Archive for February 22nd, 2011

Alpha India - Mid Economic rankings

Punj Lloyd and BHEL are the worst performers of the Indian Mid Economic sector. Both minor structures look like completing W-X-Y corrections down. BHEL continues to hold psychological 2,000 supports. Above respective levels we are waiting for further positive price confirmation. Punj Lloyd also looks like an exhausting structure down. The daily RSI is non-confirming and made a potential double bottom reversal formation. Bharat Forge and Siemens are the best performers of ME. Bharat Forge looks like an ongoing impulsive C/3 wave down which should complete near key Fibonacci supports at 300-280. Siemens looks like a completing ending diagonal structure which suggests a potential intermediate reversal ahead (updated on slide 2).

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.


Sugar at Resistance

Sugar (Sugar ETF) is at a 4 year resistance line and is making a potential key reversal bar. On an intermediate degree the prices have failed below key trendline supports. A minimum retracement should see prices push lower till 0.382 Fibonacci levels at 21.5.

Unlike Sugar which is showing signs of exhaustion, both Grains and Coffee are still in an upward trending channel. We need a price confirmation below respective channels. Coffee is testing the top of a multiyear channel, while grains are testing a multiyear channel support. Any reversal now could be the start of at least multi week negative trend on both grains and coffee.

The negativity of soft’s and grains could challenge the agricultural commodities uptrend and also should strengthen the topping commodity case. Jiseki cycles are negative on Sugar and all this topping case comes when Coffee is creating 14 year high news. A top performer, touching channel highs is more reason for us to look at reversals rather than accumulations.

To keep updated with performance cycles and rankings subscribe to Orpheus Research Reports.

This article is written for ATMA

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.

The Objective System

Money management systems have existed since the time markets were created. It was a natural step to harness and comprehend the market. The market universe always had numerous elements and the system selected a few of these. It was always like the study of a small sample.

As early as 1800, it was the candlestick charting system at the Osaka rice exchange. The 1850s saw bookkeeping come in vogue and fundamental systems were created on the basis of analysing new information (news), valuing the asset and observing the divergence of value from price. Technical analysis indicator systems of 1884 assumed that the price discounted all information. The use of modern computers brought probability theory and Gaussian curves to the mainstream.

Systems will always give a telescopic view to look at the universe, a piece at a time. We can only estimate the big picture, never actually see it. In such a limitation, systems should be viewed as risk-reducing ideas rather than return-increasing approaches. David Aronson’s book on evidence-based technical analysis quotes an example of excessive searching. While searching for the best predictive correlation to the S&P500, the UN database suggested the level of butter production in Bangladesh had a correlation of 0.7 with the S&P500. The more you search, the more correlation you can find — of everything with anything.

Systems can also be viewed as an approach to identify opportunities that stand out and have real merit. Aronson talks about real merit opportunities as a skilled musician, a real talent, which would stand out of his group. Real skill is like a real asset that stands out in performance from the rest of peers. Because the market universe is large, market participants adopt various systems.

Some system ideas get popular and some remain peripheral. Seasonality as a system is adopted by the minority. It’s only for the value pickers and for contrarians, who have longer holding periods. Seasonality as a multi-week, multi-month trading is a novel approach. Performance cycles and numeric ranking are our objective system, which is built around seasonality for a group of assets. Performance cycles also seek outliers, but bet against them. The top outliers, the best performers, are a ‘reduce’ for us, as they are the most expensive. And, the worst outliers are the value accumulate and buys for us, as they are inexpensive. This idea of seasonality in performance works irrespective of whether one is investing for a few minutes or a few years.

HDFC Bank, Bank of Baroda, Tata Motors and TCS are the top outliers for a multi-month period and, hence, the best reduce for us. The oversold worst rankers — Punj Lloyd, Housing Development, Reliance Infra, Reliance Power, Sesa Goa, NTPC — are the best value picks for us. Nifty, at 26 percentile, is also near-worst performance. With Daily momentum readings oversold still, minor multi-day positivity on the index cannot be ruled out. On the higher side, we are not looking Nifty above 5,800 now. March is known for reversals and would need a review.

To keep updated with performance cycles and rankings subscribe to Orpheus Research Reports.

This article is written for Business Standard

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers various aspects on TIME patterns, TIME forecast, alternative research, emerging markets, behavioral finance, market fractals, econohistory, econostatistics, time cyclicality, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.