Monday, November 24, 2014

Buy Signal Confirmed, 100% Equity Target. Nov 24 Close

.
Summary: All moving averages of the Long-Cash Ratio are now positive.  The slopes of the averages are also positive.  The Cumulative Tick has moved above it's longest moving average.  Not a perfect set of signals, but good enough to remove all money management governors.  Backtesting suggests that this signal will fail, but we don't live in the past.  "To the moon ..."

Charts

For those of you who follow my ramblings, I'm simply going to post the next two charts as justification as a change in my position from yesterday.  Contact me via the comments section if you have questions.  Effectively, everything that was giving me pause yesterday has cleared itself.

NOTE that backtesting shows that this type of setup of signals is prone to failure.  That fact has not changed -- that is simply the setup.  How we got here is weak when we considered past "like" events, so, caution is advised.




Strategy

I'll cancel any open orders if the white Cumulative Tick line above drops below the red Cumulative Tick average.

I'm going to start getting back into the market with my ETF portfolios.  The two that appear to be performing well are my Leveraged SP500 and SPDR portfolios.  Allocations are as follows:

SPDR Portfolio:

XLK 20.89%
XLF 17.17%
XLV 13.11%
XLY 11.36%
XLP 11.29%
XLI 10.56%
XLE 9.65%
XLB 2.69%
XLU 2.66%
XPH 0.33%
XSD 0.29%

Leveraged S&P 500 Portfolio:

UPRO 46.53%
SPY 36.01%
SSO 15.26%
IWM 2.20%
My entry into these positions is at the allocations shown.  I only buy strength.  The entry price will be 1.001 above the high of the day.  Hence, if the high was $100, then the entry price is $100.10 for tomorrow.

The order will be a BUY STOP, GTC, effective after 9:45 a.m.

In addition to the list from yesterday, the following stocks should be added to the buy list:



