Archive for May, 2012

The Tech Divergence

Everything diverges. This includes the technology sector. The divergence is between intra and inter market basis. We have spent some time discussing the inter market divergence between CNXIT and the rest of the market (The CNXIT high). The respective articles illustrated how Infosys and TCS were top rankers and were set to underperform. We talked about this in Jan 2012 and almost 6 months down the year our broad tech view has delivered. Infosys is down while TCS is where it was at the start of the year. The rankings are still high and we still expect the majors to underperform. However, markets consist of a spectrum of performances and even if a sector is set to underperform, it’s components can deliver. It is this intra sector dynamics that creates sideways structures and market complexity.

Today we want to discuss the intra technology sector divergence. Unlike the top tech stocks viz. Infosys and TCS, the other technology stocks like A, B, C, D, E, F and G are not only low in performance rankings, but are also filtered long only India 30 ideas. These “other” technology stocks have a positive price structure and are accompanied by CNXIT and Infosys nearing multi year primary supports.

What does this mean? This means that not only the top tech performance overhang might be ready to ease, but this should boost the “other” tech components. Below we have illustrated the relative performance of Mindtree, HCL Tech, Hexaware vs. TCS. In all the cases the Intermarket ratio lines crossovers have turned positive. This means that the “other” stocks have started outperforming the tech major TCS. If the “other” technology stocks outperform, it suggests a positive bias for the market rather than otherwise. We have also carried a fundamental grid for the sector components along with the technical cases.

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.

Coverage India: CNX100, BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames.


Orpheus Risk Management Index - India 30

Keeping the diversification approach in mind we wanted to select an average 30 components for India. There are numerous ways to choose 30 components from Indian universe. One is to just select the Sensex 30. Second is to filter out 30 components from BSE 500. Third could be to choose a different method of weighting components, based on volatility, fundamentals etc.

We plan to build many such indices over the next few months. There are a few reasons we want to focus on such model portfolios. One, because a portfolio approach is better on risk management. Second because the Orpheus Risk Management system assists in asset selection and risk control. Third because portfolio investing is a passive approach. Market volatility challenges active approaches and though our system can be scaled to high frequency we think India still lacks instruments on the passive end of the spectrum. Hence the attempt to fill that gap.

How did we select the India 30 from the BSE500 universe?

1) We ranked the components on performance metrics.
2) We generate their Jiseki rankings.
3) We filtered them for negative outliers (< 30%).
4) We filtered for reversion (cycles turning up) from worst performance.
5) We filtered the list of components for relative performance.
6) We allocated equally starting 2007.

The new steps we want to add

1) Rebalance every quarter.
2) Add fundamental filters to improve selection process.
3) Add volatility weighting to the components.
4) Use various portfolio optimization methods.

The average holding period for the components was on average more than 3 months. 30 components meant 3.3% allocation per component. When the system closed a running signal and there was no available replacement we went an equivalent amount of cash. The “less than 30 running signal” situations happened on occasions when market bias was negative. The average component size varied from a maximum of 30 to a minimum of 5. The average holding was 25 components. When there were 5 components the portfolio was 82.5% cash (25*3.3). The very fact the now the portfolio is totally invested in 30 components suggests that our risk management index assumes it to be an optimum time to stay invested rather than be cash.

Risk management remains a key objective for our Indices. There are various ways to reduce risk, diversification, value picking etc. We at Orpheus combine diversification and value picking with seasonality and statistics. We use various conventional approaches in a statistical framework to diversify and filter out assets. The objective is to reduce risk. This is why we call this indexing approach as Orpheus Risk Management Indices. Why does this approach work? Because performance is cyclical. This is a statistically and mathematically proven approach. The worst is predisposed to outperform the best and vice versa.

Market components exhibit a large divergence intra and inter market . The strengths of our Indices is that they filter out the outperformers using numerous layers of filters. The indexing approach confirms that even a falling market can have absolute winners and drawdowns can be reduced even in a passive investment approach.

We will continue to improve and enhance our Index construction approach and will release new versions, sector and global indices. The latest ALPHA carries the current running components for India 30, historical performance since 2007 and a snapshot of some statistical tests done on the index.

 

1) This is a cumulative portfolio.
2) There is no rebalancing done since 2007.
3) The starting value is INR 10,00,000.
4) This value is allocated equally among 30 units.
5) Each unit is worth INR 33,000.
6) The total growth from 2007 is 12 times
7) This is compounded return @ 63% annualized return.
8 ) This was during a time when Nifty delivered 16%.

below shows that after falling by 38% during the crisis, the ORMI INDIA 30 consistently moved near it’s peak value. While Nifty fell 62% for the same period and never attained it’s peak value. Maintaining value near peak values suggests superior stock selection and good exits into cash. NA suggests that while Nifty has not retested 2007 highs, NA for ORMI India 30 suggests that the current cycle is barely 7% down from it’s March 2012 high and this is not enough negativity for the system to go in cash.


