Archive for April 19th, 2012

Memories from 2000


We have illustrated our pair filter (football filter) prior. In this filter we have grouped the IT stocks against each other and ranked them on relative performance and on pair Jiseki cycles (like HCL T vs. Patni). Since reading the signals is very objective, we get a clear 1,0 binary signal. 1 means filter positive and 0 means filter negative. In pair filtering  we have put symbols in first row and first column where  first column asset means long  in position  and row asset means  short in position .

1) Weekly Jiseki Pair Ranking > Monthly Jiseki Pair Ranking
2) 5 week average relative pair return > 20 week average Relative pair return

As you can see the filters below. These filter 1,0s are then added together for Rankings (J1>J2) and for Ranking (RP 5W>20W). The stocks with the highest rankings and in the lowest Quarterly rankings are not only outperfomers but also best running busy ideas.

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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.

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.

Domnita Pascut is the founding member of Orpheus Capitals.  Her interest in charts and market patterns was an extension of her keen understanding of social mood and sentiment. How charts could say so much intrigued her. She worked on market patterns, economic research, cyclicality and economic history. It was her liking for history which helped her see the cyclical natures of markets and patterns. Domnita gives more weightage to conventional technical analysis, channels, trendlines, market patterns and Fibonacci. She combines all this with basic Elliott structures, performance cycles and high low close bars.