Daily Market Analysis

Daily Market Analysis for 29 Nov 2011 Close

Welcome to Objectively Defined Non-Ambiguous Market Timing Analysis.

Market Timing Direction: SHORT since Nov 9 Close. 

Analysis  Direction  Note
Market Breadth Pattern  Bearish On Tuesday, market and breadth numbers were slightly positive. We have not seen serious reversal or exhaustion yet. Thus we maintain our Short exposure.

This system is at heart a trend following and exhaustion reversal system. Unless we see significant improvement in breadth, we maintain our Short exposure. Like many other trend following system, this system will not perform well in extremely choppy market.

The market is currently in a Weak market state. Bearish dead-cat-bounce selling patterns were triggered on Nov 9, Nov 18, and Nov 23. Down trend sweeper pattern was also triggered on Nov 18.

We must be cognizant to the fact that we are now in a market heavily influenced by government action or inaction. This system will not work well when there are truly unexpected actions by government agencies. I suggest anyone following this system to reduce your exposure.

Primary Breadth Trend  Bearish The primary market breadth has turned bearish.
Monetary Conditions  Bullish Monetary base started to decline. However, short-term interest is still much lower than longer term interest rate. Thus, Interest Rate Pump factor continues to rise. Monetary policy is still extra easy.

Note: Any change from previous day summary is highlighted in blue.

Below is the forward-looking market timing track record since the blog started. Next day opening price of SPY is used to calculate gain/loss so that we can take advantage of it in a realistic setting. SPY is used for reference only. You can use other instrument of your liking, e.g. TNA, options, futures. For historical back-testing results, please read the last section of Market Breadth Pattern guide.

Date Action SPY Next Day Open Gain/Loss In Percent
2011-Apr-20 BUY (Long) 133.79

2011-May-09 exit 135.17 1.38 1.0%
2011-May-11 SELL (Short) 135.67

2011-May-26 exit 133.00 2.67 2.0%
2011-May-31 BUY (Long) 134.51

2011-Jun-01 exit 131.96 -2.55 -1.9%
2011-Jun-01 SELL (Short) 131.96

2011-Jun-23 exit 128.27 3.69 2.8%
2011-Jun-23 BUY (Long) 128.27

2011-Jul-13 exit 132.09 3.82 3.0%
2011-Jul-21 BUY (Long) 134.52

2011-Jul-26 exit 132.59 -1.93 -1.4%
2011-Jul-27 SELL (Short) 130.60

2011-Aug-09 exit 115.26 15.34 11.7%
2011-Aug-18 SELL (Short) 112.96

2011-Oct-04 exit 112.62 0.34 0.3%
2011-Oct-04 BUY (Long) 112.62

2011-Oct-17 exit 120.14 7.52 6.7%
2011-Oct-17 SELL (Short) 120.14

2011-Oct-21 exit 124.17 -4.03 -3.4%
2011-Oct-27 BUY (Long) 128.00

2011-Nov-09 exit 124.79 -3.21 -2.5%
2011-Nov-09 SELL (Short) 124.79

2011-Nov-30 last* 120.05 4.74 3.8%






Winning %
66.7% 66.7%

Win/Loss Ratio
1.7 1.7

Profit Factor
3.4 3.4

Count
12 12







SPY Point Compounded Trade End



Return Max Drawdown
Market Timing since Apr 2011 27.78 23.31% 5.78%
Buy & Hold SPY since Apr 2011 -13.74 -10.27%

Market Breadth Pattern

Click on the Chart itself to see the bigger version.


Primary Market Breadth

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Monetary Conditions

Note: The following charts are updated once every month. The chart was last updated on Oct 21, 2011.

Industry Rotation

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Color legend:

  • BLUE: 1 year leader and 1 month leader,
  • LIGHT BLUE: 1 year leader,
  • LIGHT GREEN: 1 month leader,
  • RED: 1 year laggard and 1 month laggard,
  • MAGENTA: 1 year laggard,
  • ORANGE: 1 month laggard.

Earnings Cycle

Click on the Chart itself to see the bigger version.


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