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.


The 200 Day Average

According to conventional knowledge, “The 200-day moving average is a popular, quantified, long-term trend indicator. Markets trading above the 200-day moving average tend to be in longer term uptrends. Markets trading below the 200-day moving average tend to be in longer term downtrends.”

Even if we assume this as universal truth that works, the American markets are clearly above 200 day moving average and positive. There are a few more interesting observations that come out from the price vs. 200 day moving average relationship.

While Dollar Index is positive above 200 DMA, the commodities and commodity markets like Gold, Silver, Brent, Brazil are below the 200 DMA. This is a classic Intermarket relationship where dollar strengthens and commodities fall.

A less than 5% move below the 200 DMA can be considered indecision. This means SSEC China, Indian Sensex and EURHUF are still making up their minds about the market direction. A 10% move id decisive and suggests weakness in the MSCI Eastern Europe. Silver is decisively negative.

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.

Coverage India: CNX100, BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames.


The doomed outlier

A friend took me out for coffee and gifted me Gladwell’s outlier at the 2009 bottom. “This is dedicated to your doomed outlier”. During those murky times the negative outliers were moving to positive polarity (worst stocks were becoming potential outperformers). Three years later and many outliers later, Gladwell’s lucid narrative on history of success started shinning bright in my heap of books. It was time for me to read it and explore the connection between price performance and success.

For Gladwell success was being at right time and right place. He connects historical success stories of 150 years to explain how success was not just an act of genius but a series of circumstances that created Gates, Jobs, Rockefellers, Beatles etc. The author goes step by step demystifying the process of success. Starting from IQ surveys which were mapped with success over a decade, the author illustrates how intellect and achievement are far from correlated. How there were more Nobel Prize winners from outside Ivy League.

According to Gladwell, “power distance index,” is a term from cross-cultural psychology describing the hesitancy of subordinates to question superiors. Culture can effect catastrophes and create superstars. He quotes Asian persistence as the reason why Asians are better in mathematics. Uncertainty avoidance i.e. how well a culture tolerates ambiguity is also cited as reasons for poor performance. Coincidently it’s Greece and Portugal that tops the list.

Coming to look at it, what Gladwell suggests is that success is to a certain degree random. If you were born at the right place at the right time and done the right things, you would achieve success. Just doing the right things was not enough, the combination of when and where was magical. The Gladwell opinion is old wine in new bottle. Taleb said it in a different way….

You can read the complete article in Business Standard

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.

Mail us for subscription details or download the report from our Reuters store.

Mukul Pal, is a Chartered Market Technician, MBA Finance and a member of the reputed Market Technicians Association (MTA). He has more than a decade of Capital Market experience dealing with derivatives and global assets. He has worked for Bombay Stock  Exchange, multinational Banks and brokerage houses in leading research positions before starting on his own in 2005. He is the President of the MTA Central and Eastern European Chapter.


Long ideas in a short market

Keeping in with the tradition of challenging conventionality today we are following up with a few long ideas for a short market. What does this mean? This means that though our Nifty view is still negative but bottoming we still have accumulation, buy ideas that are not only outperforming but should continue to deliver positive performance.

How can it work i.e. how can we generate long ideas in a falling market? First, markets diverge on both an inter market and intra market basis. This means performance outliers are always happening both on the positive and negative side irrespective of what the benchmarks (NIFTY) is doing.

For us at Orpheus, Nifty does sleep and it sleeps a lot. Therefore though a falling Nifty can add a negative bias to a portfolio it can not validate the axiom that 99% of the market falls with the respective benchmark. The universal belief is incorrect. We illustrated this aspect in our feature ‘The argumentative Indian’, where we had more than 50 components delivering a relative outperformance of 50% vs. Nifty over the last few years.

That was when our universe was India 200, now we have expanded our universe to BSE500. We ran the universe for our ranking algorithms, mean reversion ideas and filters to generate the potential outperformers and running long stories. We have reviewed five new ideas.

Enjoy the latest ALPHA.

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.

Coverage India: CNX100, BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames.


The Reliance Media Mountain

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.


The INR Review

INR has made a new high. This means a new bout of weakness on the Indian Rupee. The question is whether this move is an impulse up or is it still an extreme prone to reversal. There are a few reasons why INR could be in a counter trend that is ready for reversal.

1) The structure..
2) The level..
3) The momentum…
4) The Intermaket connection…

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.

Coverage India: CNX100, BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames.


Sensationalizing the Crude

Victor Niederhoffer, published an article that sought to establish whether days with news of significant world events corresponded to days that saw big price movements. He tabulated all very large headlines in The New York Times from 1950-1966. Out of the 432 significant world event days, 78 (18 per cent) showed big price increases and 56 (13 per cent) showed big decreases.

