Wednesday, December 26, 2012

Short-term Timer has Transitioned to Cash

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With the close of the shortened trading day on 12/24 the GGT timer system has indicated the closing of one of three of the timers, e.g., it has transitioned to CASH.  Many of the trades taken since 12/17/12 are mostly underwater, and as such, I intend to close all trades initiated since this time.



For the period 12/17/12 (close) to 12/24/12 (close) the GGT price index was up +0.54%.  Actual mileage may vary.

The short-term 4d LCR timer is simply this -- it is LONG when the daily long-cash ratio (LCR) is above the 4d simple moving average (SMA or MA), and it is in CASH when it is below.  With the Elder Intermediate-termed timer still long on 12/24, and the shortened trading day with next-to-nothing volume, I wasn't too worried about the short-term CASH signal.  With the action today (12/26) the signal has been confirmed, and further, the Elder timer is considerably weaker:


Of concern to me is that the slope of the 13d EMA of the GGT Index has now gone negative at a fairly fast rate -- the fastest in the last month.  It's losing -$0.02 per day right now, and this is a good clip downward.  Note that the 34d EMA is still positive but is getting weaker.  With all other Elder indicators red or mixed, it will not take much in this market to turn the intermediate timer negative.

The price slope model has been growing bearish on a short-term basis -- but is still relatively "healthy" on a longer-termed basis.  Again, I watch the slope of the 65d EMA of the GGT index, and it is positive by a penny:



Right-click on the image to open in a new tab or window.

Of significance here is that we have a considerable amount of "red", or negative acceleration on the right hand side of the table, showing that we're still dropping day-over-day.  I'd like to see some green on the right side of the table, and since the numbers on 12/26 are fairly negative, it looks like we could continue on the downward pricing path.

I'm not buying any stocks at the present time, and am looking to sell everything that has poor effective volume (www.effectivevolume.com)


Right-click on the image to open in a new tab or window.

The table above is the Long-Cash Ratio (LCR) slope model, and it is less susceptible to market gyrations because it requires volume, price, and price rate of change information before it changes state (unlike the price slope model which just requires price).  The canary in the coal mine is the 13d slope of the LCR -- it's almost 0.00, and if it goes negative the weakness of the 12/14 low will be broken.  Not a good intermediate sign.

Further, if you look on the right of the LCR slope table you see the accelerations of the LCR index, and they have been accelerating to the negative.  Not good -- the database is contracting faster day-over-day, and this means money is flowing out of the markets.  I use the 20d money flow indicator to see how rapid money has been moving around (www.effectivevolume.com):


The last three days have been a net loss, although not as severe as you may think -- less money is flowing in, but the net flow inward is still positive on a day-over-day basis, just less positive.

Seems that the markets are in auto-pilot mode until the fiscal curb is resolved.

As more signals develop I'll post, but for now, be aware that we are weak on the short-term, the intermediate term is under severe pressure, and the longer-term is growing weaker but is still positive.

Remember, 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, December 16, 2012

Update to Leader's Methodology

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For the last several months I've been playing with a new approach to determining market leaders at any given time in preparation of a talk I'm giving in Dallas this week (December 18th).  Essentially, I'm looking for improving quarterly and year over year (YoY) performance in terms of revenues and earnings per share (EPS), and then culling that set of stocks down to a manageable number using technical data.  The result, which I will continue to update weekly, is a listing of stocks to consider given macro market signals.  The chart below shows the recent performance of the group over the past 45 days or so; note the emergence of this group since the signals around the Thanksgiving time period:



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

The most obvious things are that the slopes of various-length trendlines are all positive, and the price of the group is above the 8d fairly consistently.

So, what are the stocks in the leaders group, and how were they determined?

The list of stocks follows:


SAM
AMT
CPA
PDFS
HFC
CVI
RAX
LGND
ALJ
CVLT
SIRO
SYT
ICUI
EXP
ABCO
BRLI
EME
GEL
HDB
LOPE
MA
MTZ
NSR
NVO
SCS
TU

Here is what my GGT system has to say about the stocks in general:



Again, right-click on the image to open in a new tab or window.

Of significance here is the "green" -- the majority of the list is outperforming historical optimized levels established over the past year.  Further, some of you who have been in private communications with me will recognize many of these stocks -- I hold several of these in my existing accounts.

The methodology of screening of the stocks is the balance of this blog entry.