Note that USNA is to be removed from the list.

~~~~~~~~~~~~~~~~~

As with all my ramblings, you are responsible for your own investment decisions and I am not.   Please do your diligence, and please take ownership for your actions.

Regards,

pgd

Sunday, November 23, 2014

Potential Buy Signal - History Says Avoid. Close of Nov 21

.
Overview:  The Long-Cash Ratio of 3000 stocks is reversing to a buy status, but history says to avoid this signal as it generally fails.  Holding at 50% equity invested at the present time.

Timer Status:

Short-term Timer:  New Long as of November 21 close
Intermediate-term Timer:  LONG
Long-term Timer:  LONG
Long-Cash Ratio:  Rising 8% from 1.249 to 1.346, indicating that for every 1346 stocks that are rated "LONG", there are 1000 that are rated CASH.  We have been rising two days only.
Percent stocks that are rated long:  57.4%, up 1.9% over Thursday

Here is the Timer Table:


Note the "Avoid Adding to Posn" recommendation.  This stems from backtesting this system over the past 8 years, and when this condition has occurred in the past, the GGT index has only risen in one out of five times, or about 21% or less.  Buying stocks with these conditions is prone to failure 79% of the time.

Slope Table:


Click on the image to open in a new tab or window.

The left side of the slope table shows that we've had two consecutive days of the Long-Cash Ratio (LCR) moving upward.  This has caused the 2d and 3d moving averages to develop a positive slope, as indicated on the left.  Note that the 5d, 8d, and 13d are still negative, although the transition of the 21d from RED to GREEN is a move in the right direction.

Note on the far left that all the slopes of the slopes, or accelerations, are positive.  This is good, and we need more green on the right in order to turn the left side of the table green.

It's prudent to get a shopping list together, but it is not prudent to move into the market at this time.

Cumulative Tick

The markets have been struggling the past week:


Click on the image to open in a new tab or window.

Friday's buying/selling activity did not match up with the performance of the major indexes.  At (1) you can see that the market actually started to sell off, and it sold off most of the day.  (2) is ominous because the moving average ribbon began to invert -- the shortest period moving averages moved from the top of the graph to the bottom, which is not good.  Selling was abated later in the afternoon, at (3), but you can see that net-net, we were far below where we started the day.

This is not a robust bull market, and re-entry on Monday is ill-advised, especially with the instantaneous white trace below the longest-period moving average (solid red).  I don't buy stocks when this is the case.

Equity Capture


The signals to move to 25% then 50% cash over the past couple of weeks have allowed me to capture significant gains as well as pare some serious underperformers.  A large position in AKRX, combined with a slam at earnings time wiped out nearly $20K in paper profit, and the resulting GGT "NEW CASH" signal on the stock forced me to sell it well under my purchase price.  Despite this, the upward slopes of all the little trades from that time (about trade 1050 onward) show that the overall process works well.  Green dots indicate new equity highs.

On a month-to-month basis, I'm looking at the following:


The dip from 10/14 to 11/14 is due mostly to losses in AKRX and ATHM, and is also due to where the calendar falls.  Overall, the lower-left/upper-right slope is what we want, and presently, the system is on track to deliver an annualized 14% with only 2% drawdown.  Win/loss ratio is 2.23, and fluctuates between 1.8 and 2.5 (so far).

Go Forward Strategy

The Friday after Thanksgiving is typically very strong, and it pays to be invested in the market.  This being stated, the present setup with the Cumulative Tick is quite poor, and until the LCR slopes all turn green (positive), and the Cumulative Tick Ribbon turns positive on all measured time frames, I'm going to hold at 50% cash / 50% equity.

By the rules, the transition of the Short-Term Timer to New Long as of Friday's close is the signal to move back into the market.  With the Intermediate-Term Timer also Long, the rules state that I should be trying to get to 100% invested.

The number of quality stocks passing my screens is actually quite small -- I would expect many more than this in a really robust market.  Here's the list of stocks that are "leaders" according to my criteria:


Here's the symbol list so that you don't have to type:

AMBA
ANIP
BFR
BIDU
BITA
CAVM
CORE
ECHO
EPAM
HDB
HOLI
LEAF
MDXG
MFRM
NRF
PLNR
POZN
RFMD
RH
SAIA
SAVE
SKX
SMCI
STRP
SWKS
UA
UEIC
URI
UVE
ZUMZ
ATHL

All of these stocks are solid performers and I'm watching for breakouts.  You can check the GGT Stock file to see if they are rated Long or Cash.

Other stocks that are on my watch list that could become leaders, e.g., they are rotating into this position and have only one or two issues going on, are:


Again, here's the symbol list:

FB
ICLR
LCI
LTS
ATHM
ENPH
APT
SANM
HCLP
DXCM
DANG
AFSI
AGIO
GBX
KR
PPC

The top of this list really has my attention:  FB, ICLR, LCI, and to some extent, LTS, ATHM, ENPH and APT are all within striking distance of becoming leaders.  It's worthwhile to watch them, and I do.  The others on the list, mostly with yellow, are pushed to the bottom only because TradeStation does not have relevant data as of this analysis -- this generally clears when the market opens

I'm not a buyer on Monday.  I'm watching these two groups -- I have alerts set to ring my cell phone when they trigger, but I'm not a buyer.  Again, I need the Cumulative Tick and the LCR slopes to all be positive, and they are not.

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

As with all my ramblings, you are responsible for your own decisions and I am not.  Please do your diligence, and please take ownership for your actions.

Regards,

pgd


Thursday, November 20, 2014

Moving to 50% Cash - Wednesday Nov 19 Close

.
I'm traveling this week and am in Austin, TX, so this will be brief.

The Intermediate Term Timer has transitioned to MIXED state.  This occurs when the internal alignment of the exponential and simple moving averages within the timer are not in alignment.  This is a major warning signal.

The LCR table is growing in bearishness on a short-term and now, with today's action, intermediate term, which I consider anything above the 13d slope.

The transition of the intermediate-term timer is enough for a SELL signal to the next level down, in this case 50%, to be generated.

