Archive for April 4th, 2012

Energy Sector Filter


Yesterday we queried the financial services sector including banks, insurance companies and other financial sector components for buy and sell ideas. We did not get any long ideas because most of the sector components were still with negative Jiseki cycles and signals. Today we do the same exercise for all the Energy sector components in the BSE 500 stocks.  Unlike the NSEBANK, the BSEOIL is also a running short signal for us. This means that the energy sector is an underperformer compared to financial services sector.

The query results were not surprising. The BSE 500 energy components continue the downward momentum and even here there were no long running ideas.  This is the query that we ran.

1) Filter Rankings for  > 50 % ranking best performers
2) Run the above list for Jiseki Weekly Rankings < Jiseki Monthly Rankings
3) Also run the list for Jiseki Monthly Rankings < Jiseki Quarterly Rankings

The final list had the following seven running short ideas. Most of them are already running shorts. The latest Alpha we have reviewed the rest and carried a signal updated for the respective stocks.

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.

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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.