Let me explain each of the columns, left to right:

  1. MA200:  this is the percentage that the close on Friday, December 14th is above the 200d simple moving average (MA).  I require a positive value.
  2. MA200sl:  this is a binary indicator that counts the number of days that the 200d MA has been in an uptrend.  I require at least 30 consecutive days.
  3. MA150:  this is the percentage that the close on 12/14 is above the 150d MA.  I require a positive value.
  4. 150-200: this is the percentage that the 150d MA is above the 200d MA.  I require a positive value.
  5. 50-150:  this is the percentage that the 50d MA is above the 150d MA.  I require a positive value.
  6. 52wlo+25:  this is the percentage that the close is above the 52 week low + 25% of the 52 week low.  I require a positive value.
  7. 52whi-25:  this is the percentage that the close is below the 52 week high - 25% of the 52 week high. I require a positive value.  Values larger than 25% indicate that a new high was achieved.
  8. RevYoY:  Percent change in revenues.  Total revenues for the current year (4 quarters) minus total revenues for the same period last year, divided by the total revenues for the same period last year.  Right now I've been experimenting with positive values only.
  9. RevQtr-1:  Percent change in revenues this quarter compared to the last quarter.  Looking for a positive value here.
  10. RevQtr-1y:  Percent change in revenues this quarter compared to the same quarter last year.  Looking for a positive value.
  11. QREV:  reported revenues this quarter.  I use this as a sanity check against various other databases, because it seems that VectorVest, Briefing.Com, TradeStation, etc. all have different values.  Briefing.com and TradeStation closely correlate these values (QREV values).
  12. EPSYoY:  Percent change in EPS.  Total EPS for the current year (4 quarters) minus total EPS for the same period last year, divided by the total revnues for the same period last year.  I require positive values only.
  13. EPSQtr-1:  Percent change in EPS this quarter compared to the last quarter.  Positive values only.
  14. EPSQtr-1y:  Percent change in EPS this quarter compared to the same quarter last year.  Looking for a positive value.
  15. QEPS:  reported EPS for this quarter.  Same rationale as in 11 above.
  16. $:  I require that the price be above $1.
  17. V: I require that the volume be above 50,000 shares over a 10d MA.

The next obvious question that should be in your mind is what stocks are good candidates for consideration NOW, e.g., going into markets on Monday, December 17th?  For this I use effective volume, which can be found at www.effectivevolume.com.

If you are not familiar with the concepts of effective volume (EV), let me provide a brief description.  By watching minute pricing data, with corresponding volume, we can draw inferences into the behavior of a stock regarding whether it is being bought or sold.  EV separates volume into large and small transactions, and by summing all the large transactions, and keeping track of price movement, we can see if institutions are net buyers and net sellers of a stock.

One of the most powerful indicators of accumulation by institutions is Large Effective Volume (LEV) growing while price remains constant, or even drops.  Conversely, another powerful indicator of distribution is a price that continues to go upward or remain constant but LEV drops.  I use both to manage my portfolio.

Looking back at the GGT picture of the status of the basket of stocks, you'll see a stock GEL which is a "New Cash", recommending that any open positions be closed.  I have a position in GEL, so let's look at the EV and see if price is artificially dropping (LEV constant or going up) or if LEV is in sync with a dropping price.

GEL has been under significant pressure lately:



The link for this chart is here else you can right-click on the image to open in a new tab or window.

After peaking at the end of November, it has come down to support in the $34 area, and is now only about 1.5% off the 50d MA.  The stock is still in an long-term uptrend, but on a short-term basis GGT has signaled that we should move to cash and I will do so on Monday.

The EV picture with GEL shows a mixed bag too:


The chart shows a combined 20-day EV lookback for GEL and the resulting price chart.  LEV is in GREEN, and Small EV (SEV) is in RED.

It's fairly clear that LEV accumulation started around the 21st of November, driving prices up but also showing a growing LEV -- this is normal.  As shares are accumulated they become more scarce, driving prices upward.  Prices peaked on the 29th and EV continued to march upward until the 5th, but just beyond the 5th prices started to waiver.  We repeaked on the 11th and it's not been a good sign since then.  There was a sharp drop in LEV on the 12th of December, and prices started to fall with the distribution.  Note though that LEV has remained constant over the last day (Dec 14).  This latter point is encouraging, but not enough for me to stay in the stock.  When GGT indicates that I sell, I must sell in order to follow my rules, and there is nothing here compelling me to do otherwise.

We are on a macro "Long" signal within the GGT world, so I'm always on the hunt for other opportunities.  A number of the candidates off the list above look attractive from an EV perspective -- they all look attractive from a fundamentals point of view.  Here's my short list that I'm working with:

SCS
LOPE
SAM
EME
MTZ
SIRO
NVO


The EV chart for SCS is shown above.  What is most striking is that prices have been dropping the last few days while LEV has been increasing.  This "stealthy" accumulation on lower prices can often mean that the stock is poised to move higher -- but this is not a guarantee.  

