The most interesting part of our work is to think about a query and filter out ideas. And when I mean query, I mean just anything linked to a time series, be it technical, sentimental, fundamental or statistical. So what did we do today? We said let’s put a billion dollar filter and sort out companies from BSE500 that have Price/Book less than 1 and then analyse them based on rankings and technicals. So what have we achieved? We have a query that uses fundamentals, economic value (market capitalization) along with statistical rankings to judge potential outperformers. Because it’s not just about inexpensive value, it is also about extreme reversion (when the worst will start outperforming). And just to make sure we are picking up large companies we put the billion dollar filter.

So what did we observe?

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Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Domnita Pascut is the founding member of Orpheus Capitals.  Her interest in charts and market patterns was an extension of her keen understanding of social mood and sentiment. How charts could say so much intrigued her. She worked on market patterns, economic research, cyclicality and economic history. It was her liking for history which helped her see the cyclical natures of markets and patterns. Domnita gives more weightage to conventional technical analysis, channels, trendlines, market patterns and Fibonacci. She combines all this with basic Elliott structures, performance cycles and high low close bars.

Author: Orpheus | Date: 16 May 2012 | Comments (0)

Categories: India, Research Updates

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Risk management should be a key objective for all market participants. Because there are five aspects of markets i.e. small gain, small loss, no change, big change and big loss. To remain in the investment arena one needs to just focus on one and one thing only, avoiding the big loss. If we can avoid the big loss we can accumulate consistent wealth. For us avoiding this big loss is search for Alpha.

There are various ways to reduce risk, diversification, value picking etc. We at Orpheus combine diversification and value picking with seasonality and statistics. We use various conventional approaches in a statistical framework to diversify and filter out assets. The objective is to reduce risk. This is why we call this indexing approach as Orpheus Risk Management Indices.

Here we have taken Indian top 200 assets and filtered them using performance parameters like performance cyclicality (worst becomes best), relative outperformance and a few price trend filters. Not so surprisingly the ORMI India delivered 235% since 2007. Nifty delivered 26% for that period.

The strengths of ORMI India. It filters out the outperformers. It illustrates how even in a falling market, there can be absolute winners. Despite the crisis the ORMI India dipped 7% only.

What are the weaknesses? It is an active Index, with average holding periods around 90 days. It filters out most of the stocks and only holds a few components. In case markets get more negative and the Index fails to filter out absolute outperformers, the Index will increase it’s cash component. We plan to increase the universe to BSE 500 and the size of the selected components to 30.

As we improve and enhance the Index construction, we will release new versions, sector and global indices. The latest ALPHA carried the current running components and units.

Mail us for subscription details or download the report from our Reuters store.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Avinash Barnwal is Master of Science in Statistics and Informatics from IIT Kharagpur. He has worked on human response time at Department of Psychology, University of Amsterdam.  Avinash is a Quantitative Analyst at Orpheus developing money management solutions and building statistical models to address temporal challenges.

Author: Orpheus | Date: 15 May 2012 | Comments (0)

Categories: India, Research Updates

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Any pattern assumes predictive power when it repeats, is cyclical. Another way to understand this is through buyer – seller psychology. Buyers can not be always in charge and vice versa. Even psychology itself is cyclical, patterns are connected to psychology. Today we look at a pattern called ‘the full stomach’. Candlestick theory states that after about eight to ten new highs or lows, without a meaningful correction, the odds are strong that a significant correction will unfold. Each new high or new low for the move is called a “new record high” or “new record low” by the Japanese. Thus the Japanese will say there are ten record highs or lows, meaning there were a series of ten higher highs or lower lows. If there are, say, eight new highs without a meaningful correction, the Japanese refer to the market by using the expression “the stomach is 80% full.” What is interesting about the gold chart below is that prices have 10 year successive gold record highs.

This suggests that Gold may be with a stomach 80% full. These are yearly charts and the current 2012 price chart is barely half way through. In any case a negative year does not seem like an impossibility. Now that prices are below 1,600, further negative confirmation might take Gold to 1,400 levels or even lower. There is another thing one has to understand. Though a stomach full pattern might suggest a reversal (upward or downward) a reversal can be even a sideways price action. In case a reversal becomes deep and more than 61.8% of the previous move, we can even consider it a reversal in trend. The current report has taken a few Indian and global equity and commodity Indices to understand their respective outlooks.

To read the latest report download it from our Reuters Store or mail us for subscription details.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Coverage India: CNX100, BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, 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.

Author: Orpheus | Date: 14 May 2012 | Comments (0)

Categories: Global, Research Updates

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It’s the very nature of market to be excited. It feeds on excitement. Last week’s negative price action has got some Bear’s excited. But what is going to happen does not depend one day or a week or a month of negativity, but weight of evidence. Which means that more indications should point to a reversal than otherwise. Investors or traders should wait for a clear picture of a trend reversal because the goal is not to confuse a true reversal in the primary trend with a secondary trend or brief correction. Remember that a secondary trend is a move in the opposite direction of the primary trend that will not continue.

The last time we talked about role reversal. The respective support reversals still stand firm and are unbroken. We need a clear break at DOW 12,800 and S&P500 1,350 to look for some multi week negativity. Till then it’s all a negative excitement which is more potential than real.

