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Tortoise daily reportA collection of research and systems signals designed to provide a robust framework for developing daily trading plans that can support 3 different trading timeframes: intraday, swing, position trading.Pages 2‐5: primary resource for developing daily plans Pages 6‐20: additional level of research detail.
Page Title Purpose1 Cover page Table of contents2 Summary Summarizes market conditions, signals from swing systems3 Dow30 tactical Comprehensive summary of signals for the Dow304 ETF30 tactical Comprehensive summary of signals for the ETF305 Autoframer Trade framing data for symbols that are 2:1 reward:risk based on trade location6 Market mosaic 6 additional charts describing SPY market condition: health, trend, volatility7 Failstat How far on average the ETF30 and Dow30 have fallen from the open to the daily low8 Signal:Noise Ratio ETF30, Dow30: how much of the average daily candle is "real body" and "tail"9 SPY Volatility Comprehensive study of SPY volatility over 1, 5, 10, 20, 40 days for the last 10 years10 Swing Z-scores The Z-scores of swing trade gains over 5,10,20, 40 days for a set of ETFs, large caps11 RL Z-scores Time series of the Z-scores of the slope of 3x regression lines: 10, 30, 90 day12 Frog stats Frog quality numbers for ETF30, Dow30 (daily, weekly, monthly summary)13 Holding "x" days What SPY, some ETFs and large caps have returned over various lookback periods14 Gap statistics 200 day and 30 day gap statistics for a set of largecaps and ETFs15 Intraday performance 200 day and 30 day intraday range perfomances for a set of large caps and ETFs16 Dow 30 SQR System Quality Number report for the Dow 3017 ETF30 SQR System Quality Number report for the ETF 3018 Transport SQR System Quality Number report for the Dow transport sector stocks19 Index correlation How the major indices currently correlate to SPY20 Index correlation 2 Time series study of the change in correlation trends among the major indices
Daily report
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12/27/13 Volatile Normal Quiet Annual 10 DayBullish 1 2 1 Overbought 74 98
Sideways 0 1 0 Neutral 74 98Bearish 0 1 0 Oversold 74 98
Measure Value CommentWeeklyRSI(14) 73.6 Overbought
200dma 10.17% BullishSlope50dMA 0.71% Bullish
ADX(14) 18.5 NeutralNdx(10) 98 Overbought
ATR%(100) 0.93% Normal^VIX MA(30/10) 0.98 Risk Off
Risk Z ‐0.30Risk Index: ^VIX MA(30/10); <=1.0 is Risk Off
Z score of ^VIX MA(30/10), n= 5000; normal between 1, -1
12/27/2013
Relative Volatility (ATR% vs StDev over last 100 days)
Comment(Weekly RSI of >70 and <30 are extreme readings)
Intermediate trend strength (ADX over last 14 days)
(Long term trend) Price relative to 200day MA 5day slope of the 50dMA
Short term trend (close compared to hi/lo of last 10 days)
7.5% 15 -0.49%6.5% 13 0.53%71.5% 143 -0.77%15.0% 30 0.37%
gap up, reverse gap up, gain
last 200 daysgap down, drop
gap down, reverse
Gap stats3.3% 1 -0.17%0.0% 0 1.30%
63.3% 19 -0.62%33.3% 10 0.38%
last 30 days
Gaps: SPYmax 2.08%avg 0.59%min -0.87%STD 0.58%
Max 2.82%+1SD 1.28%Avg 0.87%-1SD 0.45%Min 0.26%StDev 0.41%
Intraday moves
‐50
0
50
100
1501 2 3 4 5 6 7 8 9 1011NDX
Risk Z VIX Z VIX Index Zmax 80.86 7.13 1.271 3.260+1sd 29.20 1.00 1.087 1.000avg 20.76 0.00 1.006 0.000‐1sd 12.33 ‐1.00 0.924 ‐1.000min 9.89 ‐1.29 0.699 ‐3.766sd 8.43 1.00 0.081 1.000
today 12.33 ‐1.00 0.981 ‐0.299
20 yr lookback
‐2
‐1.5
‐1
‐0.5
0
0.5
1
1.5
2 Risk Z: ^VIX Z‐score MA(30/10) last 90 days
