Tuesday, November 29, 2011

  • The price slope model improved. Not across the board, but it obviously made some advance due to the movement in the markets on Monday. Despite this progress there is no compelling signal to jump in with both feet. Tip your toe in, perhaps, but don't jump in.
  • In a nutshell, volume continues to significantly lag. This is poor performance for a "breakout" day and makes the rally suspect from the git-go.
  • On a positive front, the price acceleration model railed at the highest possible delta -- 14 -- and indicates that within reason we moved about as much as we realistically could for the day. We need several days of +14 values to dig us out of the holes created since November 1st.
  • The LCR slope model is not nearly as optimistic. The LCR moved from 0.213 to 0.289, hardly a resounding sea-change of stocks from the cash side to the long side.
  • The aforementioned LCR change was the 58th strongest change to the positive since September 2008, and reversals/breakouts in the past had MUCH stronger levels. To put this in perspective, we normally see changes on new trend days in the 2+ and 3+ standard deviation categories -- this was within 1 standard deviation of average and is a *yawner*. I don't like it ....
  • Further, the LCR Acceleration, which is a weighted composite of all the moving averages of the LCR day-over-day change, only budged 2 points on a possible movement scale of +14. TWO POINTS. Not a resounding "xmas rally started Nov 28" signature. I hope I'm wrong and a rally does begin but we need some SERIOUS follow through for it to be real. We're not there yet.
  • Make sure you read Pascal's commentary on the 20d MF signal.
  • My Elder intermediate-termed and 5d/65d timers are all in CASH. We are quite early on this one folks, caution is advised.


Here are the obligatory charts. Post questions if you do not know how to interpret.


My trading plan is opportunistic. I am 6% in AGG today and the rest of my accounts are all in cash. My stock candidates have been posted here. My position size is ATR(20) adjusted AND I'm only going to put in 10% positions of that adjusted full size, as I'm not a believer yet but I must participate. Downside risk is quite limited as we have a good floor reference within 3-5% on most of these stocks.