Archive for the ‘Metal Pairs’ category

The Short Bullion (SBUL.L)

 

It’s very tough to look at a positive metals case (commodity or metal stocks), if we have a negative case on GOLD. Our recent negative case on metals continues to deliver and now that Gold has reversed from key resistances, we won’t be surprised to see further negativity on the metals complex.

We have illustrated the Short Bullion (SBUL.L) case here. Short Bullion is the inverse of Gold prices. The instrument falls if Gold prices rise and vice versa. The Price of ETFS Short Gold (SBUL) changes daily by -100% the daily percentage change in the DJ-UBS Gold Sub-Index. The instrument gave a buy signal on 18 Dec 2011. The latest ALPHA carries…

1)Two new metal short cases that are on the F&O segment.
2)The latest rankings of the BSE500 Metal sector components.
3)Nifty update.
4)Signals on Short Bullion ETF (SBUL.L)

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


Is Silver going up or down?

Assets perform or underperform at a certain TIME. It can be hard finding that exact time, waiting for that exact TIME could be harder. Orpheus Jiseki (performance cycles) a.k.a Time fractals offer an integrated approach to look at TIME. For us any asset is at inflexion (when it reverses direction) less than 10% of the time, the rest 90% of the TIME the asset prices are trending or stagnating. However more important than timing the top or bottom of an asset is understanding what kind of top the trader prefers, a weekly top, a monthly top, an annual top etc.. Orpheus Jiseki can identify and classify such an inflexion point (bottom or top).

So is silver going up or down would mean more if we knew how long the precious metal is going down. Silver SLV intermediate Jiseki has reached 90% (a top ranking performer) and has a negative crossover. This suggests SLV is  ready to come down on a multi week basis. Even SLV primary multi month Jiseki is also near 80%. Multi month 80% readings are more significant than intermediate daily 90% readings because sustaining a multi year winning performance is tougher than sustaining a top quarterly performance. Apart from this Silver India is also in a Jiseki sell mode ranking at 90%. So for us silver is coming down for atleast  multi weeks now. Gold India and Palladium intermediate Jiseki is also negative.

On the energy front OIX (CBOE Oil Index) is a bit different from precious metals. Though OIX completing corrective is negative, which should push Oil 10-15% lower from current levels. On a multi month basis OIX is bottoming and should be hitting primary multi year lows soon. OIX is a multi year accumulate story. Oil has a 55% weightage in the DDP (Inverse commodity) ETF. On the short term DDP suggests higher for multi weeks (negative commodities) and on the longer multi year terms DDP has a negative Jiseki (positive commodities)

Enjoy the latest Alpha Global, Energy and Metals special.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings of 0 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.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings of 0 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.

Alpha is a daily strategy signal product that gives trading and investment signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. Alpha is a part of the time triads analytics developed by Orpheus Research.

Coverage Global: Commodities, Currency, Stocks, Bonds, Indices


Is silver the new gold?

 

There are a few reasons why silver cannot become gold. First, Gold is the sector leader not silver. Second, though both gold and silver were used as a currency, historically it’s gold that is the real proxy for currency. Third, since 1980s there are only on three occasions Silver has outperformed Gold (Fig 3.) for a brief period (1983, 1997, 2007, and 2011).

1983 was near the top of commodities. Just like equity, when markets top, it’s the small cap that is racing ahead of blue chips. It was a similar situation in 1983. Then in 1997, silver outperformance accompanied Dow topping. Silver was leading equity and when silver underperformed Gold, the ratio line (silver vs. gold) witnessed Dow falling with it down till 2002. We all know what happened in 2007 (Fig. 4). Now we are in 2011, the fourth occasion since 1980′s when Silver seems to challenge gold. This cannot last.

What does this mean? This means that it’s time for Silver to underperform Gold. It also means that sentiment should turn from confidence to caution when Silver underperforms Gold. Rising silver-gold ratio is a sentiment indicator suggesting confidence while a falling ratio line suggests worry and fear. Measuring the degree of fear is the harder task, but with VIX already at historical lows, markets into seasonally weak period, secular bull getting more than 24 months old, the sentiment indicator does not look too encouraging for Dow and US equity.

Above this the silver…

This article was written for ATMA.

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers various aspects on TIME patterns, TIME forecast, alternative research, emerging markets, behavioral finance, market fractals, econohistory, econostatistics, time cyclicality, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.

 


What’s happening to Egypt?

We ranked the MENA performance before Egypt was in the news and for the last 12 months Egypt CCSI was one of the worst performing markets of the region.

For us at Orpheus markets tend to make solid bottoms under extreme negative news and this is what seems to be happening in Egypt, worst news is taking the markets lower into a multiyear bottom.

