Long Term Equities Update

It’s been a while since we’ve covered equities exclusively and as the month is coming to an end this is as good an opportunity to catch up. As you all know I have been dangling the ‘late stage bull market’ carrot for a few weeks now and quite frankly I don’t see any reason to change that outlook. I have been very adamant about expecting a final exhaustion spike higher and believe that is already in the works. Now before you start piling into puts be aware that we may be weeks, perhaps even months away from a downside event. So hold your horses and for now just enjoy the charts in preparation for where we heading most likely later this year. Enough weasel talk and disclaimers? Great – let’s get to the charts.

2015-02-27_zero

Actually it was the Zero chart that reminded me that a LT update may be in order. Over the past few sessions some of my subs and myself have been noticing strange signal patterns suggesting distribution. It’s very much possible but quite frankly I don’t see anything on the momo side that would suggest urgency. In short – nobody can predict when things will take a turn but we are a bit early in the game here still. So let’s review the evidence:

2015-02-27_SPX_LT

 

First the long term SPX with my trusted weekly stochastic. I almost never use this indicator – except on the weekly chart where it actually works pretty well! Right now we’re scraping 100 but in this bull market this means nothing. Most likely we’ll see an embedded signal (above the 80 mark) for a while before we head lower here. So no reason to be in a hurry – again we may be weeks or perhaps even months away.

2015-02-27_SPX_SPXA200R

SPX vs SPXA200R – the latter is the percentage of stocks in the SPX trading above their 200-day SMA. Now that one is looking bloody well divergent and eventually there will be a price to pay. But I don’t think that we’re due just yet (watch how the market will drop instantly after Mole’s statement).


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Bonus Chart!

022615pump

This one is courtesy of Chris Carolan over at spiralcalendar.com – one of the few other analysts I follow. Chris graciously permitted me to post this chart which I not only find absolutely compelling but also appears to be in line with what I’m presenting above. See the delay in the response on the S&P? Ponder on this one over the weekend.

Alright – I’m exhausted and am desperate for my Friday treat:

beer5

Not her you deviant! I’m talking about the Hefeweizen – which is waiting and that’s my cue. See you guys Monday!

Cheers,

Introducing Thor.0

I already mentioned this morning that I was having a very good day for various reasons. The one I left out was that I was working on something pretty exciting and was getting ready to make an announcement today. In essence my goal has been to extend Thor with a system that takes advantage of strongly trending tape. Thor does like trending tape but it’s not exactly what you would call a trend trading system as it takes advantage of pull backs. Which is why Thor didn’t catch the big moves on the EUR or crude in the past quarter. Not really a Thor problem as it’s not designed to do that – but I would be amiss to not at least try to produce a complementary system.

So I did a lot of thinking and looked at several hundred charts. A few days ago I presented a basic idea to Scott who quite frankly wasn’t really sure he understood what the heck I was on about. But I was sure that I was on the right track so on Wednesday morning I started coding the rules and by late afternoon that very day I had a very basic (but slightly buggy) version running. When I started to test it I was pretty amazed by the results and I first thought that I was missing something. However, there are only three basic entry rules in the system and the campaign management is identical to that of Thor.

I ran it through my very own backtester which unlike the built-in NinjaTrader tester allows a second short term data series and therefore executes exactly like the the strategy would in live tape. I have tested this module many times and it’s absolutely accurate. The results, to be quite honest, are staggering – so let’s take a peek at a few examples and then let’s talk numbers:

2015-02-26_EURUSD_ThorPointO

By the way I call it ThorPointO or Thor.0 – however you prefer to write it, and here it is running on the EURUSD. As you can see the campaign management does not have a target – it rides the trend via a pretty loose trailing stop – exactly like Thor does. One of my most favorite aspects of Thor actually is the campaign management which Scott Phillips developed over the past year – and I always thought it would be perfect for a trend trading system.

2015-02-26_ThorPointO_EUR

And I really think it came into its own with this new trending strategy as you can see above as it’s killing it on crude.

2015-02-26_ThorPointO_spoos

Here’s the E-Mini which didn’t really pull a long trend out of this one – actually it did much better on the NQ and the YM which surprised me a little. The old convict mused that he wouldn’t run those concurrently but I actually don’t see much overlap – the entries are completely different and do not run into each other.

2015-02-26_ThorDotO_graph

Now on to the numbers. I mentioned that I ran ThorDotO through my back tester but you don’t know the half of it. I just set up a high performance Windows system in PA near my data provider and decided to use that one as it’s super high performance with 32GB of RAM and 24 cores – it’s a monster. Took me only two hours to run through 34 futures and forex symbols – the very same ones we trade with Thor. I combined the results in a spreadsheet and the resulting graph is shown above. We are talking 554 trades in the course of 700 trading days – roughly every session since June 2013. I would say that this is statistically viable and diversified enough.

The numbers are pretty stunning if I may say so. Expectation came out to 0.31 and that is absolutely without ANY optimization – just the raw three rule entry system. I am already seeing things that I am sure we can filter for and that’ll be my task for the coming week. SQN(100) comes out to a whopping 2.73 and max drawdown was 13.3R. The total in risk was 170R – if you would have started in 2013 with $100k and only risked 1% on each campaign you would be up to over $500 today. Now that’s exciting but even more exciting in my mind is the growth curve which is as good as one could hope for. Which means that I would happily play this one with 1.5% or even 2% position sizing. Which really cranks the compounding but I don’t want to throw too many numbers at you guys.

Where do we go from here? Well, Thor subscribers can rejoice as I will be adding ThorDotO to the existing subscription for free. I may make a few more adjustments over the next few days and then it’ll go live by early March.

 

It’s not too late – learn how to consistently bank coin without news, drama, and all the misinformation. If you are interested in becoming a subscriber then don’t waste time and sign up here. The Zero indicator service also offers access to all Gold posts, so you actually get double the bang for your buck.

Cheers,

Friday Morning Briefing

Welcome to our morning briefing. Here we are reviewing short term setups ahead of the NYSE opening bell. If you are a scalper or swing trader then these setups may be of interest to you. As usual keep in mind that these are short term setups although they could be used as early entries for more longer term positions.

2015-02-20_NZDJPY_briefing

NZD/JPY – I’m waiting for a push back above the 100-hr SMA to grab a long with a stop below 89.3.

2015-02-20_PL_briefing

Platinum – short here with a stop above 1173.

2015-02-20_ZT_briefing

ZT – two-year t-bond futures – long now with a stop below 109’182. If it makes it above the 100-day SMA we could have ourselves a runner.

Plenty more lurking below the fold:


More charts and commentary below for anyone donning a secret decoder ring. If you are interested in becoming a Gold member then don't waste time and sign up here. And if you are a Zero subscriber you get free access to all Gold posts, which gives you double the bang for your buck!

Please login or subscribe here to see the remainder of this post.

You have been briefed – now have fun but keep it frosty.

Cheers,




    Zero Indicator


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    1. Long Term Equities Update
    2. Introducing Thor.0
    3. Awesome Thursday Morning Briefing
    4. Ring Side Seats To The Freak Show
    5. Waiting Out The QE Storm
    6. Evil Speculator 101
    7. Event Risk
    8. Slow Drift Morning Briefing
    9. Friday Morning Briefing
    10. Long Term Update