Rate of Change is an Oscillator. Oscillators are indicators that are designed to determine whether a market is “overbought” or “oversold.“ An oscillator is generally plotted at the bottom of a graph, below the price action. As the name implies, an oscillator is an indicator that goes back and forth within a range. “Overbought” and “oversold” conditions (the market extremes) are indicated by the extreme values of the oscillator. In other words, as the market moves from overbought, to fairly valued, to oversold, the indicators have different ranges in which they vary. Often, the oscillator will be scaled to range from 100 to -100 or 1 to -1, but it can also be unbounded (without a fixed range) like the rate of change.

The above was the conventional interpretation, non conventionally a ROC can be also used as a cycle. Because just like a cycle, the ROC oscillated from a bottom to a top and back. Here we have also plotted the yearly ROC on the DOW Jones Industrial average. The aim is to understand a large cycle on the global popular indices. And whether the cycle is bottoming or topping? Whether we are in a period of extended uncertainty or is it a great bottoming opportunity in a few weeks? One should remember that sentiment is not going to be positive at a market or cycle low. The larger or more significant the low, the more worried and negative the sentiment.

ROC and momentums are used for a default 14 periods. The yearly ROC here is for 14 years. This gives it a cycle of an average 28 years (14*2). Sometime the cycle becomes a bit larger and sometimes a bit smaller than the average 30 years. As you can see the last ROC cycle started in 1982 and is finishing now in 2012. This is 30 years. The last one started in 1942 and was a 40 year cycle.

There is another key observation that is visible here. A falling ROC from 2000 high has not accompanied a falling price. This same thing happened in 1965 to 1982. What does a falling ROC without falling prices mean? Despite negative seasonality, negative time, markets hold firm ground and choose to stagnate rather than fall. When markets choose to retrace in time rather than retrace in time, it’s sign of strength, consolidation and accumulation rather than otherwise. It is always essential to look at the larger picture, because larger trend dictates the smaller trend. Now with markets reeling under negativity, the short term outlook seems negative. But this larger annual outlook suggests that larger multi year trend is still positive on DOW. This report carries a ROC outlook for India, China, Brazil, MSCI Asia and Eastern Europe.

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: 21 May 2012 | Comments (0)

Categories: Global, Global Indices, Research Updates

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

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 Global: Dow 30 components, Global Indices, ETF SPDRS, Commodities

Dan-Andrei Rusu graduated in 2005 the Faculty of Economics Cluj-Napoca, “Dimitrie Cantemir” University. In the same year he joined BT Securities as a financial analyst. He is currently the Head of Research at BT Securities and a speaker with Romanian Brokers’ Association. He is an MTA (Market Technicians Association, New York) affiliate and cleared CMT level 1 exam. He is a contributing columnist for Orpheus Capitals for the ALPHA GLOBAL INDICES.

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

Categories: Global, Global Indices, Research Updates

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

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

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

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.

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

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

Once you understand the concept of a trend, the next major concept is that of support and resistance. You’ll often hear analysts talk about the ongoing battle between the bulls and the bears, or the struggle between buyers (demand) and sellers (supply). This is revealed by the inability of prices to move above a (resistance) or below a (support). Resistance, is the price level that a stock or market finds it hard to surpass. These levels are seen as important in terms of market psychology and supply and demand. Resistance levels are the levels at which a lot of traders are willing to sell the respective asset. When these levels are broken new levels of support and resistance are established.

It’s also called as role reversal. Once a resistance or support level is broken, its role is reversed. If the price rises above a resistance level, it will often become support. As the price moves past a level of support or resistance, it is thought that supply and demand has shifted, causing the breached level to reverse its role. For a true reversal to occur, however, it is important that the price make a strong move through either the support or resistance. Now just like everything the significance of a role reversal is determined by the temporal character of the levels. Whether the resistance level is for a month, for a year or for more.

Below are the classic examples of role reversals.

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: 30 April 2012 | Comments (0)

Categories: Global, Global Indices, Research Updates

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

After we grouped the top 100 Australian Stocks, we ranked them on relative and absolute performance (among each other). These are the various steps we followed.

Jiseki Filter

1)Jiseki Ranking < 50%
2)J1>J2
3)Price Trend Filter

Jiseki Pair Filter

1) J1 Pair > J2 pair
2) J3 Pair Trend Filter
3) Relative Performance Trend Filter

What’s coming

1) Active Mean Reversion Index with the filtered selection
2) Passive Mean Reversion Index aimed at Relative outperformance vs. Universe.

Other Planned Filters

1) Sector filter
2) Statistical parameter filter like standard deviation, beta, variance, volatility etc.
3) Enhancing 100 Australian group to a 1000 components.
4) Fundamental filter (P/E, P/B, P/Sales, P/FCF, Earnings, Revenue, and Dividend etc.)

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.

Author: Orpheus | Date: 23 April 2012 | Comments (0)

Categories: Global

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

SPDRS ARE ETFS based on US sectors. In the latest Report we have reviewed the performance cycles also called as Jiseki. These cycles are designed to move from 0 to 100. When the cycles move up, the asset should outperform and when the Jiseki cycles move down, the asset should underperform. Jiseki cycles are built on price performance like the one illustrated here for the various sector ETF’s.

The Jiseki cycle for the DOW and S&P 500 ETF are Running positive. The latest report starts with a universe of 50 assets from US indices and ETFs and then using filters based on Jiseki cycles comes up with running BUY ideas.

This report also illustrates the divergence between the various assets, their quarterly rankings and the running Signals.

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

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: 23 April 2012 | Comments (0)

Categories: Global, Research Updates

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

Markets move up and down in a step up and stop down like formation. Even if the market uptrend is strong, the market always corrects in small steps. The quality of the correction can be analyzed by many indicators. Fibonacci Retracements is a very popular way to analyze the quality of the correction. Fibonacci retracement indicator suggests that the proportion of correction (decline) compared to the previous rise can be either 38%, 50% or 61.8%. Though 61.8% is a very popular level, the 38.2% retracement is an important stage for a market trend.

A few reasons. First, inability of the market to fall below (retrace below) 38.2% is a sign of strength. The stronger the markets, the shallower the counter trend. Second, for a reversal of a trend markets need a price confirmation. 38.2% retracement levels are important price confirmation levels. If the 38.2% support breaks, it’s a negative price confirmation. Third, a 38.2% retracement creates a sideways price structure, which is more of an accumulation structure rather than distribution.

As one can see the S&P 500 trend (1975-2000) saw a retracement of R1 (first at 38.2% and later at 50%). The move up from the 2009 lows has just seen a 38.2% retracement till 1,200. Till respective levels break we have no price confirmation, the price structure remains sideways and consolidating and the up move from 2009 lows remains intact.

There are occasions when price trend is very strong e.g. Gold. In such cases 38.2% Fibonacci also marks a potential target. There can also be cases where prices show weakness on intermediate multi week time frame and strength on multi month time frame by retracing till 61.8% Fibonacci on intermediate multi week basis and 38.2% on primary multi month basis like in Brazilian Bovespa. This means even if the short term looks weak, the longer term is still positive. This view on BVSP also confirms the commodity outlook for us, short term weak, long term positive.

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: 23 April 2012 | Comments (0)

Categories: Global, Research Updates

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