Archive for the ‘Time Triads’ category

Temporal Changes makes it to SSRN top 10

Your paper, “Temporal Changes in Shiller’s Exuberance Data”, was recently listed on SSRN’s Top Ten download list for Econometrics: Data Collection & Data Estimation Methodology eJournal. As of 04/02/2011, your paper has been downloaded 46 times. You may view the abstract and download statistics at http://papers.ssrn.com/abstract=1754388.

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The (un)ethical insider

Ultimately the Raj Rajaratnam insider trading issue questions whether information, like price, is inefficient

The Raj Rajaratnam case may seem like an important case of insider trading involving a hedge fund in US, but it is more important when it comes to illustrating how market participants comprehend their market place. Rajaratnam denies wrongdoing and has argued that investment advisers routinely speak to company insiders as they do research.

 

When Satyam’s Raju pleaded guilty, he cut his losses immediately. By fighting the case Raj has raised the stakes. He is climbing an uphill task. The amount under question is $45 million. The first question that comes to mind is how did a 22-per cent return generating $7-billion fund founder reach to create a network for funnelling information? When money could be made ethically why should a fund manager rely on the easy way out? Even if we assume Raj is right about routine investigative research for companies, how will the state quantify what insider information made what money? What if it was the underlying trend that helped Raj and not the information?

This brings us back to the Dynegy case of 2004…

This article is written for Business Standard
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.

 


Momentum vs. Cycles

 

Momentum was the first think I learnt in technical analysis. But after practicing the vocation for more than 10 years, I use few momentum indicators. For me all of them whether it’s RSI, MACD or anything else, they all tell me a similar story. Though I am a believer of confluence, my approach is not to look at various momentum indicators and look at the combined weight of evidence, but to harness various degrees of time. I was always more interested in knowing what is the result of the weekly, daily and 60 min RSI at the same time. What do they tell me together and not separately? This is where momentum miserably fails.

There are other reasons. Momentum is noisy. It has so many signals. If weekly RSI is a sell, daily RSI can be a buy. There can be a conflict. Third, there is no way of saying prior when an indicator has reached an extreme reading, how higher or lower can it go? One may say Constance Brown’s over-reactivity on momentum works. I would say it’s brilliant and I use it, but over-reactivity also can’t harness multiple degrees of time. There can be a negative reversal on 60 minutes and positive reversal on daily.

What’s my process? First I filter stocks through numeric rankings. Second I look for performance cycles (Jiseki) signals. Third I look at the price structure through Elliott and only after that (fourth) draw momentum. Just to make my case I have illustrated TCS here. Daily, 60 min RSI are oversold and weekly RSI is at 40.

A conventional approach would be to stick around for a price confirmation break of the potential Head and Shoulder neckline. Now if I look at momentum the signals are unclear, but if I look at Jiseki performance cycles, the sell signal is clear. Jiseki says TCS is ready to crack.

To read more of such updates on subscribe to Orpheus Research Reports.

This article is 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.

Nifty March Seasonality

March seasonality has a good track record for Nifty. We have had seven signals since 2003 March. Barring Mar 2004, every March has brought in a reversal of multi week or multi month degree. Multi week or multi month is what traders live for. Now we are in March again. If the March seasonality is to be understood, it brings a reversal. A sideways movement is also a reversal.

 

The previous trend from Jan was negative and brought Nifty lower by around 1000 points (15%). Now March seasonality has arrested the previous down trend. This is a reversal too. This was anticipated in our bounce back case in ‘The Sensex Projection’. We think that the bounce back case is still unfolding up till 5,600-5,700 levels.

The quality of the bounce seems corrective at this stage and suggests a lower resolution after the countertrend move is over in the final week of March. After which the next down leg sub 5,000 to 4,700 should begin.

To read more of such updates on subscribe to Orpheus Research Reports.

This article is 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.

 


The Objective System

Money management systems have existed since the time markets were created. It was a natural step to harness and comprehend the market. The market universe always had numerous elements and the system selected a few of these. It was always like the study of a small sample.

As early as 1800, it was the candlestick charting system at the Osaka rice exchange. The 1850s saw bookkeeping come in vogue and fundamental systems were created on the basis of analysing new information (news), valuing the asset and observing the divergence of value from price. Technical analysis indicator systems of 1884 assumed that the price discounted all information. The use of modern computers brought probability theory and Gaussian curves to the mainstream.