Even if all statistical evidence piles against information, 90% of humans would still believe the news. Why is that? Counter intuitive strategies are not for the majority, herding is easy, abandoning cause and effect for a seasonality is rare. The very reason that majority of humans love momentum and are trend followers is the reason why even a scientific approach on seasonality is for the few. Now the good part. This lack of popularity is one reason why cycle indicators will continue to work and second, minority means risk mitigation. It’s the trend follower who is more prone to a risk trap because he(she) spends more time training to ride the trend rather than spotting a reversal. The other thing about following counter intuitive cycles is that they force you to correct behavioural errors. Most of behavioural finance errors happen to the trend following herders.

Yesterday, the ‘Oil to get costly’ was all over Indian news channel. There were tails at gas stations. The sensationalizing of crude worked. However, coming to look at it, it’s the INR denominated crude that is at a historical high and not the dollar denominated crude. Rather the dollar denominated gasoline has already corrected 10% from the recent high at 127. The structure looks negative and we think crude should correct more. Regarding INR, we continue to look at a bottoming NIFTY in conjunction with a topping INR ready for a reversal. The majority it seems is getting ahead of itself sensationalizing the crash of rupee and everything Indian. We wait for the inflexion signals.

In this latest report we have analyzed pairs of Indian sector Indices and stocks against Gasoline. The aim is to look for reversals before the trend happens. This is not a sensational approach, but it is low risk strategy of generating Alpha.

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.

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal in March 2009. Ionut is a professor of Corporate Finance at Babes -Bolyai University and a post doctorate fellow at the Kobe University in Japan. He is fluent in Japanese, Romanian and English.

The Bric Model from a Japanese Perspective
Ionut Nistor - Econohistory


Quarterly Jiseki + Indian Sectors

 

 

Early this year we mentioned that the one of the reasons Indian market continue to underperform is the quarterly Jiseki rankings. Most of the Indian sector indices were above 70. Even now after a few months, the rankings have just marginally changed. Most of Indian sector indices continues to be expensive compared to it’s peer. This was one of the reasons we selectively went short on Metals, Oil and suggested IT to be topping. We had no long idea among the top IT majors. This special issue looks at the top 10 Indian sectors. The aim is to answer the following questions?

 

1) Are NIFTY new lows possible?
2) Where and when is the Nifty going to bottom?
3) How does this situation change sectorally?
4) What are the levels?
5) What do the Jiseki cycle signals suggest?.

Mail us for subscription details or download the report from our Reuters store.

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.

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.


The ROC Bull

 

Rate of Change is an Oscillator. Oscillators are indicators that are designed to determine whether a market is “overbought” or “oversold.“ An oscillator is generally plotted at the bottom of a graph, below the price action. As the name implies, an oscillator is an indicator that goes back and forth within a range. “Overbought” and “oversold” conditions (the market extremes) are indicated by the extreme values of the oscillator. In other words, as the market moves from overbought, to fairly valued, to oversold, the indicators have different ranges in which they vary. Often, the oscillator will be scaled to range from 100 to -100 or 1 to -1, but it can also be unbounded (without a fixed range) like the rate of change.

The above was the conventional interpretation, non conventionally a ROC can be also used as a cycle. Because just like a cycle, the ROC oscillated from a bottom to a top and back. Here we have also plotted the yearly ROC on the DOW Jones Industrial average. The aim is to understand a large cycle on the global popular indices. And whether the cycle is bottoming or topping? Whether we are in a period of extended uncertainty or is it a great bottoming opportunity in a few weeks? One should remember that sentiment is not going to be positive at a market or cycle low. The larger or more significant the low, the more worried and negative the sentiment.

ROC and momentums are used for a default 14 periods. The yearly ROC here is for 14 years. This gives it a cycle of an average 28 years (14*2). Sometime the cycle becomes a bit larger and sometimes a bit smaller than the average 30 years. As you can see the last ROC cycle started in 1982 and is finishing now in 2012. This is 30 years. The last one started in 1942 and was a 40 year cycle.

There is another key observation that is visible here. A falling ROC from 2000 high has not accompanied a falling price. This same thing happened in 1965 to 1982. What does a falling ROC without falling prices mean? Despite negative seasonality, negative time, markets hold firm ground and choose to stagnate rather than fall. When markets choose to retrace in time rather than retrace in time, it’s sign of strength, consolidation and accumulation rather than otherwise. It is always essential to look at the larger picture, because larger trend dictates the smaller trend. Now with markets reeling under negativity, the short term outlook seems negative. But this larger annual outlook suggests that larger multi year trend is still positive on DOW. This report carries a ROC outlook for India, China, Brazil, MSCI Asia and Eastern Europe.

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.