~~~~~~~~~~~~~~~

I am raising cash to 50%.  I am doing this by issuing sell orders at a 1% Trailing Stop Loss (TSL), good 'til canceled (GTC), on all my holdings that are negative in gains sorted to most positive, until the equity equals 50% of my holdings.  This way, the weakest stocks in my portfolio are eliminated, and the ones with the most unrealized gains will remain active.

Here's the Timer Table:



The timer table shows we are still in a longer-term uptrend.

Here's the slope table:


On a short-term basis, we need some significant green on the RIGHT side to get us back above 50% equity.  For now, I'm raising cash.  It'll most likely take a few days to sell my positions and get to 50%.

~~~~~~~~~~~~~~~~~~~~~

I'll be back this weekend and will attempt to catch up on where we are at with all of this.

Regards,

pgd


Friday, November 14, 2014

Friday, November 14 Morning - Raising Cash to 25 Percent

.
A brief note here as I do not have time for a full entry.

With the close of markets last evening I've been presented a signal to raise cash to 25% of total holdings.

A number of stocks and ETFs triggered "New Cash" signals last night, so the market is pausing here.

In addition to those stocks that have "New Cash" recommendations, I'm selling the weakest positions in all my portfolios, until each portfolio has 25% overall cash / 75% equity.  The majority of these positions are winners, but, there have been a few dogs so the net will be minimal gains.  I'll post the equity curve this weekend.

I'm selling the positions, not 25% of the positions.  This thins the weakest stocks/ETFs from my portfolio and keeps the strongest ones intact.

My strategy is to enter a 1% trailing stop loss (TSL), good 'til canceled (GTC), effective after 9:45 am this morning.  This method misses the opening volatility while the book clears.

If the "raise cash" signal reverses before positions are sold then any open orders will be canceled.  We won't know this until after the close of markets tonight (Friday).

More to follow this weekend.

Regards,

pgd


Monday, November 3, 2014

"All In" -- 100% Equity as of Monday, Nov 3 Close

.
Overview:  The long-term timer has transitioned from CASH to LONG, meaning that equity can be raised to 100%.

Timer Status:

Short-term timer:  LONG
Intermediate-term timer:  LONG
Long-term timer: LONG -- just transitioned tonight from CASH.
Percent stocks that are rated "Long": 62.7% out of 3025 stocks
Long-Cash Ratio:  1.684, 16 continuous days of positive advances.

Slope Table:



You can see on the right that the slope of the slopes, or the day-over-day acceleration of the number of stocks that are transitioning from a "CASH" recommendation to a "LONG" recommendation continues the advancement on the majority of measured time frames.

A warning is that when we do have a pull back or pause, the acceleration that is negative spans further into the measured time frames, indicating that we're slowing more and more.  While we are moving forward, we are doing so at a slightly slower rate (red) than the previous day, hence, a turning point should be anticipated.

The left side of the table is a beautiful example of what we want to see in a good market.  The staircase example of greens/reds shows the steady pace of the markets, and allowed plenty of time to get on board.

Percent Longs


Historically, we're in a zone where we could see a pullback.  You can also see from the above chart that we're par with where we pulled back last time.  You can also see that we're below where we historically pull back, so who knows what's going to happen?  Your crystal ball is as good as mine, and as you can see, a reversal from this area would not be a major surprise.  We've moved steadily upward for 16 days and a slight pullback of 1-2% would be quite healthy.

Strategy

I'm 75% in cash right now, and I intend to buy breakouts when the market pulls back.  The easiest way to do this is using Alexander Elder's (modified) method to enter.  Applied to my Greenfield Leader's list, this is what I get:



On the right side of the table you see three stocks:  CORE, LDL, and STRP.  Each have a positive slope for price on the 13d and 34d time frames (green), and the 2-day force index (price * volume averaged for 2 days) is NEGATIVE while the 13-day force index is positive.  This means the following:

13d and 34d EMAs with a positive slope:  short and long-term up trends
13d FI > 0:  up trend and stock has had volume associated with it
2d FI < 0:  short-term pullback, generally on decreased volume

When this occurs, I buy the breakout.

The breakout for CORE is as follows.  Today's high was $58.66.  Adding 0.1% to this gives me $58.72.  If I get a price that is larger than $58.72 after 9:45 a.m. ET, I'll enter another position in CORE (I already have a position, it's up +6%).  Do all of this with a BUY STOP, GTC.

