Sunday, December 21, 2014

Moving Long as of Close of Markets on 12-19

.
Timer Table:


The timer table indicates a short-term entry signal for Friday, and while this was valid, it was not strong and I chose not to get aggressive with it.  Friday's action though pushed all the timers to the long side, which is bullish.

Notable here is that the long-term timer, the right column in the table, only spent 3 days in Cash.  This has never happened in the past, with the historical average length of this being nearly one month and the shortest time in Cash being 8 days.  3 days in Cash is a new record.

LCR Slopes


The LCR slope transition of the 8d to green (Long) is what has triggered entry on Monday.  This is a high probability entry, so pay attention.

Note that the LCR ranking on Friday was the 65 strongest 1-day jump relative to all the positive moves since 9/11/2008,  Again, strong, so pay attention.  I think this was more than just short covering or options expirations day.

Cumulative Tick


For those of you who follow me regularly, you know I watch the preceding figure very closely.

We're still early in this effort, and the number of 52 week New Highs, as shown at the very top right of the figure, is barely above the number of 52 week new Lows on the NYSE.  This is NOT ideal, and does not support the huge moves we had during the week.  Nevertheless, I don't look at the value, just whether the 52NH is > 52NL, and it is, so we're good.

Mid-day on Friday the buying algos started kicking in in terms of bid/ask on the next transaction. Prices moved up constantly and consistently until just late in the day, which is bullish.

Finally, as far as the cumulative tick is concerned, "white above red" and all the slopes are positive on all measured time frames.  As long as this holds I'm a buyer in this market.

Strategy:

The obvious question is what to buy?

Here are my Greenfield Leaders and Greenfield Bargains:


All of these are good stocks, and the Greenfield Bargains at the bottom all have solid fundamentals but are beaten down quite a bit.

Here is the list to save you time from copying the list:

~Greenfield Longs
AAPL
AFSI
AMBA
ANIP
BFR
BIDU
BMA
CARB
CAVM
CORE
CSCD
DXCM
ECHO
ENPH
EPAM
ISIG
LEAF
LTS
MDXG
NKTR
NOAH
PLNR
RCL
RFMD
SAIA
SAVE
SMCI
SWKS
UA
UAL
UEIC
UVE
ZUMZ

~Greenfield Bargains
APOG
APT
BITA
EVLV
FLTX
HDB
HSTM
ICLR
LCI
LXFT
PACB
RENT
SANM
SKX
VEEV
VIPS

There are a lot of stocks there, probably more than you want to choose.

What I do in this case is find the mixture that optimizes the efficient frontier.  That list is as follows:

AAPL 37.96%
BMA 11.42%
LEAF 9.56%
DXCM 5.83%
LTS 5.66%
BIDU 5.28%
RCL 4.83%
SMCI 3.75%
MDXG 3.70%
UAL 3.45%
ECHO 2.42%
SWKS 2.36%
NKTR 1.77%
SAVE 1.59%
UA 0.42%
An expectation for these stocks, based on the last 100 days of performance (or so), yields an estimated 3.5% better than holding just the SPY but at an increased volatility. Whether you choose to do this is up to you.

Further to this, note that not all of these stocks are rated "GGT Long".  Hence, they don't get my money:

AAPL Long
BMA Aff. Long
LEAF Aff. Long
DXCM Aff. Long
LTS Long
BIDU Long
RCL Long
SMCI Aff. Long
MDXG Aff. Long
UAL Long
ECHO Long
SWKS Aff. Long
NKTR Cash
SAVE Cash
UA Long
Hence, NKTR and SAVE will have to wait.

My buying on Monday is simple.  Buy at the allocations above, using the HIGH of the value on Friday plus another 0.1%.  So, I take the high price, multiply it by 1.001, and that becomes my new buying threshold.  I buy using a Good Til Canceled order, and I adjust the price downward for the GGT LONG-rated stocks (in green above) if they do not fill on the order day.  As long as they are green, they will eventually fill.

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

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

Regards,

pgd



Tuesday, December 16, 2014

All Timers Signal Cash - Dec 16 Close

.
With the close of markets today (Dec 16) all my timers -- short, medium, and long-term, are now indicating cash.