SPY QQQ DIA MDY IWM EFA EPP ILF EEM IEVRule 1 Close > 200DMA Yes Yes Yes Yes Yes Yes No No Yes YesRule 2 Daily High < 10DMA No No No No No No No No No NoRule 3 Close < Long Trigger No No No No No No No No No No
SPY QQQ DIA MDY IWM EFA EPP ILF EEM IEVRule 1 Close < 200DMA No No No No No No Yes Yes No NoRule 2 Daily Low > 10DMA Yes Yes Yes Yes Yes Yes Yes No Yes YesRule 3 Close > Short Trigger Yes Yes Yes Yes Yes Yes No No No Yes
Overreaction System: Today's Signals12/27/2013Long Rules
Short rules
Index Channelling Rules SPY QQQ MDY IWM EFA EPP ILF EEM IEV(1) Close > 200DMA Yes Yes Yes Yes Yes Yes Yes Yes Yes(2) Williams%R (10) < -80 No No No No No No No No No(3) Buy another position if Williams%R(10) <-80 while in the trade(4) Exit when Williams%R >-30 at the close or the next morning
SPY DIA QQQ MDY IWMHigh 184.18 164.92 87.9 243.66 115.74Low 183.66 164.22 87.412 242.58 114.78
Close 183.845 164.47 87.52 242.98 115.16R3 184.65 165.55 88.30 244.65 116.63R2 184.42 165.24 88.10 244.15 116.19R1 184.13 164.85 87.81 243.57 115.67
Pivot 183.90 164.54 87.61 243.07 115.23S1 183.61 164.15 87.32 242.49 114.71S2 183.38 163.84 87.12 241.99 114.27S3 183.09 163.45 86.83 241.41 113.75
Daily Pivots
12/27/2013 10 day Min Pain 10 day Max PainDow 30 CSCO, MMM , XOM , KO , CVX PG , BA, PFE , WMT , MSFTS&P100 S, AA, , FCX, OXY F, EXC, WAG, BMY, TGTNAS100 VMED, RIMM, SIAL, INFY, ISRG FISV, MU, WFM, NFLX, NUANETF100 XME, EWY, EWJ, VEA, EFA UVXY, VXX, EEM, RSP, GLD
Swing setups ETF Large CapsChanneling Overreaction Washout 5 days down Triple Screen VXX 551w , , , , , , , , , , , , , , Autoframer EEM, VXX, GLD, TLT, , , , , 0
5
10
15
20
25
30
35
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
Market ADX parameters: ADX(14), DMI (13)
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Dow 30 tactical summary: a summarized and integrated set of signals and indicators
Identifies specific swing trade signals that fire.Doji = Doji on daily candleCh = Channeling systemOR= Overreaction SystemWO = Washout system5DD = 5 Days DownTS = Triple Screen551w – 551w swing systemMaxpain = lost the most% since its 10d HiMprc = maxpain range compression (%lost since 10d Hi / today’s range)AF R:R = reward: risk ratio if auto‐framed to test 10d hi with mechanical entry
Price Change %Identifies % gains or losses over the different lookback periods
Red highlight: exceptionally large losses
Green highlight: exceptionally large gains
NDXComputed the index value of the symbols over the different lookback periods
>100 = closed above the Hi of the lookback
<0 = closed below the Low of the lookback period
Intraday stats:RgStat = AvgRange(30)+ 1 SD
FrogSD = 1SD of AvgRange(30)
FQN = AvgRange/SD >3 is good
Failstat = Avg (Open‐Low)
Snratio = Avg((C‐O)/(H ‐ L))
RSI(2): 2 day extreme (<=10)
2doji Ch OR
longOR
shortWO 5dd TS 551w max
painmprc AF
R:RName Sym Price Rg
statFrog SD
FQN Fail Stat
SN ratio RSI2
1d 10d 1m 3m 6m 12m 10d 1m 3m 6m 12m
1 1 1 1 2 0 1 1 1 1 1.9 PROCTER GAMBLE CO PG 82.01 1.32 0.38 2.5 0.52 0.52 84 0.3 -0.4 -4.0 5.1 10.7 20.9 45 29 64 69 800 1 1 1 1 0 1 1 1 2 0.4 WAL MART STORES WMT 78.47 1.07 0.30 2.5 0.39 0.51 93 0.1 0.0 -1.9 4.2 8.7 16.9 68 36 71 71 790 1 1 1 0 0 1 1 1 3 -0.1 MICROSOFT CP MSFT 37.29 0.88 0.30 1.9 0.31 0.55 64 -0.4 0.2 -0.9 15.8 13.0 43.3 83 51 75 79 870 1 1 1 2 0 1 1 1 4 0.3 PFIZER INC PFE 30.64 0.56 0.15 2.7 0.22 0.47 84 0.3 1.3 -4.7 7.5 8.7 25.7 65 27 58 64 760 1 1 1 1 0 1 0 1 5 -0.2 JOHNSON & JOHNSON JNJ 92.35 1.42 0.44 2.3 0.57 0.48 56 -0.2 1.3 -3.4 5.4 13.4 34.6 83 41 65 74 860 1 1 1 1 0 1 2 0 6 -0.3 Nike NKE 78.16 1.29 0.36 2.6 0.51 0.48 77 0.0 2.5 -0.9 12.9 29.4 63.5 82 57 82 90 500 1 1 1 0 0 1 1 0 7 -0.2 BOEING CO BA 136.90 3.05 0.88 