~~~~~~~~~~~~~~~~~

1) Start with quality stocks -- Greenfield Leader's list is as good as they come
2) Consider Elder-eligible stocks
3) Buy breakouts, so that you're buying strength

For the various portfolios that I am running, most are doing extremely well:



All of these stocks are taken from the lists in the stock file in the shared Dropbox folder, which about 110 of you review more/less nightly.  I expect you're doing about the same as above in your positions  ...

~~~~~~~~~~~~~~~

Standard disclaimers apply.  You are responsible for your own investment decisions, and I am not.  Please take ownership for your actions, and please do your own diligence.

Regards,

pgd


Tuesday, October 28, 2014

Outstanding Day, Tuesday, Oct 28 Close

.
Overview:  Markets had a notable up day.  Operating on a 75% equity position target.

Timer Status:

Short-term timer:  LONG
Intermediate-term timer:  LONG
Long-term timer:  CASH
Long-Cash Ratio:  Jumped +51% to 1.002 -- the database is at parity (equal number of stocks that are rated "LONG" and those that are rated "CASH".  There are 3029 stocks being tracked right now.

Slope Table:


All measured time frames now have a slope value that is positive.

We have a sea of green on the right, which is the slope of the slope.

This is a bullish table any way you take it.

Cumulative Tick:


Everything here looks solid.  From the top, Green over red means that more stocks are making 52-week highs on the NYSE than are making 52-week lows.  This is a requirement for me.

The middle plot is an algorithm buying/selling detector.  You can see that this afternoon was incredibly strong and that stocks were being bought and bid upwards at the end of every tick.  This chart advances upward when the number of ticks/minute exceeds 500/min to the advancing bid, so there was much strong buying going on this afternoon.

The bottom plot shows that we are in a steady uptrend in buying on all measured time frames.


This set of charts simply shows buying across the board on the S&P500, Russell 2000, and the NASDAQ.

Today was a solid day, and the 38th strongest day since September 2008 in terms of underlying market buying.

Strategy:

I'm at 50% equity right now.  I've not been too aggressive in getting into the market, and as a result, I missed 33% of the rise today (since my equity target is 75%).  I have a number of holdings and will add to them:

+


My gains to date are about +4% of my invested amount.  I've had no major losses yet on this new upward cycle.

My buy list is taken from my Greenfield Leaders list:


I also am watching today's breakouts:


Folks who choose to can get the breakouts, for a limited time, as they happen via their cell phone or email.  Send me a note if interested.

I plan on to keep buying until I hit 75% capital deployed.  It's a considerable amount of work, as I'm not using one simple portfolio.

~~~~~~~~~~~~~~~

Standard disclaimers apply.  You are responsible for your investment actions, and I am not.

Regards,

pgd

Thursday, October 23, 2014

Thursday, October 23rd Close

.
Overview:  Buying continued today but the intermediate timer is still MIXED, which is cautionary.  Operating on a target corresponding to 50-75% deployment of capital to equity.

Timer Status:

Short-term timer:  LONG
Intermediate-term timer:  MIXED
Long-term timer:  CASH
Long-Cash Ratio:  Increased +25% to 0.54 from 0.433, which is very bullish.
Percentage of stocks with a LONG recommendation:  35.1%, up 4.9% from Wednesday on 3031 stocks in the database.  This is bullish.

