Archive for October, 2011

NIFTY preferred and alternate

NIFTY Weekly. Prices are retesting the intermediate trend channel resistances near 5,350-5,400 levels. The preferred view looks at a completing (X) wave up and a pending corrective (Z) wave down till previous lows at 4,700 levels or even lower. Alternate, on the other hand, sees this as a complete (W)-(X)-(Y) correction down and looks at further upmove above 5,400 resistances.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings of 0 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.

Alpha is a daily strategy signal product that gives trading and investment signals. Alpha is a numeric Ranking product based on TIME fractals. 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. Alpha is a part of the time triads analytics developed by Orpheus Research.

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.


Telecom’s best and worst

Today’s report carries technical and cycle cases on the best and the worst performer of the Indian Telecommunications sector. The best performer is TULIP, ranked above 90% extreme rankings, while IDEA is the worst at 35% rankings.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings of 0 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.

Alpha is a daily strategy signal product that gives trading and investment signals. Alpha is a numeric Ranking product based on TIME fractals. 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. Alpha is a part of the time triads analytics developed by Orpheus Research.

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.


Best and worst Indian Metals stocks

Today’s Alpha India report carries technical and cycle cases on the best and the worst Indian Metals stocks: BHUSAN STEEL and PSL. The chart below illustrates the current minor structure of BHUSAN STEEL which looks like a potential head and shoulders continuation pattern with neckline supports near 320 levels.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings of 0 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.

Alpha is a daily strategy signal product that gives trading and investment signals. Alpha is a numeric Ranking product based on TIME fractals. 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. Alpha is a part of the time triads analytics developed by Orpheus Research.

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.


Shanghai ready to move UP

 

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.


Happy Diwali

The victory of good over evil is a war that we symbolically live every moment of our life.

Happy Diwali


The Intermarket Jiseki (Cycles)

Intermarket analysis has become an essential part of a technician’s toolbox. Using R we have created this illustration where all the quarterly Jiseki Cycles for Indian Energy have been plotted.

The illustration tells us which are the worst quarterly components, which are the best and it also tells us there tendencies respective to each other. For example Petronet and SEAMEC is the only Jiseki cycle which are relatively increasing compared to the rest of the energy components.

These are quarterly Jiseki performances which can indicate intermediate trends in sectors or sector components. This is why we call it ‘The Intermarket Jiseki’.


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.


What happened to NETFLIX?

Multi Year Jiseki

Now as expected we have so many reasons why NETFLIX sharked up. Reason a, reason b, reason c.

For a change can be think that NETFLIX fell because it was an outlier. And outliers are prone to reversion. When we say outlier, we are talking not only of superior performance but also of top performance in a group.

Like Lincoln said, you can fool some people some of the time, some people most of the time but not all the people all the time. The same is true about performance. An asset can outperform a group of assets for some time, for most of the time, but not all the time. This is what was happening in case of NETFLIX, it had reached a state when it was the best of the group and this could not continue for all the time.

So another reason that could have been added to the list of reasons is that NETFLIX was an outlier prone to overconfidence and hype. It had reached a plane where it had become a star. And when you become a star, you are prone to outlier extreme reversion.

The reversion worked and the stock fell 67% off the charts. This again illustrates how all the market components do not move up and fall together. Markets can be sleeping or stagnant while outliers like NETFLIX can make the real moves.

This is the power of Jiseki Rankings. It indentifies the best of the best to short and the worst of the worst to buy.


Mukul Pal 
Mukul Pal, Co-Founder, Orpheus Capitals is a Chartered Market Technician, MBA Finance. He is a member of the Market Technicians association. 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 Orpheus in 2005.


NIFTY completing minor correction up

NIFTY Weekly. Prices are still completing the minor corrective b circle wave up. Above current resistances at 5,200 levels, another extension higher till next confluence resistances at 5,300 levels is not ruled out.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings of 0 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.

Alpha is a daily strategy signal product that gives trading and investment signals. Alpha is a numeric Ranking product based on TIME fractals. 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. Alpha is a part of the time triads analytics developed by Orpheus Research.

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.


Auto top performers

Today’s report carries technical and cycle cases on two of the best performer Indian Auto stocks, BAJAJ AUTO and EICHER MOTORS. Both stocks are ranked above 90% extreme rankings and are top potential shorts for the weeks ahead.

The minor market view remains negative. Sub our anticipated current resistances at 5,200 levels we continue to expect a pending impulsive c circle wave down till 4,500-4,000 supports.

BAJAJ AUTO Daily. BAJAJ AUTO is the best performer Indian Auto stock. Both the price structure and the 3 months Jiseki cycle look topping (prices near previous intermediate highs, the cycle above 90% extreme rankings).

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings of 0 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.

Alpha is a daily strategy signal product that gives trading and investment signals. Alpha is a numeric Ranking product based on TIME fractals. 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. Alpha is a part of the time triads analytics developed by Orpheus Research.

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.


Time Analytics - Is Correlation and Jiseki connected?

 

Jiseki is a performance ranking idea for an asset in a group for different holding periods. Conventional tools don’t look at sectors as a proxy of a group but not components perse. Our idea of extreme reversion is designed to understand performance cyclicality.

This week we look at the Indian Energy sector correlation from Oct 2009 to 2011 and juxtapose it with change in quarterly performance rankings during that period. The correlation of the energy sector components was made with Reliance.

What we could observe? The higher the correlation of the stocks with the Reliance the worst the stocks did in performance and the lower the correlation of the stocks with Reliance the better they did in performance.

Petronet for example moved up 50% in Jiseki performance rankings during the period along with Castrol. While the high correlation and positive correlation stocks with reliance like Seamec, Suzlon saw not only a drop in rankings by 50% but also absolute price loss.

The connection of correlation with Jiseki change in rankings might seem strange. But it’s not because if Reliance is at the top of the group, it will underperform and because it’s a sector leader, anything correlated positively correlated with it will also underperform.

This is simple logic, which the data expresses visually. Does the data tell us something else? The histogram also tells us that the only stock which should have fallen and did not fall as much was Reliance. This is what we may call a sector leader’s premium, which keeps us away from Reliance as a buy opportunity confirming what we wrote recently in the article, “should I buy Reliance?”


Avinash Barnwal 
is a final year master student of Statistics and Informatics at IIT Kharagpur. He has worked on human response time at Department of Psychology, University of Amsterdam.  He has worked on marketing analytics for the Customer Intelligence Unit, HDFC Bank . Avinash is passionate about developing statistical models and believes that statistics could address temporal challenges.