2.5 1.15 0.50 40 -1.0 3.0 2.9 15.5 38.5 88.6 75 79 82 89 930 1 1 1 1 0 1 1 0 8 -0.5 HOME DEPOT INC HD 81.64 1.43 0.35 3.1 0.45 0.49 99 0.1 4.0 2.9 7.9 11.7 34.3 97 98 93 94 970 1 1 1 1 0 1 0 0 9 0.0 VERIZON COMMUN VZ 49.17 0.82 0.21 2.8 0.35 0.47 87 0.0 2.2 -1.7 5.2 2.6 16.2 88 59 58 60 600 1 1 1 1 0 1 1 0 10 -0.1 TRAVELER'S CO TRV 89.85 1.31 0.35 2.7 0.40 0.62 71 -0.2 3.7 -0.5 5.2 14.0 25.4 92 66 81 87 911 1 1 1 2 0 1 1 0 11 -0.4 MERCK CO INC MRK 49.79 0.81 0.20 3.0 0.26 0.48 98 0.1 3.0 1.2 5.7 9.5 18.6 102 78 89 89 940 1 1 1 3 0 1 2 0 12 -0.7 CHEVRON CVX 125.23 1.85 0.50 2.7 0.67 0.43 97 0.3 3.5 1.2 1.4 7.9 20.0 104 104 95 81 880 1 1 1 2 0 1 1 0 13 -0.3 AT&T INC. T 35.18 0.50 0.13 3.0 0.21 0.50 95 0.1 3.8 -0.5 4.6 5.1 8.8 100 81 56 56 390 1 1 1 1 0 1 1 0 14 -0.4 INTEL CP INTC 25.60 0.53 0.15 2.6 0.17 0.46 66 -0.4 4.6 7.8 9.0 7.9 29.7 94 96 97 97 941 1 1 1 2 0 1 2 0 15 -0.7 MCDONALDS CP MCD 96.91 1.24 0.34 2.6 0.45 0.64 87 0.1 3.0 -1.2 -0.1 1.8 12.6 99 55 62 43 601 1 1 1 2 0 1 1 0 16 -0.8 COCA COLA CO THE KO 40.66 0.65 0.19 2.3 0.23 0.50 98 0.4 3.7 1.4 6.3 5.4 11.1 107 89 95 87 650 1 1 1 1 0 1 1 0 17 -0.5 UNITED HEALTH UNH 74.69 1.43 0.40 2.5 0.43 0.47 72 -0.2 5.2 1.2 3.7 18.0 40.4 94 94 91 90 950 1 1 1 0 0 2 1 0 18 0.2 CATERPILLAR INC CAT 90.87 1.26 0.29 3.4 0.39 0.44 66 -0.3 6.2 7.7 7.5 10.7 4.8 88 91 92 93 561 1 1 1 1 0 1 1 0 19 0.2 JP MORGAN CHASE CO JPM 58.14 1.09 0.32 2.4 0.34 0.46 58 -0.1 3.2 0.8 16.4 12.4 39.6 90 90 96 96 980 0 0 2 1 0 1 0 0 20 -0.5 INTL BUSINESS MACH IBM 185.08 3.39 0.99 2.4 1.02 0.49 85 -0.2 6.8 3.4 -2.1 -5.2 -1.6 96 96 65 43 290 1 1 1 1 0 1 1 0 21 -0.1 WALT DISNEY-DISNEY C DIS 74.35 1.31 0.37 2.5 0.38 0.89 69 -0.4 6.8 7.9 17.0 21.4 54.6 94 94 97 98 990 0 0 2 3 0 2 2 0 22 -0.6 CISCO SYS CSCO 22.02 0.47 0.13 2.5 0.18 0.52 100 1.0 7.4 3.5 -8.1 -8.6 13.4 108 108 42 29 380 1 1 1 1 0 1 1 0 23 -0.4 DU PONT E I DE NEM DD 64.25 1.02 0.30 2.4 0.40 0.48 98 0.0 7.2 4.3 9.1 24.0 50.5 99 99 100 100 1000 1 1 1 2 0 2 2 0 24 -0.4 AMER EXPRESS INC AXP 89.19 1.42 0.46 2.1 0.41 0.46 99 0.2 7.1 5.4 17.6 23.1 59.4 99 99 100 100 1001 1 1 1 2 0 1 1 0 25 -0.5 UNITED TECH UTX 112.80 1.85 0.54 2.4 0.60 0.50 98 0.1 4.4 2.3 3.1 23.4 44.2 101 101 100 100 1000 1 1 1 3 0 2 2 0 26 -0.9 EXXON MOBIL CP XOM 101.51 1.68 0.56 2.0 0.46 0.46 96 0.6 6.4 6.8 17.0 15.6 18.4 107 106 103 103 1030 1 1 1 1 0 2 1 0 27 -0.5 Visa V 219.67 4.24 1.39 2.1 1.06 0.49 70 -0.2 8.0 8.8 13.8 23.6 50.8 97 97 99 99 991 1 1 1 1 0 2 1 - 28 0.3 Goldman Sachs GS 176.35 3.29 0.89 2.7 0.94 0.39 69 -0.1 4.8 4.4 8.6 14.2 49.7 96 97 98 99 991 1 1 1 1 0 2 1 0 29 -0.1 GEN ELECTRIC CO GE 27.83 0.46 0.13 2.6 0.16 0.55 100 0.0 5.7 4.1 14.4 20.6 33.0 91 93 97 97 980 1 1 1 3 0 2 2 0 30 -0.8 3M COMPANY MMM 139.35 2.60 0.97 1.7 0.60 0.40 100 0.8 10.1 6.2 15.9 29.4 54.4 105 105 103 102 101
Dow Summary Price Change% NDX
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ETF30 tactical summary: a summarized and integrated set of signals and indicators
Identifies specific swing trade signals that fire.Doji = Doji on daily candleCh = Channeling systemOR= Overreaction SystemWO = Washout system5DD = 5 Days DownTS = Triple Screen551w – 551w swing systemMaxpain = lost the most% since its 10d HiMprc = maxpain range compression (%lost since 10d Hi / today’s range)AF R:R = reward: risk ratio if auto‐framed to test 10d hi with mechanical entry
Price Change %Identifies % gains or losses over the different lookback periods
Red highlight: exceptionally large losses
Green highlight: exceptionally large gains
NDXComputed the index value of the symbols over the different lookback periods