I'm liquidating all remaining positions with a 1% TSL, GTC.

Buy Strength:


Buy Strength, as shown above, is very, very negative and as you can see, is entering a historic period of being oversold.  It could rocket upwards quickly, or it could linger in this area longer.  Buy Strength is an internal indicator that I do not discuss much as it's derived from a number of parameters unique to the GGT system of ranking stocks.  There is no equivalent metric on the "outside world" so I don't talk about it much (if at all).  Nevertheless, I watch it, and I watch it daily.  Right now it's telling me we could be oversold -- certainly more chance of going upwards than going drastically downward from here.

Remember though - we could linger and churn.

Cumulative Tick:


No matter how you look at it, there is nothing in the CT chart above that is positive.  Nothing.  I've been saying this for some time, so if this blog entry surprises you, then you've not been paying attention.

LCR Slope Table


The LCR is below 1.0, meaning out of 3000+ stocks in the database, we have more that are ranked as CASH than LONG.  This is a good reset for the next leg up.

The slopes of all measured time frames (left side) are negative.  They've been negative for some time, and this means you should not be buying stocks.  Period.  No argument.  We could go lower from here.

The right side of the table is the rate of change of the slopes.  We're seeing some abatement on the shortest of time frames, so PERHAPS (and only perhaps) we're approaching a turning point.  It won't be Wednesday, so Thursday would be the earliest to consider.

I'm looking for the 2d, 3d, and 5d slopes on the left to turn positive before I buy.

Strategy

Out of the market.  No telling how long this will last -- 1 day, 2 days, or 2 weeks.  Cheap oil this fast isn't good, and until that clears, we're going to put pressure on equities.  From my chair, best to do this from the sidelines.

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

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

Regards,

pgd



Tuesday, December 9, 2014

Target Cash Level to 67% as of close of Monday, Dec 8

.
Summary:  Continually eroding of the indicators show that raising cash is required.  The greatest short-term worry is the ongoing cumulative tick indicators -- we're continuing to see more transactions end with a lower price, which means the big boys and girls are selling large positions.

Timer Table: A look back 3 months for perspective:


The only "long" timer is the long-term timer, which actually is converging to also go negative if the present market trend remains down.

You can see that even though we had a entry signal Friday (12/5), it was negated with the "Avoid8d" indicator, showing that historically, the signal is prone to failure.  I had already posted about this same type of warning around the 11/21 and 11/24 timeframe so I didn't report on the change.

The bottom line is that I believe that this cycle is weak, and has been since around 11/13, so I'm not inclined to do much in the markets except cash in on profits.

LCR Slope Table:

The Long-Cash Ratio continues to fall, and is now at 1.008.  This means that for every 1008 stocks that are rated long, there are 1000 are rated in cash recommended.  The trend is down, and has been for a week.

Short-term, we're resetting.  As long as the longer-termed slopes remain green (65d, 88d, 143d) we will not be experiencing a full reset, and consequently, the ability to start a new cycle will be limited.

Cumulative Tick:



The number of 52-week new lows exceeded the number of 52-week new highs.  This is inverse of what I want when I am buying stocks.

Around mid-day the selling algos kicked in.  For over an hour we were experiencing greater then 500 stock transactions / min that were ending on a down tick, meaning that there was more supply than buyers (on the NYSE).  This is indicative of unwinding larger positions in a controlled and steady manner.

Finally, the cumulative tick line (white) is well below the cumulative tick moving average (red), and the CT ribbon has negative slopes, indicating that the trend is down in buying and selling. I don't buy stocks when white is below red, and we're failing to move higher on any measured time frame.

Strategy:

I'm raising cash.  I'm selling my weaker positions first, with a target to 33% equity and 67% cash.  My selling is simple -- a 1% trailing stop loss that activates after 9:45 a.m., good til canceled (GTC).

If the rout continues today I may unwind all my positions simply to lock in gains.  This latter statement is in conflict with my trading rules they say I should keep equity in the market, but I also want to protect my gains and not see winning positions turn into losing positions.  My remaining holdings have a high beta (AAPL, AFSI, EW, JBLU, JKHY, LKQ) and they can go down quickly.

