Alpha is designed from price performance. This is why all signals whether they come from numeric ranking, numeric ranking changes, performance cycles, strategy update should converge and not diverge. Executing the signals for passive investments should be easier than on active derivatives strategies. However, using mini Nifty futures, Nifty bees or spot stocks as one of the trading legs could reduce overall strategy risk. There are of course chances that a certain performance cycle may not work (not deliver anticipated profit), but this is more owing to intermediate cycles (multi week and higher), which may take time to turn.

Short Tisco – long Sterlite moved against us during the week and turned back. Now it is running at a marginal loss. We continue to run the pair expecting Tisco to underperform Sterlite. Other running pairs are Long Maruti – short M&M. We have a fresh signal in the case of Tata Motors. The long Nifty – short Tata Motors pair started on 2 Feb and has delivered gains over 3% so far. Other running pairs are HDFC Bank – ICICI Bank, Bhel-Acc, Sbi – Hdfc. We have closed the Dlf – Nifty, Bhel – Nifty and Acc – Nifty pairs at a profit. ACC, DLF have reached the top of the numeric rankings and confirms the action. Grasim  pushed higher to the top of the NR list and is the top potential underperformer stock for the weeks ahead, followed by the Hdbk and Itc. Sterlite, Icbk and M&M remain the top three potential outperformers.

The latest Alpha India carries numeric rankings, ranking changes, strategy update, long only – short only signals and pairs tracker.

Numeric Ranking

Performance Cycles – I

Strategy Update

Performance Cycles – II

ALPHA is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

TIME ARBITRAGE portfolio has 18 pairs CNXIT-NIFTY, RELIANCE-NIFTY, TCS-NIFTY, ONGC-NIFTY, INFOSYS-CNXIT, ONGC-RELIANCE, HDBK-ICBK, BHEL-ACC, GRAS-LNT, HLL-ITC, SBI-HDFC, NIFTY-STERLITE, NIFTY-HDBK, SBI-NIFTY, BHEL-NIFTY, NIFTY-ACC, TCS-CNXIT and SBI-HDBK. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. CNXIT/INFOSYS +A-B means LONG CNXIT, SHORT INFOSYS. While CNXIT/INFOSYS –A+B means SHORT CNXIT, LONG INFOSYS.

LONG ONLY, SHORT ONLY portfolio covers NIFTY, CNXIT, NSEBANK, RELIANCE, INFOSYS, ONGC, CIPLA, ICICI BANK, HDFC BANK, TISCO, BHEL, ACC, GRASIM, L&T, HLL, ITC, SBI, HDFC, STERLITE

STOP LOSS AND EXITS are activated at 4%

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

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Author: Orpheus | Date: 21 February 2010 | Comments (0)

Categories: Indian Pairs and Assets

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HDFC BANK DAILY (HDBK) Sub trend channel and key FIB resistances at 1,700 levels we continue to wait for a (z) leg down. Hdbk – Icbk pair performance cycles continue to suggest further underperformance of Hdbk against Icbk. DLF DAILY (DLF) Anticipated and happened As anticipated, prices pushed lower till first key FIB supports near psychological 300 levels.

To access member’s area or Orpheus estore click here.

‘Performance cycles’ is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

CHANNELS.INDIA is our second perspective product published on MONDAY, WEDNESDAY and FRIDAY. The report uses conventional technical tools and covers most top traded stocks. The report illustrates key price levels, price targets, price projections and time turn windows. WAVES.INDIA, CHANNELS.INDIA are bundled together as PERSPECTIVE products. Unlike WAVES which focuses more on blue chips, CHANNELS covers the other mid cap and small cap stocks also. CHANNELS.INDIA carries the Early Economic cycle sector components, which includes FINANCIAL and DISCRETIONARY sector stocks, the Mid Economics cycles sector which includes INDUSTRIAL sector stocks and the Late Economic Sector cycle including ENERGY, STAPLES, UTILITIES, PHARMA, CHEMICALS sector stocks. REUTERS EARLY ECONOMIC RICS DLF.NS, HDFC.NS, HDBK.NS, ICBK.NS, SBI.NS, INFY.NS, TCS.NS, MAHM.NS, UNTE.NS, TITN.NS REUTERS MID ECONOMIC RICS ASOK.NS, TAMO.NS, CROM.NS, BHEL.NS, LART.NS, MTNL.NS, IDEA.NS, BRTI.NS, RLCM.NS, TATA.NS REUTERS LATE ECONOMIC RICS ONGC.NS, RLIN.NS, NTPC.NS, ACC.NS, HALC.NS, TISC.NS, ABUJ.NS, CIPL.NS, RANB.NS, ITC.NS