>100 = closed above the Hi of the lookback
<0 = closed below the Low of the lookback period
Intraday stats:RgStat = AvgRange(30)+ 1 SD
FrogSD = 1SD of AvgRange(30)
FQN = AvgRange/SD >3 is good
Failstat = Avg (Open‐Low)
Snratio = Avg((C‐O)/(H ‐ L))
RSI2: short term extreme (<=10)
2doji Ch OR
longOR
shortWO 5dd TS 551w max
painmprc AF
R:RName Sym Price Rg
statFrog SD
FQN Fail Stat
SN ratio RSI2
1d 10d 1m 3m 6m 12m 10d 1m 3m 6m 12m
0 1 2 1 3 0 3 3 1 1 5.4 VIX VXX 42.00 1.96 0.74 1.6 0.60 0.52 41 1.3 -11.2 -5.8 -24.7 -53.1 -65.4 11 11 78 78 780 0 0 1 2 0 2 1 1 2 5.3 Gold GLD 117.12 1.89 0.66 1.8 0.59 0.42 85 0.3 -1.0 -2.8 -8.3 -5.2 -28.6 42 34 15 11 50 1 1 1 2 0 1 2 0 3 2.8 Treasuries TLT 101.81 1.07 0.34 2.1 0.36 0.56 12 -0.3 -0.6 -2.0 -3.9 -6.2 -15.2 -8 -7 -3 -2 -10 0 0 1 2 0 2 2 0 4 0.3 Ag DBA 24.57 0.14 0.03 3.9 0.06 0.40 55 0.2 -0.3 -0.8 -3.0 -2.6 -13.7 45 28 9 14 50 0 0 1 2 0 0 2 0 5 -0.8 Mixed Commodity DBC 25.85 0.34 0.14 1.3 0.07 0.39 99 0.3 1.4 1.3 0.3 1.0 -6.2 105 105 62 40 230 1 1 1 2 0 1 1 0 6 -1.3 Oil USO 35.84 0.48 0.14 2.4 0.15 0.40 95 0.5 2.5 6.0 -3.7 6.6 12.7 113 105 62 44 580 0 0 2 2 0 0 1 0 7 0.6 S&P 500 Utilities XLU 37.81 0.57 0.15 2.9 0.22 0.78 66 0.4 1.7 -1.8 -0.4 5.8 11.7 60 37 33 50 500 0 0 2 2 0 1 1 0 8 0.8 Silver SLV 19.27 0.44 0.16 1.8 0.13 0.41 95 1.3 2.4 0.0 -7.8 1.6 -38.2 76 70 25 25 110 0 0 2 4 0 1 1 0 9 0.7 Brazil EWZ 44.69 1.16 0.40 1.9 0.42 0.82 78 1.6 1.9 -5.8 -8.7 3.7 -15.1 75 32 19 36 231 0 0 2 2 0 1 1 0 10 1.0 US real estate IYR 63.23 1.11 0.37 2.0 0.43 0.73 89 0.1 2.9 0.0 -1.3 1.2 2.9 66 60 21 27 151 1 1 1 3 0 0 1 0 11 -0.2 S&P 500 Cons stpls XLP 42.84 0.52 0.17 2.1 0.21 0.82 96 0.2 2.0 -0.6 5.5 10.8 22.6 93 68 84 86 930 1 1 1 1 0 1 1 0 12 -0.3 S&P 500 Cons disc XLY 66.27 0.80 0.27 2.0 0.28 0.63 53 -0.5 3.4 2.1 9.3 21.0 43.7 87 87 96 97 980 1 1 1 3 0 1 2 0 13 -0.7 S&P 500 Energy XLE 88.29 1.22 0.31 2.9 0.49 0.53 99 0.5 3.9 1.0 5.5 13.7 26.3 110 104 101 100 ##0 0 0 1 3 0 0 1 0 14 0.4 Latin America ILF 36.86 0.76 0.21 2.7 0.27 0.85 81 1.5 2.1 -3.2 -5.9 6.0 -12.3 73 36 20 39 211 1 1 1 1 0 1 1 0 15 0.2 Russell midcap 400 MDY 242.98 3.00 0.99 2.0 1.09 0.56 94 0.1 3.9 2.1 7.7 17.7 34.5 91 91 96 98 980 1 1 1 1 0 1 1 0 16 -0.6 Dow 30 DIA 164.47 1.61 0.60 1.7 0.47 0.55 100 0.0 4.7 2.4 7.8 12.7 28.1 100 100 100 100 ##0 1 1 1 4 0 1 2 0 17 8.1 Emerging markets EEM 41.30 1.28 0.69 0.8 0.24 0.76 78 1.6 2.0 -0.5 -1.4 13.5 -2.9 27 27 27 62 560 1 1 1 0 0 1 1 0 18 -0.2 Nasdaq 100 QQQ 87.52 1.04 0.38 1.7 0.34 0.62 60 -0.3 3.3 4.0 11.0 23.6 36.8 92 92 97 98 990 1 1 1 1 0 1 1 0 19 -0.5 S&P 500 Industrial XLI 52.00 0.64 0.21 2.1 0.22 0.63 84 -0.1 5.3 3.5 10.7 23.6 41.2 96 96 98 99 990 1 1 1 2 0 1 0 0 20 -1.3 Japan EWJ 12.01 0.11 0.04 1.9 0.03 0.91 80 0.5 1.8 -0.5 0.5 12.3 29.8 121 76 70 85 860 1 1 1 0 0 1 1 0 21 0.2 Russell smallcaps IWM 115.16 1.75 0.51 2.4 0.66 0.58 81 -0.1 5.2 2.8 8.0 21.2 42.4 88 88 94 96 980 0 0 1 2 0 1 1 0 22 0.4 Coal KOL 19.43 0.38 0.11 2.5 0.15 1.22 78 1.3 3.3 -2.4 -1.3 8.7 -21.2 66 31 36 67 250 1 1 1 1 0 1 1 0 23 -0.4 S&P 500 SPY 183.85 1.93 0.76 1.5 0.60 0.86 97 0.0 3.8 1.8 8.4 16.5 32.2 98 98 99 100 ##0 1 1 1 2 0 1 1 0 24 -0.7 S&P 500 Materials XLB 46.03 0.58 0.18 2.2 0.22 0.63 100 0.3 5.8 3.5 8.9 18.8 28.8 104 104 102 101 ##0 1 1 1 0 0 1 1 0 25 -0.3 S&P 500 Finance XLF 21.79 0.29 0.11 1.6 0.09 0.62 84 -0.1 3.7 1.3 8.9 14.5 38.6 96 96 99 99 990 1 1 1 1 0 1 1 0 26 -0.4 S&P 500 Technology XLK 35.58 0.38 0.13 1.9 0.12 0.73 83 -0.1 4.2 4.2 9.9 16.5 26.5 96 96 98 99 990 0 0 2 1 0 1 0 0 27 -0.1 Asia less Japan EPP 46.41 0.50 0.17 1.9 0.19 1.91 60 -0.1 4.1 -4.0 -3.5 11.0 2.2 92 48 31 50 450 1 1 1 2 0 1 1 0 28 -1.3 Europe IEV 47.09 0.46 0.15 2.0 0.16 0.78 100 0.5 5.9 2.5 6.3 20.6 24.6 109 109 106 103 ##0 1 1 1 2 0 1 1 - 29 -1.5 EAFE index EFA 66.57 0.62 0.23 1.7 0.20 1.17 100 0.5 4.7 0.9 3.8 17.6 22.4 110 100 91 96 960 1 1 1 0 0 1 1 0 30 0.0 Inverse VIX XIV 34.95 1.34 0.49 1.7 0.44 0.54 58 -1.2 11.8 4.7 23.4 89.1 87.5 87 87 95 96 97
