BHEL starts to underperform. Short Bhel – Long Nifty begins. Long Nifty – Short TCS is at parity and edging up in positive zone. Maruti – M&M continues to hold and is positive 10% since 18 Jan 2010. On the negative side Grasim vs. Nifty is still 2% negative since 25 Feb initiation. Tata Motors vs. Nifty witnessed volatility as Tata Motors retest previous outperformance highs and has stopped out along with Tisco – Sterlite. We expect both the stopped out pairs to reversing coming trading sessions. We are expecting potential reversals in the second week of March in SUN, ACC (underperformance against Nifty). And despite all negative news we expect a positive DLF outperformance against Nifty.
Not many oscillators can explain why Tata Motors and Bhel should underperform Nifty. We reviewed the performance cycles again for the above stocks. TCS has a topping outperformance against Nifty since Aug 09, Tata Motors is outperforming Nifty since Apr 08, Maruti has underperformed M&M since Sep 09, DLF has been falling in a secular under performance trend against Nifty since Apr 08 and BHEL has been topping in performance against Nifty since Jun 09. All the stocks under study in this week’s alpha have more than 6 months trend behind them. Performance like anything else takes pauses, retracements and also reverses after a secular performance trend. The indications continue to point at a multi week reversals in the respective performance trends.
This week we have introduced Nifty Futures instead of Axis Bank in the rankings. After Grasim turns lower from top rankings we will also do the Nifty adjustment. The latest Alpha India carries numeric rankings, changes in rankings, long only – short only signals, pair tracker, pair cycles and performance cycles. The latest feature of time triads is dedicated to long Nifty Bees – Short Nifty futures. Enjoy the latest Alpha. India.
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.
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.
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