr...)

The Sigma Trend Index remains close to its zero line and it will be interesting to see what happens in coming sessions.

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: stopped

- IBEX: short at 11006.8 (stop @ 11216, 10pts above the ST model to take into account bid/ask spread)

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2 mars 2015 1 02 /03 /mars /2015 08:42

My problems continue with over-blog:

- they changed the administrator interface during the week-end and I'm unable to have access to my librairies

- they imposed adds that I don't want on my blog

- I'm (again) unable to upload any chart on the blog

Damn. It seems I'll have to look for some alternative....

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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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  • : 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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