ETF Summary Price Change% NDX
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AutoframerConcept: frame trades based on trade location, evaluated by reward:risk ratio, using a standard mechanical entry, price target and riskSignal: no signal; each symbol is re‐evaluated dailyDefault parameters: mechanical entry: HOD + .05; Initial stop: .05 below the LOD ; Price target: 10d HiMyRisk: chooses the middle risk of 3 choices: 1x ATR, 1/4th ATR, and yesterday’s range + .10(aka “RangeRisk”)Populations in this report: Dow30 and ETF30Color coding: only those symbols with a reward:risk ratio > 2Insights: symbols can be tradable using momentum on the basis of trade location alone, and don’t need further justification
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Market mosaic: charts describing market condition from different anglesMarket condition with the RL30: the best single line description of the price trend of the last 30 days.
Chart 1: the RL30 of the last 30 days in blue, and a polynomial regression line in black, which is more adaptive and may offer insights into early changes in trendChart 2: shows the 180 day time series trend line of the slope., within a statistical framework. Changes of direction after an extreme reading are confirmed when the blue line crosses the 10 day moving average ( the black line). This has been a good early warning of change of trend.Chart 4: shows the 30 day time series trend line of the slope
Market volatility:Charts 3,6 are 2 different ways to compare relative volatility of the market in a time‐series
Market health:Chart 5 shows the relationship between price and the 200dMA on a percentage basis, within a statistical framework
173
175
177
179
181
183
185
1 2 3 4 5 6 7 8 9 10111213141516171819202122232425262728293031
Chart 1: 30 day regression line: SPY
last 180 days
Chart 2: Slope of RL(30): SPY
Slope30R
+2SD
+1SD
AVG
-1SD
-2SD
MA(10)
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
1 15 29 43 57 71 85 99 113 127 141 155 169
Chart 3: StDev(Price,30) / Price
SD/P
AVG
+1SD
+2SD
-1SD
-2SD
last 30 daysChart 4: Slope of RL(30): SPYSlope30R
+2SD
+1SD
AVG
-1SD
-2SD
MA(10)
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Fail‐statConcept: examine how far the symbol fails from the open to the low of the day for the look back period.
Default parameters: 30 day lookback
Populations in this report: Dow30 and ETF30
Color coding: none
Insights: use this for refining entry and exits for intraday trading. Use this in conjunction with the standard deviation lens in order to construct a trading framework for the intraday trade
Seq# Source Name SymSD Fail
MaxFail Av +1sd
Fail Avg
Fail Avg ‐1sd
Fail Min
1 1 AMER EXPRESS INC AXP 0.35 1.47 0.76 0.41 0.06 0.002 1 BOEING CO BA 1.01 3.51 2.16 1.15 0.15 0.003 1 CATERPILLAR INC CAT 0.31 1.18 0.70 0.39 0.09 0.014 1 CISCO SYS CSCO 0.14 0.56 0.31 0.18 0.04 0.005 1 CHEVRON CVX 0.48 2.02 1.15 0.67 0.19 0.006 1 DU PONT E I DE NEM DD 0.36 1.50 0.76 0.40 0.04 0.007 1 WALT DISNEY‐DISNEY C DIS 0.36 1.30 0.74 0.38 0.02 0.008 1 GEN ELECTRIC CO GE 0.13 0.57 0.29 0.16 0.03 0.009 1 Goldman Sachs GS 0.73 2.81 1.67 0.94 0.21 0.0010 1 HOME DEPOT INC HD 0.45 1.96 0.91 0.45 0.00 0.0011 1 INTL BUSINESS MACH IBM 0.89 3.58 1.91 1.02 0.13 0.0012 1 INTEL CP INTC 0.15 0.66 0.33 