The next chart is SCS, but taken from TradeStation:


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

Four presentations are shown above.  From top to bottom we have prices/VWAP/20d MA of prices, short term EV, long term EV, then volume.  Of significance in the presentation above is that SCS has been under longer-term (LT) accumulation as evidenced in the third graph by the the 20d separation between the LEV and SmEV, and the very positive LEV values.  Note too that in the second short-term EV graph that we have the same divergence of LEV and SmEV, showing short-term accumulation.  Finally, note in the top price graph that prices have been weaker, but LEV has not -- the stock is being accumulated.

In terms of moving forward, note that the 52 week high is $11.83 for SCS.  This, and another level just below it ($11.80) have been touched several times in the last couple of weeks so a natural buy point would be if SCS moves above $11.90 or $11.93 and we do not see a distribution of volume.  Ideally, buying it on much higher volume when it clears $11.93 would be ideal. 

SCS is a GGT "Long" going into Monday, December 17th.

====================

This next candidate is of LOPE.  I own a position in LOPE, so let's have the same look as we did above for SCS:


LOPE has also been experiencing short-term accumulation, as you can see above, and it also has shown some price weakness the past few days.  Despite this weakness, LEV has remained strong, and I see nothing wrong with LOPE in terms of price/EV action.


The figure above is my view of LOPE from TradeStation.  You see the same characteristic short-term accumulation in the second graph, and the third graph shows longer-termed accumulation, which I consider positive.

Note on the top pricing graph that LOPE touches the intra-day VWAP multiple times during the day -- either on the buying side or the selling side.  This tells me that LOPE is heavily under control of institutional buying/selling, which is what I like to see in a stock.

LOPE has a 52-week high right at $25.00, so we have a double whammy of resistance here.  I would be a buyer of LOPE above $25.10 on higher volume, as long as LEV continues to stay at the same levels or show further accumulation.

LOPE is a GGT "Long" going into action on Monday, December 17th.

=============================

SAM is another candidate.  SAM recently offered significantly improved guidance, causing the price to jump nearly $15 per share, ending Friday at $132 and change.



SAM was already under long-term accumulation, and then on 12/5, a buyer stepped in and bought EXACTLY 50K shares, driving LEV upward as is shown above.  Improved guidance came on 12/13, and it's been off to the races since.

Of interest to me are two things with SAM:  First, institutionals are buying, because intraday VWAP keeps forming a line of support.  Only institutionals have the ability to move in like this.  Second, I continue to see short-term accumulation of SAM on top of LT accumulation, telling me that the big boys are not dumping now that SAM has jumped 12% or so.

I would not be surprised if SAM tested the previous highs of $118.27 and filled the gap in the coming weeks.  I note that the 20d MA ($115.xx) is a good distance below the present price so there may be a technical attractor to digest the present gains.  I note too that $128.05 was the previous 52-week high, and is now a support floor, so a purchase below $130 with a stop loss below this level could be a good trade.

SAM is a GGT "Long" rated stock.  Note that it fired "New Long" one day before earnings were released --  something was cooking with SAM before release and GGT triggered on it.  Oh well, I didn't, so I'm not holding the gains that the 50K buyer on 12/5 is ....

================

So there is the process I use which combines fundamentals, technicals, and EV analysis.  The remaining stocks are for you to evaluate.  Go to www.effectivevolume.com, get a trial membership (tell Pascal you read about EV from Paul D.), and ask questions.  The learning curve is long but it can be useful and a confidence builder.

Remember, you are responsible for your own investment decisions, and I am not.  Do you own diligence, and please take ownership for your actions.

Regards,

pgd


Sunday, December 9, 2012

Update for Monday, December 10th

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The GGT system is presently on a LONG signal that was confirmed with the close of markets on 11/30 and realistically could be acted upon during the 12/3 trading day. I'll not sugar coat this -- it's been difficult picking good, leading stocks in this market, and overall, I'm neutral on all accounts.

The fiscal curb/cliff (depending upon perspective) is keeping us rangebound between the 50d MA and 200d MA of most of the indexes. This past Friday, December 7th *could* be a watershed day in that some of the indexes closed above their 50d, but not all did, so we clearly are not firing on all cylinders. I'd like to see continued strength and for all major indexes ($DJI, $COMPQ, $RUT, $SPX) to follow through.

From a GGT perspective, we transitioned to a short-term long signal around 11/21 or 11/23, depending on how you want to view the markets (with/without volume). The GGT price model, using the 65d EMA, has been long since then and gives us some confidence to stay long and add positions on pullbacks. Note though that we're only staying with positive 65d slopes by a thread, and hence we're not as robust as we have been in the past. Thank you Congress and White House for this:


Right-click on the image to open in a new tab or window.