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

Author: Orpheus | Date: 21 February 2010 | Comments (0)

Tags: channels

Categories: Accuracy India, Anticipated and Happened, India

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Impact outperformed BETXT (from 17 Sep) by 69%, SIF5 outperformed BETXT by 18% (13 Nov), TEL outperformed BETXT by 20% (since 30 Nov), SIF2 outperformed BETXT by 11%(since 24 Dec), TGN outperformed BETXT by 13%(since 24 Dec). Now all the above blue chips have a topping performance cycle suggesting a reversal in polarity against BETXT. Short Impact – Long BETXT signal has started (Impact underperformance compared to BETXT). Rest of the signals (SIF2, SIF5, TGN, TEL underperformance against BETXT) should follow in the coming trading sessions.

On the other side BRD and TLV underperformance against BETXT continues to run. BRD-BETXT and TLV-BETXT delivered 4% and 18% respectively. cycles turned in favor of TGN on 30 Nov last year when the pair performance cycles between BETXT and TGN turned up. The respective pair performance cycles has delivered 18% since then. The other running pairs are Long TGN – Short BETXT and Long SIF5 – Short BETXT. On the long only, short only side we have no short signals yet. A pair we carried in Aug 2009, long BETXT- short SNP is running at 29%.  On the long only, short only portfolio we have no short signals yet.

The latest ALPHA.ROM carries the latest Numeric Ranking on BETXT stocks, numeric ranking changes, long only – short only signals, performance and pair cycles and strategy updates.  TGN, TEL and SIF5 are the top ranked stocks while ATB, TLV, BRD are the worst.

Strategy Update

Numeric Ranking

Performance Cycles – I

Performance Cycles – II

Alpha is a pair trading, long only – short only strategy and numeric ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time Arbitrage portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 2% per traded pair. SIF2/SIF5 +A-B means LONG SIF2, SHORT SIF5. While SIF2/SIF5 –A+B means SHORT SIF2, LONG SIF5.

Coverage: SIF2, SIF5, SIF4, BRD, ERSTE, TGN, BETI, BETFI, BETNG, BETXT, SNP, DAFORA, TERAPLAST, ATB, BIO, BCC

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

Author: Orpheus | Date: 21 February 2010 | Comments (0)

Categories: Romanian Pairs and Assets

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The Contrian Cioban

The contrarian ‘Cioban’(Romanian for Shephard). We bring to an end a very interesting aspect on contrary opinion today. Next week we will discuss on how to invest on the basis of contrary opinion. To sum up some previous write ups, we discussed how market inflates and make bubbles and some historical bubbles. We tried relating these investment psychology aspects with the Romanian market. And as we delve week over week in the investment psychology, which drives market, the more convinced we get that what drives markets globally drives prices locally.

Pride goes before a loss

Pride Goes Before a Loss. “Pride of opinion has been responsible for the downfall of more men on Wall Street than any other factor”. These were the words of Charles Dow, the man who gave the word its first Index and the man who founded ‘The Wall Street Journal’. Building on Objective and Independent thinking, the sentiment theorist also understand the need to be humble. He is clear about the fact that markets are supreme and he should try to not have an ego equation with the market. It’s a recipe for disaster.

Independent Thinking

Independent Thinking. Despite the difficulty to be Objective, which is easier said than done, one should try to be as much impartial as possible. For the most part, exogenous factors have an unhealthy effect on our emotions, distracting us from clear and independent thinking. As such they represent a major obstacle to achieving our investment goals. The obvious solution would be to move to an isolated part of the world, turn off all communications and never read a newspaper. In this way we would never have our views distorted by events and outside opinions. But then it’s not a very practical solution.

How to be objective

How to be Objective. After the “Holy Grail” that we discussed last time highlighting that there’s no perfect tool and no formula that can make you quick rich, today we talk about another aspect of investment psychology. It deals with one’s own self. There are no certainties in the investment world, and where there are no certainties, one should begin with his own self. Since emotional commitment accompanies actual investment biases and prejudices are bound to creep in. A successful investor realizes this and tries to maintain psychological balance through self control. A self control that helps him/her keep a mental balance and avoid most of the noise from news, gossip and sharp changes in price that can set nerves quivering and emotion shivering between the two extremes of fear and greed.