0.17 0.02 0.0013 1 JOHNSON & JOHNSON JNJ 0.42 1.77 0.98 0.57 0.15 0.0014 1 JP MORGAN CHASE CO JPM 0.29 1.00 0.63 0.34 0.05 0.0015 1 COCA COLA CO THE KO 0.17 0.81 0.40 0.23 0.06 0.0016 1 MCDONALDS CP MCD 0.39 1.36 0.84 0.45 0.06 0.0017 1 3M COMPANY MMM 0.80 4.28 1.41 0.60 ‐0.20 0.0018 1 MERCK CO INC MRK 0.22 0.78 0.48 0.26 0.04 0.0019 1 MICROSOFT CP MSFT 0.35 1.67 0.66 0.31 ‐0.04 0.0020 1 Nike NKE 0.46 2.19 0.97 0.51 0.05 0.0121 1 PFIZER INC PFE 0.18 0.79 0.40 0.22 0.04 0.0022 1 PROCTER GAMBLE CO PG 0.47 1.89 0.99 0.52 0.05 0.0023 1 AT&T INC. T 0.14 0.54 0.35 0.21 0.06 0.0024 1 TRAVELER'S CO TRV 0.37 1.39 0.77 0.40 0.03 0.0025 1 UNITED HEALTH UNH 0.48 2.18 0.91 0.43 ‐0.04 0.0026 1 UNITED TECH UTX 0.55 2.43 1.15 0.60 0.05 0.0027 1 Visa V 1.00 3.53 2.06 1.06 0.06 0.0028 1 VERIZON COMMUN VZ 0.24 0.96 0.59 0.35 0.11 0.0029 1 WALMART STORES WMT 0.26 0.85 0.64 0.39 0.13 0.0330 1 EXXONMOBIL CP XOM 0.35 1.38 0.81 0.46 0.11 0.0031 2 Ag DBA 0.04 0.16 0.10 0.06 0.02 0.0032 2 Mixed Commodity DBC 0.06 0.22 0.13 0.07 0.01 0.0033 2 Dow 30 DIA 0.42 1.61 0.88 0.47 0.05 0.0134 2 Emerging markets EEM 0.22 0.81 0.46 0.24 0.02 0.0135 2 EAFE index EFA 0.20 0.72 0.40 0.20 0.00 0.0136 2 Asia less Japan EPP 0.15 0.54 0.33 0.19 0.04 0.0237 2 Japan EWJ 0.03 0.14 0.06 0.03 0.01 0.0038 2 Brazil EWZ 0.34 1.25 0.77 0.42 0.08 0.0139 2 Gold GLD 0.55 1.91 1.14 0.59 0.04 0.0440 2 Europe IEV 0.14 0.59 0.31 0.16 0.02 0.0041 2 Latin America ILF 0.19 0.66 0.46 0.27 0.09 0.0542 2 Russell smallcaps IWM 0.52 2.21 1.18 0.66 0.14 0.0143 2 US real estate IYR 0.30 1.47 0.73 0.43 0.13 0.0644 2 Coal KOL 0.14 0.62 0.28 0.15 0.01 0.0045 2 Russell midcap 400 MDY 0.98 4.50 2.07 1.09 0.11 0.0046 2 Nasdaq 100 QQQ 0.32 1.22 0.66 0.34 0.02 0.0047 2 Silver SLV 0.13 0.47 0.26 0.13 0.01 0.0148 2 S&P 500 SPY 0.54 2.32 1.13 0.60 0.06 0.0049 2 Long term treasuries TLT 0.34 1.77 0.70 0.36 0.02 0.0050 2 Inverse VIX XIV 0.38 1.78 0.82 0.44 0.06 0.0351 2 Oil USO 0.10 0.37 0.25 0.15 0.04 0.0052 2 VIX VXX 0.69 2.97 1.28 0.60 ‐0.09 0.0153 2 S&P 500 Materials XLB 0.20 0.86 0.42 0.22 0.02 0.0054 2 S&P 500 Energy XLE 0.39 1.49 0.88 0.49 0.10 0.0155 2 S&P 500 Finance XLF 0.08 0.34 0.16 0.09 0.01 0.0056 2 S&P 500 Industrial XLI 0.20 0.86 0.42 0.22 0.03 0.0057 2 S&P 500 Technology XLK 0.12 0.47 0.24 0.12 0.00 0.0058 2 S&P 500 Cons stpls XLP 0.15 0.62 0.36 0.21 0.06 0.0059 2 S&P 500 Utilities XLU 0.15 0.54 0.37 0.22 0.07 0.0060 2 S&P 500 Cons disc XLY 0.24 0.77 0.52 0.28 0.04 0.00
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Signal to Noise ratio (actually signal index as computed)
Concept: examine how much of the daily price action is signal vs noise
Signal: the directional component of the daily price action,. Defined as the absolute value of the difference between, Open and Close
=ABS(Close –Open)
Noise: the price action outside of the region between Open and Close
We’ll compute the Signal strength on a scale of 0 to 1 using the formula:=ABS(Close‐Open)/Range
A day with all Signal and no noise, would be the case where:Open = HOD and Close = LOD orOpen = LOD and Close = HOD
A day with all Noise and no Signal would be the case where:Open = Close
Computing this daily, and then considering a lookback period and the stats of the lookback period will help us see which member of a population are currently the most directional intraday and how trending intraday a symbol is compared to its past behavior.
Looking at a time series will help identify relationships between periods of low and high relative trending.
These insights will help us understand which Frog trade candidates have been more trending lately.