Of significance is the weakness here -- the Database Strength indicator has been falling slowing but relatively continuously since peaking on 11/30, which is when we confirmed this new LONG signal using the LCR (see below). Additionally, we've not had any banner days with +14 accelerations upward, telling me that volume and price rate of change are not part of the equation. We do NOT have excitement in the markets -- we are just trudging forward, barely a step-over-step, making slight upward progress on average.

This chart shows you that while slopes are positive, they are positive in a very small fashion relative to spikes we've seen in the last two weeks: 


=================

The Long-Cash Ratio, or LCR slope model gave us our first signal for a short-term entry on 11/21 and continued to improve since then. On 11/30 the 65d EMA slope turned positive, confirming this leg up. This signal has whipsawed only a couple of times since September 2008 so it pays to watch it.


Somewhat disconcerting is the prevalence of "red" on the "Slopes of the Slopes of the LCR EMAs" side of the table. As many of you know, this SoS area precedes changes on the left side of the table, so we have caution smacking us in the face. The SoS simply tells us that the rate of stocks surpassing historical, optimized levels is slowing, although it is still going up.

Again, the following chart shows all slopes positive, so the database is expanding, but note, it is doing so quite tenuously:


=================

My timer system / dashboard indicates that we are LONG, and that stocks on the short side, or contra ETFs, should be avoided:



=================

I am long in all my positions, although I have a couple of dogs and few stellar performers. Let's take a look at a few of the dogs and how I'm using EV to make determinations on them.

AGQ
I bought AGQ weeks ago on a new GGT "New Long" signal and rode it up, then down. It's presently below the waterline at -6% over my entry. GGT has a "Long" status on it and is relatively strong in terms of daily price, volume, and rate-of-change (RoC) data. Unfortunately, LEV is decreasing for AGQ, so I think my days in the ETF are numbered if we get a reversal in silver in general. 


Right mouse click on the image to open in a new tab or window.

Silver's prices have been weak lately, but accumulation has continued.




=================

DDS
I have a position in DDS -- Dillard's Class "A" stock, and I'm down -5% from entry. GGT has the stock as a "Long", and overall, I'm a believer.



Friday saw some constructive behavior. There was a large set of transactions which drove EV and price up marketedly off the VWAP, indicating that buying was occurring at these low levels. Although short-term LEV has been decreasing, long-term LEV is quite solid, showing that the accumulation of the stock over the last 20 days by the big boys is intact.

===============

MOV
MOV is something that I picked up on a GGT "New Long" and it's performed poorly since peaking on 11/29. Both short-term (5d and 20d) LEV have been decreasing significantly, and if the near future does not change for MOV, I'll be out of it. GGT has the stock as "Long" but it is by a thread. On a 10d, 15d, and 20d view MOV hasn't done much, so there is concern on my part.


The stock sold off on Wednesday at the close and has been fighting back ever since. LEV has been clawing back in a positive sense, and there was some significant LEV buying near the end of the market on Friday. Down -9% is a ways to go but there is nothing indicating I should sell at this time ...

Everything else I have is near the water line or above, so even with the dogs above in the portfolio, I'm neutral in my overall portfolios. I'm using GGT "New Longs" as my entry, and will only enter if I see LEV significantly on the growth curve over the last few days and with a positive 5d and 10d (and perhaps 15d/20d) at the entry. I like equities that have institutional support.

So, good luck this week. We'll see what happens.

Regards,

pgd

Sunday, November 25, 2012

Short Term Market Conditions Improving, Long Term ...?

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An interesting, but subtle view of market behavior is an indicator developed by Pascal Willain and which is available at www.effectivevolume.com.   The indicator is the 20d Money Flow, which is a rolling indicator that reviews the past 20 days of large money flow across different sectors (industry groups, actually), operating under the premise that large funds spread risk across multiple stocks and ETFs that are focused on the same sector.

Timeframe and context are important in any trading system, and the 20d MF indicator is no exception.  This is a short-term indicator, e.g., it fires quickly at oversold and overbought points, and it can easily reverse in a short-term.  It tracks the choppiness of the markets, so it stands to reason that it is faster than my GGT or other moving-average based systems.

Pascal has combined the signals of the 20d MF signal with an overbought/oversold indicator, and when these two fire in close proximity, I typically make an effort to review the status of these two on a daily basis.

These two systems have fired a long signal within the last week:

Right-click on the image to open in a new tab or window.