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

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

Thursday, December 4, 2014

Timers Whipsaw - as of close of Dec 3

.
A short note here; no action required.

With the close of markets on December 3 the markets have caused most of my indicators to move to the long side.  The back-forth nature of this is called a whipsaw and it occurs when we are right at the margins.


The slopes of the long-cash ratio (LCR) moving averages are quite mixed.  We're back to the scenario that I discussed a few blogs ago -- the mixed nature of the LCR slopes is not considered "clean" by my system and consequently, is not a solid buy (or sell) signal.

On a positive (long) side, the LCR value is moving back up, indicating that stocks are flipping to the "New Long" side on a day-over-day basis.  This means PRICE, VOLUME, and RATE OF CHANGE OF PRICE are all favorable.  This is necessary for a solid buy signal.

Here, "solid buy" means more green on the left side of the table.  I'd like to see ALL the LCR moving averages flip to green/positive in one day, but certainly, will consider the 5d and 8d moving positive, as these are generally key entry points in the market.  This being said, the "green" at the 55d, 65d, and beyond tells me that this is a mature market, so rocketing off to the moon from here is highly unlikely.

Strategy

I'm presently sitting about 40% invested in the markets.  The ideal target is 50%.  I'm not a buyer today; 1) I'm on travel and have client responsibilities, and 2) 4 out of 5 times, when backtested, entry at this point has failed in the past (as measured to the next down signal).  The risk/reward isn't there for me until we start seeing solid positive slopes on the left side of the table.

I've removed all pending sell orders on all accounts.  This will keep me at 40% invested.

Regards,

pgd


Monday, December 1, 2014

Intermediate-Term Timer Moves to Cash -- as of Dec 1st Close

.
<============  Please subscribe for notifications of updates to this blog using the link to the left.  You won't be spammed and nobody except me has access to your email address.

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

Summary:  The markets continued to sell off today, not so much in the major indexes, but certainly in the number of stocks dropping in price and triggering "New Cash" recommendations.  This has caused the Intermediate-Term timer to move to CASH, and this tells me to have no more than 50% equity in the markets.

Timer Table:




Short-term timer:  CASH
Intermediate-term timer:  NEW CASH, as of today.
Long-term timer:  LONG
Long-Cash Ratio:  1.039.  For every 1039 stocks that are rated LONG, 1000 are rated CASH.  The trend is DOWN.
Percentage Stocks that are LONG within the database:  51.0%, down 4.2% today and down 8.2% over the past two days.  This is a big move.

The table above tells me that an index position, opened at the start of 11/24, and closed on 11/28 would have resulted in a loss of 0.94%.  The longer intermediate-termed signal, which started on 10/21, saw an index gain of +2.59%.  Note that both of these numbers are with the GGT index, which is not tradeable, but is closely related to the ETF "IWM" (Russell 2000 small cap) and the ETF SPY (S&P 500).

Slope Table:



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

Red on the left indicates that all the slopes of the long-cash ratios are down.  Red on the right indicates that acceleration is negative, relative to the previous day's slope.  Red on the right is bad, and it leads directly to red on the left.

Red on the left is what triggers me to get out of the markets, and today was one of those triggers.

Until we see green on the right, I'm starting to raise more cash.

Cumulative Tick



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

There are a number of things wrong on a daily time scale with the CT figure above.  First, the number of 52week New Lows is greater than the number of 52 week New Highs, at least on the NYSE.  This is bad, and I do not buy stocks when this occurs.  Hence, I've canceled all open buy orders.

Today started off with some selling, which eased a bit, then we started to run into the end of the day with another sell off.  The white instantaneous CT line finished at the daily low, and this is not good.  Furthermore, it is below the solid red line, which is a slow, multi-day CT average.  I don't buy stocks when the white is below red, ("you're dead" for you naval aviators), so again, if the 52w NHNL wasn't enough to get you to cancel your buy orders, then this should be.

Strategy:

I'm raising cash.  My target with the short-term and intermediate-term timers on the CASH side are 50%, but I'll go as low as 33%.  Hence, I'll be happy to settle between these two values.  I'm at about 41% as I write this.