Systems will always give a telescopic view to look at the universe, a piece at a time. We can only estimate the big picture, never actually see it. In such a limitation, systems should be viewed as risk-reducing ideas rather than return-increasing approaches. David Aronson’s book on evidence-based technical analysis quotes an example of excessive searching. While searching for the best predictive correlation to the S&P500, the UN database suggested the level of butter production in Bangladesh had a correlation of 0.7 with the S&P500. The more you search, the more correlation you can find — of everything with anything.

Systems can also be viewed as an approach to identify opportunities that stand out and have real merit. Aronson talks about real merit opportunities as a skilled musician, a real talent, which would stand out of his group. Real skill is like a real asset that stands out in performance from the rest of peers. Because the market universe is large, market participants adopt various systems.

Some system ideas get popular and some remain peripheral. Seasonality as a system is adopted by the minority. It’s only for the value pickers and for contrarians, who have longer holding periods. Seasonality as a multi-week, multi-month trading is a novel approach. Performance cycles and numeric ranking are our objective system, which is built around seasonality for a group of assets. Performance cycles also seek outliers, but bet against them. The top outliers, the best performers, are a ‘reduce’ for us, as they are the most expensive. And, the worst outliers are the value accumulate and buys for us, as they are inexpensive. This idea of seasonality in performance works irrespective of whether one is investing for a few minutes or a few years.

HDFC Bank, Bank of Baroda, Tata Motors and TCS are the top outliers for a multi-month period and, hence, the best reduce for us. The oversold worst rankers — Punj Lloyd, Housing Development, Reliance Infra, Reliance Power, Sesa Goa, NTPC — are the best value picks for us. Nifty, at 26 percentile, is also near-worst performance. With Daily momentum readings oversold still, minor multi-day positivity on the index cannot be ruled out. On the higher side, we are not looking Nifty above 5,800 now. March is known for reversals and would need a review.

To keep updated with performance cycles and rankings subscribe to Orpheus Research Reports.

This article is written for Business Standard

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.

Temporal Changes in behavioral and econometrics journal

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers Time Cycles on global assets and forecasts. The report uses alternative research techniques to study emerging markets and carries updates on behavioral finance, market fractals, econohistory, econostatistics, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.

Temporal Changes in Market Efficiency Journal

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers Time Cycles on global assets and forecasts. The report uses alternative research techniques to study emerging markets and carries updates on behavioral finance, market fractals, econohistory, econostatistics, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.

Temporal changes and Shiller's exuberance in data estimates journal

Econometrics Data Collection & Data Estimation Methodology eJournal SSRN

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers Time Cycles on global assets and forecasts. The report uses alternative research techniques to study emerging markets and carries updates on behavioral finance, market fractals, econohistory, econostatistics, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.


Temporal changes and Shiller’s exuberance in data estimates journal

Econometrics Data Collection & Data Estimation Methodology eJournal SSRN

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers Time Cycles on global assets and forecasts. The report uses alternative research techniques to study emerging markets and carries updates on behavioral finance, market fractals, econohistory, econostatistics, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.


The Indian Sensex Projection

Now that prices have reached our anticipated target at 18,000 and we are heading into event risk or event volatility, it makes sense to review the complex unwinding Sensex price structure. If 18,000 is broken Sensex is just going to slide lower into 13,500. However, this seems very obvious, as a support breaks and prices fall to a new lower support. For a technician the harder task is to comprehend what is not obvious. Putting in other words to understand where the surprise is going to come from is as important as the path of least resistance.

This is why an alternate view is significant just like the Elliott preferred view. So now that we have stated the preferred view. Let’s discuss the eventuality that Sensex 18,000-17,500 holds for a multi week period. In such a situation we have to look at the larger picture. The larger picture for us, as we mentioned prior in ‘The Primary Corrective’ is a cycle degree flat. We think the large B primary is over and now we are in a C down. Remember it’s the C waves that are the fastest and most damaging. There are advantages of a C also, it’s a trending move compared to the complexity and overlapping behavior of A and B waves. Finally we just might get to see some trend, after the complexity and deviousness of B primary wave from Mar 2009…

To read the complete multi year perspective subscribe to Orpheus Research Reports.

This article is 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.