The OBOS indicator has been rocketing upward the past few days, and crossed over Pascal's empirical level of -70 from below with the close of markets on 11/19 or the open on 11/20.  Had you checked the site last weekend you would have read that we had the model transition LONG with the close of markets on 11/16 -- last Friday -- because the OBOS indicator moved upward 3% in 1 trading day.

Either way you look at this, specifically whether the signal occurred last Friday 11/16, Monday 11/19, or the open 11/20, from a money flow perspective the markets were heavily oversold and money moved in enough to cause us to wake up.  Here's the view looking back in my rear-view mirror over the last 5 trading days, from 9:54 a.m. on Friday.  It is clear that we have quickly resolved the oversold conditions that existed just one week ago.


IBD -- that newsrag followed by thousands and also anticipated by many more, called Friday 11/23 a follow-through day which triggers a number actions for folks who follow Bill O'Neil.  The market has been in a confirmed correction for several days, with the issue printed Wednesday night (Friday's dated edition since Thursday was a holiday) indicating that the markets were in correction but leaders were crafting bases.  Here's the latest from the close of markets Friday:



I'll leave it as an exercise for the reader on why DVA, RGR, and TSM are poor candidates for entry at this time, but BAX and CRM probably require some additional review.  Post a note below if you think you know why DVA, RGR and TSM are dangerous or why BAX and CRM could be attractive at this point in time.

So with EV showing that we're on a buy signal, and with IBD now showing that the market is in a confirmed up trend, what's an investor to do?

I look at my GGT dashboard, of course.


Again, right click on the image to open in a new tab or window.

I've drawn a line to highlight the GGT model response on the 16th onward.  Prices have been up day over day since 11/16 without exception.  Volume has dropped day-over-day since the 16th without exception, which was anticipated due to Thanksgiving but is hardly a resounding call to throw everything you own in the market.

If you look closely, GGT's Database Strength indicator bottomed on 11/15 and has not looked back since.  History is repleat with whipsaws on this indicator, as it is simply a day-over-day view, so by itself it isn't a signal.  Nevertheless, it's moved to middle territory now with a database sitting at mid-scale -- 0.518 -- and this means that there's fuel to go higher but also free space to drop.  It's hard to state anything more here except that the market is in true equilibrium.

The price slopes of my model started turning positive on 11/16, and even with Friday's shortened action moved all positive.  On the right side of the table you see a sea of green.  This data represents the day-over-day acceleration of prices -- this section always leads the left side of the table (why?).  We have a considerable amount of green on the right, and this portends well for the short-term trend.  If we start seeing red and negative numbers creep back in on the right side we know that prices will be under pressure, and that this signal could be short-lived.

Based on price behavior alone I would say that a toe in the water is warranted, but not so fast Kimosabe...

I place a considerable amount of value on my Long-Cash Ratio Slope Model  (LCRSM), which considers price, volume, and price rate of change of over 3000 stocks.  Prices can be moved around with algos, but it is more difficult to do this in combination of price/volume/ROC.

Here's the slope model dashboard:


Again, right click on the image to open in a new tab or window.

By my rules the close of markets Wednesday night triggered a "buy" signal.  A "Buy" is signaled any time the model has:

  1. the 2d and 3d slopes of the LCR are positive or
  2. the 2d and 3d slopes of the LCR are simultaneously moving positive with
  3. the 5d slope of the LCR moves positive.
Hence, bullets 1 or 2, in conjunction with bullet 3, give an initial short-term buy signal.  We're there as of the weekend of November 25th.

I note a couple of observations:
  • Despite the market PRICE moves of Friday, 11/23, the database as a whole did not participate in volume and/or price rate of change.  Most likely volume due to the shortened day, but at this level of observation there is no real way to know.
  • These are "huge" jumps in LCR values, all things considered.  I would conclude that prices are being driven up faster than the market can bear, and I would expect a consolidation to occur in the following week so that the gains can be digested.

Last year's behavior, just as another datapoint, was far more optimistic than this year.  Thanksgiving Friday was 11/25/11, and the markets fell (per GGT) -0.54% on volume that was -65% lower than the 50d MA of volume at that time.  Leading up to this period was bearish, with the markets quite oversold.  In fact, the GGT database strength indicator was 0.112, compared to the value of 0.518 that we have now, so we were at a very different set of conditions last year relative to this year.

I think it's important to review last year's behavior, although I freely acknowledge that last year has no real bearing on this year:



Thanksgiving Friday, 11/25/11, is the top line in the LCRSM table above.  Monday, 11/28/11, is where the markets went PRICE bullish, with a GGT price gain of 3.56% (not shown) and a "ho-hum" LCR change of +36%.  Note that the 2d LCR slope moved positive, but all the others were negative.  Note more importantly that the right side acceleration values were already positive (green), which was good.