Default parameters: 30 day lookback
Populations in this report: Dow30 and ETF30
Color coding: 4 conditions, in the usual manner based on S/N average and SD of the 2 populations
Insights: the +1SD and ‐1SD thresholds help mark the boundaries of what is becoming an exceptionally trending or non trending kind of day, to inform entry and exit decisions
Seq# Source Name Sym SDS/N Max
S/N Av +1sd
S/N Avg
S/N Av ‐1sd
S/N Min
36 2 Asia less Japan EPP 1.69 6.00 3.59 1.91 0.22 0.1444 2 Coal KOL 0.93 3.14 2.15 1.22 0.29 0.1935 2 EAFE index EFA 0.78 2.55 1.95 1.17 0.38 0.0337 2 Japan EWJ 0.81 2.60 1.71 0.91 0.10 0.007 1 WALT DISNEY‐DISNEY C DIS 0.58 2.00 1.47 0.89 0.31 0.0348 2 S&P 500 SPY 0.50 2.06 1.36 0.86 0.37 0.0541 2 Latin America ILF 0.53 1.94 1.38 0.85 0.32 0.0238 2 Brazil EWZ 0.60 2.29 1.42 0.82 0.22 0.0358 2 S&P 500 Cons stpls XLP 0.49 1.60 1.31 0.82 0.33 0.2140 2 Europe IEV 0.43 1.72 1.21 0.78 0.35 0.0059 2 S&P 500 Utilities XLU 0.55 2.12 1.32 0.78 0.23 0.0434 2 Emerging markets EEM 0.49 2.00 1.25 0.76 0.27 0.0257 2 S&P 500 Technology XLK 0.48 1.92 1.21 0.73 0.25 0.0343 2 US real estate IYR 0.49 1.78 1.22 0.73 0.24 0.0416 1 MCDONALDS CP MCD 0.41 1.82 1.05 0.64 0.23 0.0653 2 S&P 500 Materials XLB 0.41 1.37 1.04 0.63 0.22 0.0060 2 S&P 500 Cons disc XLY 0.32 1.26 0.95 0.63 0.31 0.0256 2 S&P 500 Industrial XLI 0.35 1.34 0.98 0.63 0.28 0.1155 2 S&P 500 Finance XLF 0.40 1.53 1.02 0.62 0.22 0.0046 2 Nasdaq 100 QQQ 0.29 1.13 0.91 0.62 0.33 0.0824 1 TRAVELER'S CO TRV 0.36 1.40 0.98 0.62 0.26 0.0642 2 Russell smallcaps IWM 0.28 1.16 0.86 0.58 0.29 0.0749 2 Long term treasuries TLT 0.40 1.33 0.96 0.56 0.16 0.02
2 Gold miners GDX 0.33 1.23 0.88 0.56 0.23 0.1445 2 Russell midcap 400 MDY 0.36 1.34 0.91 0.56 0.20 0.0233 2 Dow 30 DIA 0.35 1.15 0.90 0.55 0.21 0.0119 1 MICROSOFT CP MSFT 0.28 1.30 0.83 0.55 0.27 0.118 1 GEN ELECTRIC CO GE 0.43 1.45 0.98 0.55 0.11 0.00
2 Inverse VXX SVXY 0.23 0.89 0.77 0.54 0.31 0.0750 2 Inverse VIX XIV 0.24 0.90 0.78 0.54 0.30 0.0454 2 S&P 500 Energy XLE 0.31 1.14 0.84 0.53 0.21 0.01
2 Double VXX UVXY 0.24 0.89 0.77 0.52 0.28 0.0652 2 VIX VXX 0.24 0.90 0.76 0.52 0.29 0.034 1 CISCO SYS CSCO 0.26 0.96 0.78 0.52 0.26 0.0022 1 PROCTER GAMBLE CO PG 0.27 0.95 0.80 0.52 0.25 0.0329 1 WAL MART STORES WMT 0.33 1.19 0.84 0.51 0.19 0.0115 1 COCA COLA CO THE KO 0.38 1.46 0.89 0.50 0.12 0.002 1 BOEING CO BA 0.27 0.96 0.77 0.50 0.23 0.0223 1 AT&T INC. T 0.25 0.93 0.75 0.50 0.25 0.0026 1 UNITED TECH UTX 0.24 0.95 0.74 0.50 0.26 0.1311 1 INTL BUSINESS MACH IBM 0.25 0.88 0.75 0.49 0.24 0.0210 1 HOME DEPOT INC HD 0.31 1.11 0.80 0.49 0.18 0.0827 1 Visa V 0.25 0.96 0.74 0.49 0.23 0.0913 1 JOHNSON & JOHNSON JNJ 0.34 1.31 0.82 0.48 0.15 0.0418 1 MERCK CO INC MRK 0.36 1.28 0.84 0.48 0.12 0.016 1 DU PONT E I DE NEM DD 0.28 0.97 0.76 0.48 0.20 0.0320 1 Nike NKE 0.32 1.01 0.80 0.48 0.15 0.0128 1 VERIZON COMMUN VZ 0.24 0.87 0.71 0.47 0.23 0.0721 1 PFIZER INC PFE 0.28 1.00 0.75 0.47 0.19 0.0425 1 UNITED HEALTH UNH 0.23 0.93 0.70 0.47 0.24 0.031 1 AMER EXPRESS INC AXP 0.22 0.92 0.68 0.46 0.24 0.1214 1 JP MORGAN CHASE CO JPM 0.25 0.94 0.71 0.46 0.21 0.0312 1 INTEL CP INTC 0.27 1.00 0.73 0.46 0.19 0.0530 1 EXXON MOBIL CP XOM 0.28 0.90 0.73 0.46 0.18 0.033 1 CATERPILLAR INC CAT 0.26 0.92 0.70 0.44 0.18 0.005 1 CHEVRON CVX 0.29 0.89 0.71 0.43 0.14 0.0339 2 Gold GLD 0.26 0.91 0.69 0.42 0.16 0.02
2 Double Silver AGQ 0.22 0.77 0.64 0.41 0.19 0.0947 2 Silver SLV 0.24 0.92 0.65 0.41 0.16 0.0017 1 3M COMPANY MMM 0.27 1.00 0.68 0.40 0.13 0.0051 2 Oil USO 0.29 0.97 0.68 0.40 0.11 0.0331 2 Ag DBA 0.27 1.00 0.66 0.40 0.13 0.0032 2 Mixed Commodity DBC 0.29 1.00 0.68 0.39 0.10 0.009 1 Goldman Sachs GS 0 26 0 96 0 65 0 39 0 13 0 06
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SPY volatility over different holding periods
SPY holding periodsPurpose: to appreciate the volatility of different time frames in SPY (the market). Note the long tails
Design goals: use statistics to provide a frame of reference to place current level of gains or losses within a disciplined, systematic context. Identify which symbols are in an extreme condition compared to their historical performance over intermediate term time frame holding periods
Application: Look for extreme conditions, and the beginning of a reversion to the mean as a way to identify a change in intermediate (swing) time frame conditions.