News also has a tendency to time itself just like prices. We have illustrated the price curve illustrating the order in prices. There are extreme outperformers and underperformers at the same time and this curved order can be seen across asset classes and across time, a similar exponential curve (positive and negative). Now that Egypt is at the lower end of the curve, a reversal should not be far away.

CCSI Egypt is already down 61.8% from its top and another 15% lower takes it to 78.6% retracements from the top. Timing a bottom is tough but RSI momentums are non confirming for a few months now. Sub 1,285 historical lows prices could move down till 1,000. At this stage we expect 1,285 to hold. We will review if 1,285 breaks.

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers various aspects on TIME patterns, TIME forecast, alternative research, emerging markets, behavioral finance, market fractals, econohistory, econostatistics, time cyclicality, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.


What's happening to Egypt?

We ranked the MENA performance before Egypt was in the news and for the last 12 months Egypt CCSI was one of the worst performing markets of the region.

For us at Orpheus markets tend to make solid bottoms under extreme negative news and this is what seems to be happening in Egypt, worst news is taking the markets lower into a multiyear bottom.

News also has a tendency to time itself just like prices. We have illustrated the price curve illustrating the order in prices. There are extreme outperformers and underperformers at the same time and this curved order can be seen across asset classes and across time, a similar exponential curve (positive and negative). Now that Egypt is at the lower end of the curve, a reversal should not be far away.

CCSI Egypt is already down 61.8% from its top and another 15% lower takes it to 78.6% retracements from the top. Timing a bottom is tough but RSI momentums are non confirming for a few months now. Sub 1,285 historical lows prices could move down till 1,000. At this stage we expect 1,285 to hold. We will review if 1,285 breaks.

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers various aspects on TIME patterns, TIME forecast, alternative research, emerging markets, behavioral finance, market fractals, econohistory, econostatistics, time cyclicality, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.


Top 50 Global Jiseki Rankings

Natural Gas is still the worst and Silver, Coffee, Sugar, Copper are the best. The surprise is EUR USD which is one of the worst performing pairs. The pair has not bottomed yet, but this case is not very encouraging for our iii of 3 on dollar. We will keep you posted.

Enjoy the latest Jiseki integrated rankings. We have integrated multiple degree of Time to create Jiseki Rankings.

Rieki and Jiseki are Japanese words for performance and performance cycles. Since we are speaking of multiple degrees of time, we use Rieki for performance cycle on one degree of Time and Jiseki for an integrated performance cycle for multiple degree of Time. Performance cycles are created from relative performance ranking. The above chart is the integrated ranking for Indian Health care sector. Cadila, Dr Redy’s and Sun are the top rankers. While Divi’s, Piramal and Cipla are the worst rankers. Orpheus performance cycles invest in the worst and sell the best. This is why the top short opportunities for Indian Health Care are respective top rankers and vice versa. To understand the strategy working try out Orpheus Research Alpha Products.


Nickel and Tin ready to rock lower

Now that tin has rocked the boat delivering the maximum returns along with sugar at 45% among 54 global assets just in 56 days, the best performer deserves another look. Among metals just after Tin, the rankings suggest Nickel as the second best performer. The metal delivered 10% in 24 days.

Written for Association of Technical Market Analysts

To read more on India strategy mail us for subscription details to Alpha India.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters - United Kingdom

Orpheus Research at Reuters - United States

Performance Cycles (Rieki) on nine major forex pairs gives a global perspective.

The idea of performance cycles is built around divergence between the worst and the best. After a certain time the best and worst reverse polarity. The histogram carries a 6 month return comparative between few best and worst Nifty blue chips. SBI, ITC were the best and Suzlon, Jaiprakash and Reliance were the worst. After we ranked the stocks on performance we looked at the Rieki (performance cycles) for the respective stocks.


The Hunt brothers – II

The historical case of silver Thursday suggests cornering of assets is a cyclical event with probable consequences.

Cornering markets may have come off age, but even today traders dare to take large bets. How safe is it? What do historical cases suggest? Are there any signatures linked with such trades? What does numeric ranking of global portfolio suggest? Time does not differentiate between assets. If coffee is the best in a quarter compared to 54 global assets and Zinc is the worst, it’s easy to make a cross asset case, where we go long Zinc and short Coffee. We initiate the pair today.

To read more about…

Anthony Ward’s 658 million pound cocoa trade and how softs are under extreme buy pressure?
How Hunt brothers cornered the silver market?
How cornering is more about tops than bottoms?
Why there are few attempts to corner gold?
What’s the update on our gold undeperformance case?
What about crude and brent performance cycles?

Read the complete article at Alrroya

..download the latest Alpha Global report from the links below.

