Archive for April 9th, 2012

The Gold Momentum

Momentum can be interpreted in many ways. One for leadership signs and second as a confirmation of the strength in an ongoing trend. Momentum is also referred to as oscillators.  The oscillators can be of various kinds, which can be interpreted in many ways. We have illustrated the ROC momentum for Gold prices below. There are a few ways you can interpret it.

Now that we have made a case on GOLD, it would be interesting to see how Gold is behaving vs. Dow and Sensex. Both of them have a running long vs. Gold. We have also illustrated the cash comparison the group of assets and also a comparison vs. Gold. A signal update on Jiseki cycles for all the assets and an update with the latest Jiseki cycles.

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.