Archive for April 2nd, 2012

The Jiseki Histogram

 

This issue we have explained Jiseki and it’s elements. The Jiseki indicator is based on a ranking system. The ranking is based on price performance (returns) of an asset  among a group of assets for a certain holding period say quarterly, monthly, weekly etc. If an asset is a top performer among the group for a certain holding period, it gets a top ranking of 100 % for the respective period. And if the asset is a worst performer for the same period than it gets a ranking near 0 %. Because a top performer can’t stay at the top for an indefinite period and a worst performer can’t remain worst for any single holding period, the rankings keep changing. These changing rankings create the Jiseki performance cycles for different holding period. There is a Jiseki performance cycle for quarterly, monthly, weekly etc.. The ranking chart below is the ranking of the Indian late economic components from BSE 500 that are more than 80 per cent ranking range, which have all three Jiseki cycle (quarterly, weekly and monthly) pointing lower.

Here we have run a Jiseki Histogram query for you to understand how we generate signals (entry and Exits). We filtered the Indian coverage using the following filters.

1)Filter Ranking > 80 % best performers
2)Monthly Ranking  > Weekly Ranking
3)Quarterly Ranking > Month Ranking.
Many of the ideas are already running shorts. In this latest Alpha we have reviewed the rest and carried a tracker on running signals.

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.

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.