Archive for December, 2011

The 2012 Low

I am positively biased about the 2012 Mayan end of the world time window. We are in an economic crisis of a lifetime, where finance itself is under attack. Inflation, destruction of real value of money, worst performance of stocks in a decade, volatility, higher food prices, exponential gold. Call it another coincidence but great Mayan timing, isn’t it? But why I am positive?

Lets first look at how we did in 2011. This is what we said on Jan 4 “We won’t be surprised if the Sensex erases 30 per cent (from the 2010 highs)”. 10 Feb 2011, “Saving the long-only trader - Markets are headed into a wall of worry. Tough to save the long-only trader.” 22 Feb, “The Objective System - We are not looking Nifty above 5,800 now.” March 29, “Sensex ready for negativity and another 15 per cent fall on the Sensex. The current up move of NSE’s Bank Nifty index should complete before 12,000 levels, after which the next down leg should begin.” 8 April, “India to continue underperformance against global peers.” May 13, “Top short ideas”. 18 October, “Why Should I not buy Reliance” 22 September. “Indian equity markets direction remains down Nifty 4,000 could extend well into the end of the year. We are looking lower for firmer and stronger bottoms.”

Markets retraced almost 30% from Nov 2010 highs. NSEBANK collapsed from 12000 levels. Most of our top short ideas delivered and Nifty reached 4,544 lows as we end 2011.

How will India perform in 2012?

This article was written for the Business Standard annual outlook.


Merry Christmas

 

Source:Wikipedia, Scrooges third visitor-John Leech,1843.

Merry Christmas to all our readers


The Conventional ROC

It’s not sometime but most of the time that over analysis kills. Simplifying is harder than any other approach of understanding markets. Rate of Change also called as ROC is one such simple tool which tops our conventionalism list. How many trading models and systems we may make, but we will not ignore the ROC.

How to interpret the ROC?
What does it tell us about NIFTY?
Did it ever fail on a monthly basis for NIFTY?
What does it tell us about GOLD on a monthly or weekly basis?
What about ROC on BRENT and SILVER?

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, 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.


Elliott, Jiseki and CEE cues

Technical analysis is about weight of evidence. More the indicators pointing in the negative side, the more negative the market and vice versa. Technical analysis is about Intermarket. Everything is connected. This means if we look at the CEE (Central and Eastern European) market, we should get some cues where Europe is headed and also get Q1 2012 cues regarding the global equity bias.

Here we are looking at Hungarian BUX, which seems to have completed a five wave impulse up and a three wave corrective down.

Now an Elliottician might contest or confirm this count. While the Intermarket analysts might say, “Look at the Romanian BETFI, which has a similar count like Hungarian BUX but an unclear five wave up.” And if Intermarket is true one of the counts is write either the Hungarian BUX or the Romanian BETFI. One of them is going to decide whether market attempts a low below 2009 or starts a new leg higher into 2012.

There is another reason, which Elliotticians can give. A cycle degree can bottom with a three wave structure and may not need a five wave structure. This is why Romanian markets could bottom with a three wave rather than a five wave structure. This means that whether it’s Mar 2012 or Dec 2011, the Romanian Equity could be ready to move higher in a new impulse up.

Now if we have to confuse the Elliottician we can show him the price chart of Austrian ATX, Polish WIG and the CEE Index, a composite of all CEE indices. Now the aim is not to confuse the Elliottician, but to remind him that there is subjectivity in counting waves even if Intermarket support is assumed.
Orpheus Jiseki on the other hand is a basic indicator which illustrates where the Hungarian BUX and Romanian BETFI or CEE indices are on the larger performance scale, in the top, in the bottom, in the middle. If there are on the top, no Elliott wave positive counting would help and if there are at the bottom, even the most negative counts on Elliott might not take the respective indices lower. The Jiseki is a performance time cycle for an asset and a valuable tool to fine-tune Elliott and Intermarket cases.
The CEE Index Jiseki is already at the worst ruling at sub 20 percentile readings. This suggests that the despite all negative in Europe at least parts of CEE region is already at its worst and to expect consistent selling pressure to take markets secularly lower in 2012 might be a tough task for bears. The odds are favoring the value pickers and bulls. If we look at things separately, the Austrian ATX (outside CEE) is still at 55 and has no reversal signs. Romanian BETXT (top 25) is sub 30 suggesting relative value. A whole new Intermarket case can be made from Jiseki, to understand Intermarket cases, whether Long German DAX short Sensex is workable or is Sensex Ready to outperform CEE and EU region Indices.


To read more of Jiseki Cycle updates mail us today.