On Wednesday, 11/30/11, the markets jumped ANOTHER +4.61% (not shown), as measured by GGT,  and the LCR registered the all-time high daily change of 202%.  THIS was a significant event, and this was a buy signal if there ever was one.  Note the sea of green on the right side of the table, but also note a bit of dark clouds on the far right.

On the far right of the LCR table is a summation sign and a change in summation sign.  This is a daily indicator that tells me just how powerful the daily move is -- think of it as an average of an average.  The time lengths vary of the averages, and consequently, when the results are summed, we get a value that can range between +14 -- very strong, bullish move -- to -14 -- a very strong bearish move.

Note that the summation values all stayed around 0 -- the markets were moving on incredibly strong prices, but in context of previous moves, the strength wasn't there.

Indeed, on 12/8 we had a shot across the bow.  The markets fell -2.48% as measured by GGT (not shown), and we registered the 64th strongest down day since September 2008.  Weakness in the LCR had been creeping in -- look at the red developing on the right side of the table as early as 12/1 as profits were taken off the 11/28 and 11/30 moves.

The buy signal was completely negated shortly after 12/8 -- the LCR model turned completely bearish with the close of markets on 12/13, and volatility was moving upward.  Despite this, a general thawing started occuring on 12/15/11 and 12/16, and on 12/20 slopes started moving green again.  On 12/21/11 we received a new buy signal, and as most recall, we were off to the races.

If you look closely at the far right of the 2011 LCR table you'll also see that the summation values were very strong starting on 12/20/11 -- 14-12-6-10-8 -- and this was telling us to have a bit more confidence in the markets.

So, back to now.  Here's the 2012 LCR table from above:


We have a buy signal with the close of markets on 11/21/12.  We have a sea of green on the right, with just a tad bit of weakness on the 2d slope-of-slopes.  We have strong summation values from the 16th:  8-10-4-6-8.  I would have liked to have seen some +14's in there, but overall, this is a valid buy signal.

This isn't to say that the next week will not be down.  It could be.  I don't try to predict the future, I only try to establish what the current trend is.

I'm looking carefully at stocks to take a position within; my short list for review is the following:


AFCE
CPA
CTB
CVI
DDS
DK
DORM
DSW
FLS
GA
HFC
ICUI
IHG
LOPE
MA
MAIN
MAT
MYGN
NDSN
PII
PIR
SYNT
TCAP
USNA
WGO

I already have positions in DK.



Many of these stocks have held up quite well in the recent downturn, so already have some form of "Long" status.  The stocks that are rated as "Cash" are the ones I'm watching like a hawk, as these could signal a "New Long" and I'd want to move on them (especially if they have favorable EV).

Overall, I think it important to state that we are very early in this signal, so it is prone to failure.  My intermediate timer is in MIXED state off of being in CASH, indicating that the markets WERE in cash and are now transitioning in a bullish fashion, and my long-term timer is in CASH, indicating that the long-term trend is still DOWN.  I wouldn't bet the farm right now, although 50% may be a good starting point if the right opportunities present themselves.

As always, do your diligence, and take ownership for your actions.  Let the trend be your friend.

Regards,

pgd

Sunday, November 18, 2012

November 16 Weekend Update

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I'm decisively bearish in my stance in the markets at the present time.  I'm holding the following assets in multiple accounts:


Right-click on the image to open in a new tab or window.

Overall, I'm up 3.4% in one account and 13.4% in another for this latest transition to a short-term bearish market.  The 10% difference is that I use the former account for other signals too and they are all in cash, so I have less available to invest in GGT ETF signals.

I have a 1% trailing stop loss (TSL), good til canceled (GTC) on DGL, which fired to move to cash with the market close on Thursday night, November 15th.  Everything else is still indicated long, despite the apparently strong day within the markets this past Friday (more on that below).

The best performer is QID, the -2x inverse NASDAQ-100 (when the NAS falls -1% the QID goes up +2%), and it is up +9% since entry.  Note that over the past year that GGT's timing of QID has provided a 103.7% advantage over buy and hold and perfect execution and fills of prices over the past year has resulted in 32.4% gain.  I've not achieved this because I've not followed every signal but I'm participating in at least 9% of that 32% gain at the present time.

TMF, which is a +3x 30-year bond fund, is up next at +7% since my entry.  GGT's advantage over the past year is 29.4% with a total 1-year gain of 41.4%, again with perfect execution.

SKF, which is the -2x on the financial XLF spyder, has a GGT advantage of 128.1% and a 17.4% over the past year.  I'm participating in 6% of that gain right now.