The latest Alpha Global carries pair tracker signals, numeric ranking, numeric ranking changes, performance cycles. For more information on Alpha Global mail us at [email protected]

Performance Cycles - Aggregate Assets

Numeric Ranking Sectors

Performance Cycles - I


Performance Cycles II


ALPHA is a pair trading, long only - short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Coverage: Forex (EUR USD, AUD USD, GBP USD, CAD USD, JPY USD, CHF USD, Yuan Rnmbi, Indian rupee, NZD USD), Energy (Crude, Natural Gas, Gasoline, Heating Oil, Petroleum, Carbon Emissions, Brent, WTM, Energy Index), Metals (Precious Metals, Tin, Zinc, Nickel, Copper, Platinum, Silver, Industrial Metals Index, Gold), Agro (Coffee, Corn, Grains, Livestock, Sugar, Wheat, Soybeans, Cotton), Thematic and Global Equity (Coal Mining Fund, Shipping Fund, Dow Industrials, Sense, Agricultural Equity, Water, Nuclear, Russell 2000, Russell 1000 USD), Bonds (US 30, US 5Y,  US 10Y, US 2Y, INR Bond Index, China Bond Index, Australian Bond Fund, Global Bond Index, Sweden Bond Index).

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 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.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters - United Kingdom

Orpheus Research at Reuters - United States


The cross asset myth

Trading Long Zinc, Short Coffee or say Long Industrial Metals index and Short Carbon Emissions index could evoke a shock among the pair trading community, leave aside the simple investor. How can you mix coffee with zinc? “These are pairs, they are not for me, I am a single stock (asset) absolute performance go getter”. Wrong Answer. A simple Dow trade is an investment in the Long Dow - Short Dollar pair as Dow is denominated in dollar. It’s different that you ignore the dollar leg and just look at the Dow leg. But the real returns on your single asset trade have to be netted for dollar performance.

From July 2008 we have been tracking assets against their respective benchmarks in form of pairs. We benchmarked metals against precious metals index, various currencies against dollar, agro assets against a composite agricultural index, and energy assets vs. energy index. We illustrated numeric rankings selling the best and buying the worst, it worked.

We started running a portfolio of agro pairs, forex pairs, metal pairs, energy pairs, and bond pairs all the time realizing that we were actually trading a cross asset portfolio where metals were pegged against agro, agro against energy. It was a mix match of different assets. If we had two running pairs long AIGI (Industrial Metals) vs. short Nickel in one trade and long AIGE (Energy Index) and short heating oil (heat) on the other, we were actually playing Nickel against Energy Index.

Today we integrate our Alpha Global portfolio with the following 55 assets. Forex (EUR USD, AUD USD, GBP USD, CAD USD, JPY USD, CHF USD, Yuan Rnmbi, Indian rupee, NZD USD), Energy (Crude, Natural Gas, Gasoline, Heating Oil, Petroleum, Carbon Emissions, Brent, WTM, Energy Index), Metals (Precious Metals, Tin, Zinc, Nickel, Copper, Platinum, Silver, Industrial Metals Index, Gold), Agro (Coffee, Corn, Grains, Livestock, Sugar, Wheat, Soybeans, Cotton), Thematic and Global Equity (Coal Mining Fund, Shipping Fund, Dow Industrials, Sense, Agricultural Equity, Water, Nuclear, Russell 2000, Russell 1000 USD), Bonds (US 30, US 5Y,  US 10Y, US 2Y, INR Bond Index, China Bond Index, Australian Bond Fund, Global Bond Index, Sweden Bond Index).

Now you will see us doing seemingly exotic strategies where we unwind AIGI-Nickel pair at a profit by just closing the Nickel leg and shifting AIGI exposure against short Carbon. It just sounds strange. Markets and assets are connected in time through performance. Time does not differentiate between zinc and coffee. It’s the same inefficient divergent pairs that can be profited from. Lack of cross asset pair tradability is a myth. Get ready for long zinc, short coffee pair. We are expecting a signal on the pair soon.

To read the latest Alpha Global report download it from the links below.

The latest Alpha Global carries pair tracker signals, numeric ranking, numeric ranking changes, performance cycles.

For more information on Alpha Global mail us at [email protected]

Numeric Ranking Assets

Performance Cycles - Aggregate Assets

Numeric Ranking

Performance Cycles - I

Performance Cycles II

ALPHA is a pair trading, long only - short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Coverage: Agro, Forex, Metals, Energy

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 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.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters - United Kingdom

Orpheus Research at Reuters - United States


Introducing Alpha global pair portfolio tracker

The Alpha global portfolio tracker will be posted in the member’s area on a daily basis. The portfolio covers Agro, Forex, Metals and Energy pairs. For more information on Alpha global pair portfolio tracker mail us at [email protected]

ALPHA is a pair trading, long only - short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Coverage: Agro, Forex, Metals, Energy

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 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.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA