Archive for February 9th, 2011

Alpha India Indices - Sector Jiseki cycles special

Nifty. As prices reach key supports near 5,350 levels, the Jiseki cycles remain negative with no sign of reversal yet. We expect the (iii)/(c) wave down to complete near respective supports and a fourth wave bounce back from here. However, a clear break below 5,350 would suggest an extending third wave down which could push lower till previous lows near 4,800.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are 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.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. 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 Research products.

Coverage India: CNX100 traded stocks and Indian Indices.

Michesan Anna-Maria, 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.


Alpha Global Indices - Sensex. Worst case scenario

While over the short-term SENSEX should see a minor bounce from around 17,300 levels, the overall picture looks grim. We have initially stated that the current decline is a primary degree zigzag that could retest 16,000. Well, checking the charts since 1993 would bring additional information: the whole 17 years price action seems to be a whole cycle degree impulse (with a truncation on its circle 5 subdivision). This means that we could be in a much larger corrective pattern than initially assumed. And this would be a cycle degree zigzag to 9,300 or even 9,100. Keep in mind though, that this is just a worst case scenario, we are not necessarily counting on that, at least not yet.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are 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.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. 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 Research products.

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.


Rieki portfolio outperforms all Indian benchmarks (30 days)

The first 30 calendar days of the year our Rieki portfolio turned out to be the best performer among all the Indian sector and composite indices. At -4.4% the Rieki portfolio matched in performance with the top performing BSE metals and outperformed the worst performing BSE Reality by 12%. Though 30 days is too early for a strategy to show merit, let’s review the portfolio and Rieki’s novel approach to money management.

On 12 Sep we explained how the The Rieki Hedge‘ strategy lets us pick up the best value from a universe of stocks. Second, it reduces risk by giving us the opportunity to short potential underperformers, hence reducing portfolio risk by creating a strategy hedge. Third, it increases our holding period for the overall portfolio. We can hold and accumulate the spot positions for a longer period of time and similarly, we can hold short futures beyond intraday volatilities. The Reiki portfolio accumulation approach of value picks also keeps us prepared to capture the next stage of the bull market that should start in 2011. Fourth, this approach also allows us to play according to the underlying bias of the market. If the intermediate multi-week market view is negative, we could churn our short futures portfolio actively. We could have more short components against few value spot picks (though the value hedge between long and short is maintained). The market bias can be judged by a trending system, by the ongoing VIX structure, by the view on rupee and by a host of factors.


The Rieki strategy is novel and is not a classic pair, spread trading or long short strategy. It’s a strategy where we can chose to be hedged completely, over - under hedged or un-hedged. We can do this because if performance is cyclical like everything else, even portfolio risk is cyclical. There is a time the portfolio needs hedging and there is a time the portfolio does not need a hedge. We closed 2010 with a 7.4% profit in 90 days.

This year we traded 27 Short futures trade on 16 Futures  assets. We made an average gain of 4% per asset. We had 5 losing Future trades and 25 profiting trades. We traded  an average of 2 lots per asset. Our maximum gain came from Sun, while metals were the ones where we lost.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are 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.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. 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 Research products.

Coverage India: CNX100 traded stocks and Indian Indices.