Archive for April 23rd, 2012

The Australian LONGS

After we grouped the top 100 Australian Stocks, we ranked them on relative and absolute performance (among each other). These are the various steps we followed.

Jiseki Filter

1)Jiseki Ranking < 50%
2)J1>J2
3)Price Trend Filter

Jiseki Pair Filter

1) J1 Pair > J2 pair
2) J3 Pair Trend Filter
3) Relative Performance Trend Filter

What’s coming

1) Active Mean Reversion Index with the filtered selection
2) Passive Mean Reversion Index aimed at Relative outperformance vs. Universe.

Other Planned Filters

1) Sector filter
2) Statistical parameter filter like standard deviation, beta, variance, volatility etc.
3) Enhancing 100 Australian group to a 1000 components.
4) Fundamental filter (P/E, P/B, P/Sales, P/FCF, Earnings, Revenue, and Dividend etc.)

 

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.


SPDRs Running Long

SPDRS ARE ETFS based on US sectors. In the latest Report we have reviewed the performance cycles also called as Jiseki. These cycles are designed to move from 0 to 100. When the cycles move up, the asset should outperform and when the Jiseki cycles move down, the asset should underperform. Jiseki cycles are built on price performance like the one illustrated here for the various sector ETF’s.

The Jiseki cycle for the DOW and S&P 500 ETF are Running positive. The latest report starts with a universe of 50 assets from US indices and ETFs and then using filters based on Jiseki cycles comes up with running BUY ideas.

This report also illustrates the divergence between the various assets, their quarterly rankings and the running Signals.

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.


38.2 Fibonacci

Markets move up and down in a step up and stop down like formation. Even if the market uptrend is strong, the market always corrects in small steps. The quality of the correction can be analyzed by many indicators. Fibonacci Retracements is a very popular way to analyze the quality of the correction. Fibonacci retracement indicator suggests that the proportion of correction (decline) compared to the previous rise can be either 38%, 50% or 61.8%. Though 61.8% is a very popular level, the 38.2% retracement is an important stage for a market trend.

A few reasons. First, inability of the market to fall below (retrace below) 38.2% is a sign of strength. The stronger the markets, the shallower the counter trend. Second, for a reversal of a trend markets need a price confirmation. 38.2% retracement levels are important price confirmation levels. If the 38.2% support breaks, it’s a negative price confirmation. Third, a 38.2% retracement creates a sideways price structure, which is more of an accumulation structure rather than distribution.

As one can see the S&P 500 trend (1975-2000) saw a retracement of R1 (first at 38.2% and later at 50%). The move up from the 2009 lows has just seen a 38.2% retracement till 1,200. Till respective levels break we have no price confirmation, the price structure remains sideways and consolidating and the up move from 2009 lows remains intact.

There are occasions when price trend is very strong e.g. Gold. In such cases 38.2% Fibonacci also marks a potential target. There can also be cases where prices show weakness on intermediate multi week time frame and strength on multi month time frame by retracing till 61.8% Fibonacci on intermediate multi week basis and 38.2% on primary multi month basis like in Brazilian Bovespa. This means even if the short term looks weak, the longer term is still positive. This view on BVSP also confirms the commodity outlook for us, short term weak, long term positive.

To read the latest report download it from our Reuters Store or mail us for subscription details.

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.