 

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal. Ionut has been part of the core team that developed and nurtured the idea of Alpha products since July 2008. Ionut is also a professor of Corporate Finance. Currently he is pursuing his post doctorate studies at Kobe University in Japan. He is fluent in Japanese, Romanian and English.

The Bric Model from a Japanese Perspective
Ionut Nistor - Econohistory

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 100. 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.


THE JISEKI WORST


It was on 26 Aug 2009, we first talked about the loser’s index. We are still not there to present you the first ever Jiseki Worst Portfolio or Loser’s index. But keeping the tradition of talking about the worst performers, today we illustrate the first equity curve of the Jiseki worst portfolio among 1000 global assets. A graphical representation of the change in value of a trading account over a time period. An equity curve with a consistently positive slope would generally indicate that the trading strategies of the account are profitable, while a negative slope would indicate that the account is in the red. The global portfolio contains CNX 100 stocks, S&P 500 components., Brazil 30, China 30, Commodities, Agricultural assets, global indices etc.

1) Every week we look at the worst Jiseki rankings.
2) Filter for the worst 30 components.
3) Look for the Jiseki cycles turning positive.
4) Allocate equally among 30 stocks creating a portfolio.
5) Review every week.
6) If there is an exit signal, close the stock and reallocate the cash in a new stock signal.

From the May 2010 to May 2011 highs, ‘THE JISEKI WORST’ not only delivered absolute positive returns of 37 percent but also outperformed all of SSEC Shanghai 20, DOW 30 and Sensex 30. Since the current NIFTY and market outlook remains negative sub 4,750 levels, THE JISEKI WORST should continue to outperform. In the weeks ahead we will be generating INDIA specific JISEKI WORST Portfolios. And considering we are not looking beyond 4500-4000 Nifty at this stage, the JISEKI INDIA WORST could just turn out to be a top investment opportunity. Watch this space.

To read more about THE JISEKI INDICES download the latest ALPHA reports from the Orpheus e-store.


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.


S&P SHORT INDEX

To understand market perspective we also cover global short indices. Short indices are inverse of the regular market indices and move up if markets fall and vice versa. A view on global short indices can also give us cues whether markets are ready to bottom yet or there is more negativity. The following 4 short indices on S&P500, DOW30, Nasdaq and broad Russell are at extremely low rankings. These means that short portfolios on US markets were the worst performers. And for us at Orpheus, whatever is worst is not going to be the worst in the time ahead.

This means that US Indices might underperform leading to delivery on SHORT portfolios on US indices. This also suggest that it still might be early to look for a bottom on India or emerging markets and the MAR 2012 lows could still be a reality. We are still expecting a weekly positive close above 4750 levels before taking this bounce seriously.

The report carries global cases on SHORT INDICES and Jiseki rankings. To read the report download the latest report from the Orpheus e store.

 

 

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.


The Nifty Bollinger

 

What is one of the best ways to understand oversold markets?
What does this indicator tell us on quarterly, monthly, weekly and daily basis?
Is there a bounce back coming from current levels?
What is the key level that can challenge the preferred negative view?

To know the answers to the above questions read the latest ALPHA INDIA?

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: CNX500 traded stocks and Indian Indices.


The Indian Banks

If you think it’s enough selling for Indian Banking sector look at the Jiseki ranking of the banking sector components below. We still have many of the banks as top performers with rankings above 70 percentile. This special report carries Jiseki cycle updates for the respective sector components along with technical price structures. Most of the Jiseki cycles are negative and suggest lower.

The report carries 14 cases and Jiseki rankings for 10 Banking majors. To read the report download the latest report from the Orpheus e store.

 

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, 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.


The priceless Mastercard?

 

These are the top ranked early economic (financial IT) sector stocks in USA.

And this is MASTERCARD which has a topping Jiseki asking us three things.

1) If the current crisis has cost a few trillion dollars.
2) And the monetary stimulus is a few billion dollars every quarter.
3) Then how can the Mastercard be priceless?

 

We think Mastercard is set to underperform, as quarterly Jiseki tops.





To read more of Jiseki Cycle updates mail us today.

 

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal. Ionut has been part of the core team that developed and nurtured the idea of Alpha products since July 2008. Ionut is also a professor of Corporate Finance. Currently he is pursuing his post doctorate studies at Kobe University in Japan. He is fluent in Japanese, Romanian and English.

The Bric Model from a Japanese Perspective
Ionut Nistor - Econohistory

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 100. 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.


THE TECH SPECIAL

Will CNXIT underperform?
For how long?
What TECH Sector components are at key levels?
Why did CNXIT outperform till now?
What are the drivers for performance?

To read about the TECHNOLOGY SPECIAL download the latest ALPHA report from the Orpheus e-store.


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.


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