Now that BSE Metals started to push higher in rankings, we decided to analyze the case of Hindalco, as it is the metal stock which retraced the most (94%) of the previous minor leg down (12 April – 9 June). Performance cycles are still positive and suggest an ongoing outperformance of Hindalco. This is why we carried an alternate positive scenario (red), which suggests an impulsive structure with a pending fifth leg up. This means that we are not ruling out the possibility of a new minor high. However, alternate remains a low probability scenario for now and our preferred view (black) continues to look at a completed minor B/2 wave up and now the beginning of the impulsive C/3 wave down. Performance cycles have moved up, but prices have not. This suggests over reactivity in RIEKI and validates our preferred view.
Our minor view on the broad market remains down and the large divergence between NIFTY and VIX continues to suggest fast negativity.
IDEA and NIFTY VIX remain at the two extremes of the numeric ranking. The sector ranking continues to suggest Consumer Durables and Banks as the best sectors to sell and BSE Oil and Healthcare as the best sectors to buy. NIFTY’s performance cycle is still topping and suggests a potential underperformance of the broad market in the coming weeks.
The pair tracker carries two fresh signals on the CAIL – Maruti and Nifty – Suzlon pairs. The long only – short only tracker carries 7 positive and 6 negative signals. The numeric ranking filter suggests IDFC as the best buy and Reliance Communications as the best sell. The top winner remains SBI with 16% gains.
The latest Alpha India carries pair tracker signals, numeric ranking, numeric ranking changes, performance cycles. For more information on Alpha India mail us at support@orpheus.asia
Performance Cycles
Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.
India Accuracy Report 2009
Alpha India
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 legs should be risk weighted before any implementation.
Coverage India: BSE Health Care and components
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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Orpheus Research at Reuters – United Kingdom
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