There is no holy grail

There is no Holy Grail. Picking up the thread from where we left last time, the sentiment theorist is a kind of contrarian and someone who understands investment psychology. And the first step in investment psychology is knowing yourself. One who understands himself understands the dynamics ofmass psychology. As its mass psychology thatmakes markets.

The sentiment theorist

The Sentiment Theorist. We had have many theories till now covering every aspect of our life and about every detail. Theories which we read at school, and theories we had to cram for exams, theories on management and then theories on market. Every one of us has a theory, an explanation, of how we think something works or should work. Well! many of these theories are true and profound, the scientific theories specially. It’ s the theories of market which I will try refuting in these weekly columns using an odd sounding sentiment theory.

Patience is a profitable virtue

Patience is a Profitable Virtue. Last time we talked about the Pride and how it leads the loss a player incurs in the market. Today we discuss “Patience” and its related virtues. This is the penultimate part of mastering yourself before you take on the market.

Bubbles come and go and come again

Bubbles come and go and come again. There is something fascinating about human psychology. It is cyclical. Bank failures and manias mark the history of markets on a cyclical basis. What ever the regulators may do to control frauds, they invariably happen with a cyclical accuracy. The reason being that human behavior is patterned and mass psychology moves from confidence to optimism to greed to fear to panic and then back again. Today we continue the part with the contrarian approach and discuss some historical cases of market bubbles.

How does the bubble inflate?

After discussing about the reasons and techniques to master yourself today we start another aspect of investment psychology. This part as Martin Pring would define belongs to the learning’s from the street, the Wall Street in USA, the Dalal Street in Bombay or the Strada Carol I Boulevard BVB as Romanian traders would like to put it.

Staying the course

It really does not matter whether you are a trader or investor. The problems are the same. Only time horizons differ. Sticking to a plan is tough, as people, developments and psychological hurdles ar ready to trip us at the first opportunity. Though important to stay course, its also important to be flexible. Being flexible makes sense if bases of change lie in underlying economic conditions and not a comment by a broker, news or some unexpected news event. In the latter case, the change is internal not external.

Introduction

The smart investor is mostly a contrarian and someone who understands investment psychology. And the first step in investment psychology is knowing yourself. One who understands himself understands the dynamics of mass psychology. As its mass psychology that makes markets.

Author: Orpheus | Date: 21 February 2010 | Comments (0)

Categories: Archives, Primers

We recommend: The Orpheus Virtual Store | The Orpheus Research at Reuters: UK, USA

The Dow performance cycles have turned lower. The Dow is set to underperform the S&P 500 and many other global benchmarks like Indian Sensex and Hong Kong Hang Seng. This is not very surprising as HSI and Sensex share a high correlation. Moreover Hang Seng has been underperforming DOW since May 2009. The Long Dow – short Hang Seng pair delivered 17% for the period. The polarity has reversed now and the running pair is Long Hang Seng – Short DOW.

There are more potential underperformers now. Maybe the net number of topping cycles compared to bottoming cycles might have some forecasting cues. Barring Sensex and Hang Seng most other global indices have falling performance cycles. The latest alpha carries numeric rankings, numeric ranking changes, alpha tracker, performance and pair cycles.

Alpha Tracker – Week over Week, Month over Month, Year to Date

Strategy Update

Numeric Ranking

Performace Cycles

ALPHA is a pair trading, long only – short only strategy and numeric ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

COVERAGE: BVSP (Brazil), IRTS (Russia), Sensex (India), DOW (US), DAX (Germany), CAC (France), Nikkei (Japan), Hang Seng (Hong Kong) .

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

Author: Orpheus | Date: 21 February 2010 | Comments (0)

Categories: Global Pairs

We recommend: The Orpheus Virtual Store | The Orpheus Research at Reuters: UK, USA

WAVES.GOLD is a perspective product published on Tuesday and Thursday. The report highlights GOLD and other precious and base metals. The product highlights Primary (Multi Month) and Intermediate (Multi Week) price trends. The report illustrates key price levels, price targets, price projections and time turn windows. The product uses Elliott waves, traditional technical analysis tools, sentiment indicators and other alternative research tools like INTERMARKET to spot outperformers.

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

REUTERS RICS: XAU=, XAG=, XPT=, CU-NYC, .SPGSIZ, SPGSIA,.NSTL

ORPHEUS STORE

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

Author: Orpheus | Date: 21 February 2010 | Comments (0)

Categories: Metals

We recommend: The Orpheus Virtual Store | The Orpheus Research at Reuters: UK, USA