I'm unloading all my leveraged ETFs.  If you look at the CT figure, at the top, you see what I'm holding.  QLD, SSO, and TQQQ are gone soon if the downtrend continues.  I unload using a 1% trailing stop loss (TSL), placed to activate at 9:45 a.m., Good-'til-canceled (GTC).

I'm unloading all my underwater positions.  Hence, XLF and XLI are to be unloaded using the same method as just described.

I still have about a 4% unrealized gain in the accounts in the other positions and will hold onto those as long as the signals show we're stabilizing.  If the long-term timer flips you'll know about it, and that will be my signal to move to the sidelines.  We're not there yet, but we could be if we have a few more ugly days.

No buying until we get a reversal that is supported by the slope table.  I'm traveling Tuesday and will be in Austin, TX for the rest of the week so it will be good to be on autopilot for the next few days.

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

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

Regards,

pgd

Targeting 25 Percent Cash, November 28 Close

.
<============  Please subscribe for notifications of updates to this blog using the link to the left.  You won't be spammed and nobody except me has access to your email address.

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

Summary:  The short-term timer has reverted back to CASH, indicating that I need to target 25% cash and 75% equity.  I'm well below this level, so I'm cancelling pending buy orders so that my overall invested amount does not exceed 75%.

Timer Status:

Short-Term Timer:  New Cash status as of close of November 28
Intermediate-Term Timer:  Long
Long-Term Timer:  Long
Long-Cash Ratio:  Fell -20% on 11/28 to close at 1.233.  For every 1000 stocks recommended as CASH, 1233 are recommended LONG, but the trend is downward.
Percentage of Stocks with a LONG recommendation:  55.2%, fell -4.7% on 11/28.

If you scroll back a few blogs, I indicated that I was not overly confident in this signal.  Historically, only 1 in 5 signals at this point in the cycle have succeeded.  This does not appear to be one of the success stories.

Slope Table:


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

Independent of Friday being a short trading day, it is clear to me that there was considerable profit taking.  The LCR drop of over -20% in one day was significant, and the reversion of the 2d, 3d, 5d, 8d, 13d, and 21d LCR slopes to a negative (downward) trend is troublesome for bulls.

I do not buy stocks en masse when the LCR is falling, so I'm taking orders off the table.  The first to come off are my stock orders, as they tend to have a higher beta.  Next are the higher beta ETFs.

Cumulative Tick


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

This is the standard cumulative tick window.  Noteable is simply that the end of the trading day on Friday was characterized by significant selling as the bell time approached.  I think most traders did not want to hold across the weekend.  If the white line drops below the red line I'll remove all pending buy orders in all accounts.

Strategy

I have updated the Dropbox stock and ETF files for the most attractive stocks, as well as many of the portfolios that I'm running.  If you are not reviewing these files then you probably should be.  If you do not have access to these files send me a private email to p d u n c a n [ a T } v t  {dot] e d u  (fix the address, of course) with the word "DROPBOX" in the subject and I'll send you an invite.

The reversion of the system from all timers "long" to the short-term timer now indicating "cash" moves my equity target to 25% on a short term basis. Note that this is a SHORT TERM target.  I was originally at 50%, and was driving to 100% equity, but the signal turned south with a number of orders pending.

To get to the 75% level I'm removing all my stock orders.  Most have a beta much higher than 1.0 and are not worth holding at this level.

After I do this my orders, if all were executed, are at about 66% equity.  If I were above 75% I'd start killing the pending orders for ETFs that have a higher volatility and beta than the market, e.g. 2x and 3x leveraged ETFs.  I'm not in that situation right now, but in general, that's how the rules work.

Updated Greenfield Leaders, Greenfield Bargains, Greenfield Dividends, and Dividend Champion lists are in the Dropbox.  I'm not buying any of these positions, but with a market potentially on the rise in December, I'll jump back in as soon as the short-term timer moves long.

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

I'll be in Austin, TX this week and the week of the 15th -- let me know if you want to get together.

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

Remember, you are responsible for your own trading decisions and I am not.  Please do your diligence, and please take ownership of your actions.

Regards,

pgd


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