Even if we look at the commodity trends, falling Crude and stagnating Gold continues to suggest reduced fear in the global markets. Above this the relative trend of Brazilian Bovespa seems to have bottomed against the Shanghai Index. The Chinese SSEC is at a historical 20 year underperformance low vs. Bovespa. Now this is one weight of evidence that suggests that China could outperform Brazilian Bovespa. If this is happening it is a big positive for the global equity and continued underperformance for commodity markets. The Indian market continues to reel under selling pressure falling below key 17,000 supports. On a retracement level this is still less that 50% fall of the upmove from start of the year. We continue to look at the ongoing down leg on India as a counter trend move which should bottom near current levels.

To read the latest report download it from our Reuters Store or mail us for subscription details.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal in March 2009. Ionut is a professor of Corporate Finance at Babes -Bolyai University and a post doctorate fellow at the Kobe University in Japan. He is fluent in Japanese, Romanian and English.

The Bric Model from a Japanese Perspective
Ionut Nistor – Econohistory

Author: Orpheus | Date: 13 May 2012 | Comments (0)

Categories: Global, Research Updates

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

To read the latest report download it from our Reuters Store or mail us for subscription details.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Coverage India: CNX100, BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, 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.

Author: Orpheus | Date: 11 May 2012 | Comments (0)

Categories: India, Research Updates

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

To read the latest report download it from our Reuters Store or mail us for subscription details.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal in March 2009. Ionut is a professor of Corporate Finance at Babes -Bolyai University and a post doctorate fellow at the Kobe University in Japan. He is fluent in Japanese, Romanian and English.

The Bric Model from a Japanese Perspective
Ionut Nistor – Econohistory

Author: Orpheus | Date: 10 May 2012 | Comments (0)

Categories: Global, Research Updates

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

To read the latest report download it from our Reuters Store or mail us for subscription details.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Domnita Pascut is the founding member of Orpheus Capitals.  Her interest in charts and market patterns was an extension of her keen understanding of social mood and sentiment. How charts could say so much intrigued her. She worked on market patterns, economic research, cyclicality and economic history. It was her liking for history which helped her see the cyclical natures of markets and patterns. Domnita gives more weightage to conventional technical analysis, channels, trendlines, market patterns and Fibonacci. She combines all this with basic Elliott structures, performance cycles and high low close bars.

Author: Orpheus | Date: 08 May 2012 | Comments (0)

Categories: India, Research Updates

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

We have received a lot of queries about pair trading. A section of the market still thinks about pair trading as a novel way to make money. For us pair trading is about identifying a trend, a relative trend between two assets over a certain holding period.

This relative trend can be used for pairs or for creating a portfolio of winning stocks. This is why we use relative pair strategies to select stocks for our model portfolios. A few other reasons why we use relative pair performance to filter out stocks. First, even pair performance is connected in time. A winning stock can underperform a losing stock, the moment you stretch time (change holding period). Second, conventional pair trading (or statistical arbitrage) is thought to be better in the highly correlated pairs. It is assumed that tighter the pair correlation, better the inter pair hedge and better the risk situation. In our time fractals paper we explained how even high correlated pairs can generate a large performance divergence and more than a risk free rate of interest.

However trading tight correlated pairs is very poor way to do pair trading. Because a better pair selection can tremendously improve the risk-return equation. What’s a good pair selection? Jiseki helps us identify a top potential outperformer and top potential underperformer in a large group of 1000 stocks. For example here we have illustrated the best portfolio long component vs. the best short portfolio component. The most unlikely of pairs, a pharmaceutical company clubbed with a metals major is not your conventional pair, but what is non conventional might have a better risk-return. The pair was negatively correlated and delivered 52% in 54 days. The latest ALPHA carries the portfolio update.

To read the latest report download it from our Reuters Store or mail us for subscription details.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Domnita Pascut is the founding member of Orpheus Capitals.  Her interest in charts and market patterns was an extension of her keen understanding of social mood and sentiment. How charts could say so much intrigued her. She worked on market patterns, economic research, cyclicality and economic history. It was her liking for history which helped her see the cyclical natures of markets and patterns. Domnita gives more weightage to conventional technical analysis, channels, trendlines, market patterns and Fibonacci. She combines all this with basic Elliott structures, performance cycles and high low close bars.

Author: Orpheus | Date: 04 May 2012 | Comments (0)

Categories: India, Research Updates

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

We are almost half way through the year and broad markets are still net positive. Now that we are in May and into a negative seasonal period, it might be interesting to review whether the ‘Sell in May and Go away’ would really work this time. Markets have an ability to trash all known seasonality, specially if it becomes an accepted belief.

Though we are running more short ideas in our running portfolio compared to running longs, we have started to close SHORTS. We closed…

To read the latest report download it from our Reuters Store or mail us for subscription details.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Coverage India: CNX100, BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, 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.

Author: Orpheus | Date: 01 May 2012 | Comments (0)

Categories: India, Research Updates

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

Mukul Pal, is a Chartered Market Technician, MBA Finance and a member of the reputed Market Technicians Association (MTA). He has more than a decade of Capital Market experience dealing with derivatives and global assets. He has worked for Bombay Stock  Exchange, multinational Banks and brokerage houses in leading research positions before starting on his own in 2005. He is the President of the MTA Central and Eastern European Chapter.

Author: Orpheus | Date: 30 April 2012 | Comments (0)

Categories: Global, Global Equity, Performance Cyclicality, Research Updates

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