Category Archives: Indicators

Homebrew Correlation Indicator

The CBOE index of implied correlation made the news recently, with a high of 72.  This index, JCJ, is not as well-known as the one for implied volatility, but the two are linked. Low correlation suppresses volatility, due to the … Continue reading

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190 Weeks without a Correction

It seems like pullbacks have been really small lately, so I whipped up a new indicator called Percent off Peak, and took a look at the history of corrections. The indicator simply ratchets itself up as new peaks form, and … Continue reading

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QE Bulls Are Back

If you follow the market every day, as I do, you can observe two distinct groups of bullish investors.  This is hard to depict on a chart, but I am going to try.  One group responds normally to economic news, … Continue reading

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Levy Dispersion Update

I watch $OEXA200R on Stockcharts, which says that 74 of the S&P 100 are trading above their respective 200 day moving averages.  It is generally considered a bad idea to go long when this figure is below 65, or in … Continue reading

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Short SPX for 2014

The purpose of this post is to explain why and how I shorted the S&P 500 on Jan. 6.  In an earlier post, I described the two methods I use for detecting “tops” or, more precisely, local maxima.  I also … Continue reading

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Thoughts on Correlation

Mean reversion is aided by volatility, and momentum trading is aided by relative strength.  I have been exploring the distribution of relative strength.  Market strength and breadth are handily characterized by the mean and standard deviation of this distribution.  It … Continue reading

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Levy Ratio Dispersion

I have been experimenting with Levy ratio dispersion as a measure of market breadth.  Saturday, I posted this chart on Stock Twits, showing lower lows, lower highs, and declining RSI for $OEXA200R. The chart shows that 87 of the S&P … Continue reading

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Thoughts About Volatility

Back in September, I was testing the Connors RSI pullback strategy, and I posted an observation that the strategy performs best in a volatile market.  Volatility gives you the setups, and mean reversion gives you the profits.  If the market … Continue reading

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The Dot Com Bubble of 2000

Many bloggers are seeing a bubble right now, so I dusted off my analysis of the dot com bubble.  Bubbles are different from normal tops.  They rise sharply, and then pop.  From roughly 5000 down to 3000, the NASDAQ composite … Continue reading

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POMO Calendar

In case you were curious, here is a breakdown of the Desk’s agency purchases for the month ending November 13, 2013.  Units in millions.  Data from the Federal Reserve Bank of New York. Agency purchases are pretty steady throughout the … Continue reading

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