Timer Table:


The mixed status of the intermediate-termed timer gives me pause.  The longer this timer keeps this status, the greater the chances that this signal will reverse to the down side.  "Mixed" occurs when the internal signals of this timer are not aligned, meaning that one of the indicators is suggesting weakness while all the others have moved long.  The next few days will be critical to this signal; a reversal to the downside, given that this is the 8th trading day that we've seen an expansion, would not be a surprise to me.

Slope Table:


The LCR slope table looks good.  I am showing continued expansion of the database in terms of "Long" rated stocks, and you can see that the slope of the 34d moving average just turned positive.  You can see this on the left side.

We have a sea of green on the right, which is necessary for an expanding market.  In isolation, this is a great figure.

Transition Probabilities

A slight wrinkle to the moving long story is that it's important to get invested as soon as possible.  This has been more difficult with this signal, as the leaders are not surging to new highs across the board.

The transition table above shows historically, since September of 2008, what happens when the 2d - 21d LCR moving averages are already long (positive), as can be seen in the previous table, and the 34d moves to positive territory.  This is the situation that we have with today's action.

Historically, trades placed tomorrow (the day after the transition of the 34d transition) only work between 17-18% of the time to the end of the macro signal (e.g., when the timers all transition to CASH).  The set of stocks is much larger now than it was last week, so that is partly to blame (not a perfect system), but also, we're getting long in the tooth on this signal.  Again, I would not be surprised at a slight pullback here.


Cumulative Tick -- S&P500, Russell 2000, and the NASDAQ


On the good side, each of the major indexes showed more new 52-week highs than lows, with the NAS doing so by a thin margin.

The SPX putzed around today and didn't do much algo buying despite the high index gains.  Unless you are investing in a mutual or ETF tied to the indexes, you should ignore their action.  I ignore the major index values in general because the underlying stocks do not show the massive gains in terms of Cumulative Tick that we saw in the prices.

If you're not familiar with the Cumulative Tick, read more here.

The positives in the chart above are that the S&P500 and the NASDAQ finished strong for the day in the last few minutes.  This jump upward means that there was considerable buying and that the bid prices were advancing for the constituent stocks after each tick transaction.  This is bullish.

The Russell 2000 was a laggard in this regard.  The R2K is comprised of smaller-cap stocks, so the bigger, dividend paying and larger market cap stocks were the winners today, along with tech.

Cumulative Tick - NYSE


The NYSE Cumulative Tick looks good overall.  Not nearly the gains that we saw in the index increases, which should give you pause.  Algo buying was not overly present on the NYSE today.

Strategy

I'm a buyer, but with some caution.  I have many positions that are up, for a collective 1-2% on my portfolio, but these gains could fade quickly.

I'm continuing to deploy capital, but I'm not aggressively going after stocks that haven't yet fired.  I received a note about this today and what this means is this:

1) under normal conditions, when an order does not fill for the day, the stock did not break out.  My normal procedure is to re-adjust the price for entry downward to 0.1% above the day's high (which will be lower than my present price), and if the stock take out today's high with tomorrow's action, then I'm in.  This is what I consider "Aggressive".

2) What I plan to do tomorrow is different, e.g., less aggressive.  My orders that I have standing tonight will sit with the higher valued trigger prices, e.g., the levels that correspond to 0.1% higher than YESTERDAY's high.  This means that the stock has to work hard to get to this higher level before my Buy Stop will trigger.

Yes, I'm giving up some gains.  More importantly, if the stock is headed downward, GGT will fire a "New Cash" recommendation and I'll kill the buy order, and then the cash is safe.  For now though, with an expanding LCR, there are few "New Cash" recommendations.  In fact, out of a database of over 3000 stocks, today only produced 23 "New Cash" recommendations, and NONE of them were in my present holdings nor were they in my watch lists.

~~~~~~~~~~~~~~~~

Remember, you are solely responsible for your actions, and I am not.  Please do your diligence, and please take ownership for your actions.

Regards,

pgd