SOXS, which is the -3x on the semiconductor ETF SMH, is a relatively new entry and I'm up +4%.  GGT isn't as "in tune" with this one, with only a 13.3% gain over the past year (database average for all ETFs is 17.5%, for all CONTRA/SHORT ETFs is 23.2%), but I took the signal and I have a break-even stop loss set so I'm not going to lose any money here.

UNG, which is the +1 ETF on natural gas, is up +3% since my buy Friday morning.  It has a GGT system advantage of 29.4% and a performance over the last year of 41.4%, so I'm optimistic of this one.  If it closes below the 20d MA I'll sell, for reasons you can see in the figure below.


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

Effective volume (EV), which you can learn more about at http://www.effectivevolume.com, is holding steady for UNG, which is why I feel somewhat optimistic about it.  Despite the major selling spike on 11/15 large players have slowly been moving back in, and correspondingly, there has been little change from an institutional point of view compared to 11/13.  Longer-term EV, which is on the lower part of the graph, shows that over the past 40 trading days that UNG has been net-accumulated, but the upper graph on UNG shows that over the past 8 days the large players have been selling more than buying.  This is the only fly in the ointment, and hence, why I have an end-of-day stop loss order at the 20d MA (if time is > 3:59 pm EDT and price is below real-time 20d MA then close position).

All my other positions are at or less than 1% in gain since entry, despite the past behavior / performance of GGT.  Not all signals will be home runs with respect to GGT, not all signals will surpass past performance, but on average, I think I'm doing okay with this system.

My plan is to continue to watch the daily signals, exit as necessary, and if I see any sustained bull trend developing in the broader markets (I don't except that we're oversold at the present time), I'll start picking up the GGT ETFs that move long on the bullish side in concert with macro signals turning positive.  I don't expect this during the next week (short due to Thanksgiving), but "black Friday" has been a trigger in the past and it may be again -- we'll simply see.

None of the ETFs above should be chased.  Remember, you are responsible for your own investment decisions, I am not, and you must do your own diligence in the markets.

Regards,

pgd


Wednesday, October 17, 2012

Signal Change as of Close of Markets on October 16th

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With the close of markets on 10/16 the GGT indicators have moved long on all measured time scales. While this is somewhat suspect during OpEx week, I'm compelled to move long as my timers are better at performance than is my discretionary trading.

The short term timer has moved long due to the slope reversal in the Long-Cash Ratio on the 2d, 3d, and 5d moving averages:


The transition of these 3 time frames from a negative slope to a positive slope has historically signaled a good entry (today), and consequently, with the Elder Intermediate timer already long (see yesterday's post) as well as the already-long longer-term 13/65 timer, we have three confirming signals.


Suspect is OpEx week, longer timers already long (in the tooth) compared to the short-term timer, and a rocky election pending in 21 days. Nevertheless, I'm moving long in AAPL, IWM, QQQ, SPY, and VXF in various accounts, and will look closely at different stocks from the DIVA list  (those that are showing accumulation in the face of falling prices).

Regards,

pgd

Thursday, October 11, 2012

Models are in Cash: 10/10/12

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Although there was buying in the last minute of the day on 10/10 (Wednesday), it was not enough to keep my models on the LONG side.  Correspondingly, I'm exiting all positions in my personal accounts and although IWM is still holding on by a thread, we've given up almost all the gains in this position and I'm not overly optimistic that it will end positive.

Overall, my timers look like the following:



The short-term timer continues in a CASH mode and is the result of a contracting Long-Cash Ratio.  You'll see that below.  The Elder Intermediate timer has signaled two consecutive days of CASH, and when this occurs, this is a clear sign to move to the sidelines.  The long term timer is still showing LONG status, as the 13d is well above the 65d, so on a long-term perspective, we are still in an up trend, although the slopes of the 13d and 65d are trending downward and are converging (meaning that this signal is in danger if the markets to not change).

The LCR slope mechanics show me that we are in a period of database contraction (N = 3131 stocks) and that more stocks in the database are in some form of CASH status than are LONG (LCR = 0.896).  As you can see below, we've been in this area of contraction on all time scales since 9/26, so aside from the minor issue that I was out of the country from 9/19 through 10/4 and nobody was watching this table, there has been ample indication of a slowing market.


(Right-click on the image to open in a new tab or window).

In the end, I am not a buyer of stocks today.  I am specifically waiting for the intermediate-termed timer to transition to a LONG state from either CASH or MIXED mode, and it will take a significant market event for that to occur today.

As always, do your own diligence.  You are responsible for your own decisions, and I am not.

Regards,

pgd

Friday, September 14, 2012

Update for Friday, September 14 - Method of Stock Selection and Entry

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For those of you with Dropbox access, you will note that in the stock file has 166 New Longs and the ETF file has 26 New Longs. 

I've not listed the number of Affirmed Longs but they are even greater in numbers.

With so many equities firing long or reaffirming their long status, how to evaluate which ones should be in consideration?

The Dashboard tab of the stock file can provide some guidance. 

The stocks on this tab are selected based upon what I would consider "quality" data:
  1. The stock must be well above the 200d, 150d, and 50d MAs of price
  2. The stock must have each of these MAs in an up trend (slope is positive)
  3. Year over Year revenues must be > 2% and must be accelerating over a minimum of 2 quarters
  4. Year over Year earnings must be > 2% and must be accelerating over a minimum of 2 quarters

Provided the above is true, I then integrate the list with Pascal's repository file which contains EV data for each. I then sort based on the EV Rating, which combines numerous EV values into a single indicator that ranges from 0 to 100.

Many of the stocks at the top of this list are already extended well above their 10d EMA, which means they have been running faster than the day-over-day gains of the last 10 days. It is noteworthy to add these to a short-term watchlist, and review these for possible pull back and entry on the pull-back.

I'm a big fan of Dr. Elder's Force Index, not necessarily because it makes sense to multiply volume with change in price, but because averages and change in averages of these values can give us some confidence with what is going on in general.

Key criteria that I look for on entering a stock is to determine the status of various Dr. Elder parameters. On the day of entry I specifically want:
  1. The slope of the 13d MA of the equity to be positive
  2. The slope of the 34d MA of the equity to be positive
  3. The 13d Force Index of the equity to be positive
  4. The 2d Force Index of the equity to be negative

The first three in this list ensure that the stock is on a sustained up trend path and the last criteria means that it has pulled back in a local consolidation.

The trigger entry for me depends upon whether I'm aggressive or conservative:
  • Aggressive: the real-time stock price has taken out the previous day's close (price > close)
  • Conservative: the real-time stock price has taken out the previous day's high (price > high)

Looking down the EV list on the Dashboard page, if I select only those stocks with a Rating > 50, and apply the Elder criteria going into the open today (Friday, 9/14), I get the following list:

EW
FISV
VSI

Everything else is over-extended.

Whether you like these stocks or not is subjective; they are on my radar list for possible entry today if they move above my trigger points.

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

Make it a good Friday, and enjoy the weekend!

pgd

Wednesday, September 5, 2012

Update for Wednesday, September 5th -- GGT Combo Timer Issues Long Signal

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With the close of markets on Tuesday, Sept 4th, the GGT combo timer has issued a long call (right click on the image to open in a new tab or window):



Positive attributes are that we are

1) above the GGT 200d simple moving average (long-term up trend)
2) positive slope on the 65d SMA (not shown, but also a long-term up trend).
3) volume was the strongest in some time, appearing at -4% below the 50d MA of volume (folks are returning back from vacation, e.g., there are buyers and sellers)

Statistically, the signal has a positive expectation:



These stats are calculated using the GGT index, which looks very much like the ETFs VTI or IWM, depending upon market conditions. Right now the IWM most closely resembles the GGT index on a 34d, 65d, and 100d look back review, so I will consider moving into IWM based on these stats.

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The GGT Price Slope Model is fully bullish, with two major price accelerations over the past two days (right click on the image to open in a new tab or window):



Note that the database strength index, which is a composite value made up of price, volume, and price rate of change, has moved up quickly from 0.46 to 0.64, and while it may pull back a bit, has considerable room to move upward. The fact that the 65d slope on price is positive and the latest round of negative slopes on shorter time frames did not extend to the longer time frames tells me that the trend is intact.

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The GGT LCR Slope Model has a wrinkle in it, but only slightly at the 13d level (right click on the image to open in a new tab or window):



Again, the 2-day acceleration in LCR gives me some confidence, and the fact that all slopes except the 13d are positive also gives me confidence at the longer-termed trend.

I note that the 4% and 10% gains of the LCR over the past two days are not "knock the skin off the ball" gains (I would have rather seen some massive volume and movement in the entire database), so we certainly can test the trend. I intend to buy small positions on pullbacks and reversals upward.

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With respect to entering a core IWM position, the money management looks like this:




There was some accumulation in IWM during the afternoon trading session yesterday, so some big boys have left footprints (right click on the image to open in a new tab or window):




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Make it a great day! I am traveling tonight and tomorrow and will post as time allows. With respect to signals, obviously, you are responsible for your own trades and are obligated to do your own diligence. Please take ownership for your actions.

Regards,

pgd