Method: 1. Calculate Gain/Loss % for each time period for today and daily for last 10 years2. Calculate descriptive statistics of last 10 years: (max, min, average, stdev)3. Calculate today’s Z‐score: (Current‐ Avg)/(StDev)
SPY 40 20 10 5 1zmax 4.78 4.76 6.10 7.31 10.77
max 33.93% 23.63% 21.59% 19.39% 14.51%
+1 stdev 8.14% 5.48% 3.82% 2.81% 1.38%
avg 1.30% 0.66% 0.34% 0.17% 0.04%
‐1 stdev ‐5.53% ‐4.17% ‐3.15% ‐2.46% ‐1.31%
min ‐37.53% ‐29.40% ‐26.76% ‐19.79% ‐9.85%
zmin (5.69) (6.23) (7.78) (7.59) (7.36)
stdev 6.83% 4.82% 3.48% 2.63% 1.34%
z‐score 0.44 0.18 0.98 0.64 (0.03)
today 4.29% 1.50% 3.77% 1.85% ‐0.01%
Holding "x" days, last 10 yrs
‐50.00%
‐40.00%
‐30.00%
‐20.00%
‐10.00%
0.00%
10.00%
20.00%
30.00%
40.00%
40 20 10 5 1
Range of % Variability
(10.00)
(5.00)
‐
5.00
10.00
15.00
Range of Sigma variability
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Swing Z‐scores (Swing Z?)
Z‐score of “X” day holding periods
Purpose: to visualize a “heat map index” of gains/losses, within a 10 year historical context
Design goals: use statistics to provide a frame of reference to place current level of gains or losses within a disciplined, systematic context. Identify which symbols are in an extreme condition compared to their historical performance over intermediate term time frame holding periods
Application: Look for extreme conditions, and the beginning of a reversion to the mean as a way to identify a change in intermediate (swing) time frame conditions.
Method: 1. Calculate Gain/Loss % for each time period for today and daily for last 10 years2. Calculate descriptive statistics of last 10 years: (max, min, average, stdev)3. Calculate today’s Z‐score: (Current‐ Avg)/(StDev)4. Color code into 4 categories using these thresholds:
Comments:1. Summarizes the detailed charts to make it easier for pattern recognition and decision‐making2. Added Jan 19, 20133. Musing about the utility of an average, or blended rating; I already like the idea of keeping the time frames separated in order to see
changes in time
Zscore>1
1 > t > 00 > t > ‐1< ‐1
########## SPY QQQ DIA MDY IYM IWM EFA EWJ ILF EEM ^VIX XLF XLP XLK XLE CAT HD AA MSFT XLP XLF XLK40 0.44 0.44 0.71 0.21 0.32 0.36 (0.08) (0.04) (0.95) (0.53) (0.37) 0.37 (0.21) 0.52 (0.02) 0.44 0.31 0.82 0.43 (0.21) 0.37 0.52
20 0.18 0.31 0.35 0.17 0.40 0.10 0.17 (0.01) (0.31) (0.20) (0.26) 0.11 (0.42) 0.42 0.13 0.59 0.08 0.90 (0.24) (0.42) 0.11 0.42
10 0.98 0.73 1.35 0.84 0.92 1.06 1.06 0.42 0.25 0.28 (1.22) 0.60 0.68 1.04 0.64 0.79 0.63 1.65 (0.04) 0.68 0.60 1.04
5 0.64 0.68 0.68 0.72 0.60 0.86 0.87 0.68 0.23 0.38 (0.94) 0.29 0.53 0.86 0.45 0.70 0.46 1.14 0.74 0.53 0.29 0.86
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Regression Line Z‐Scores
Regression lines are the best fitting straight line for the lookback period
This study uses 3 lookback periods: 10day, 30 day and 90 day
Each regression line has a slope. The steeper the slope when positive, the stronger the bullish trend. The steeper the slope when negative the stronger the bearish trend.
If the slope is 0, then we have a sideways trend
In order to “normalize ‘ the slope readings for interpretation, we use the Z‐Score
Z scores measure the number of Standard Deviations that today’s slope value is from the Mean
This study uses 10 years of daily slope values to establish the Mean and the Standard Deviation
We use Z‐scores between +1 and ‐1 to define the normal range of slopes
Z‐score Formula: (Slope –Avg)/(SD)
Use: The trader should know if the current trend status, as measured by the regression line slope, is within the bounds of normal or is exceptionally strong or weak. At extreme readings, there are 2 trade ideas: a continued runaway in the current direction, or a reversion to the mean trade. Both trade ideas should be framed, based on Support and resistance.
‐3
‐2
‐1
0
1
2
3
Z‐scores of 3x RL Slopes: last 180 days, SPY
RL90Z RL30Z RL10Z
145
150
155
160
165
170
175
180
185
190
Price last 180 days 1sd ‐1sd
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“Frog list”
1. Frogs: targets likely to jump the furthest as measured by a multiple of their standard deviation
2. Sample populations:1. Dow302. ETF303. etc
3. Method: calculate the following:1. Ranges of the last “x” days2. AverageRange (x)3. MaxRange (x)4. MinRange(x)5. Stdev of ranges(x)
4. Compute:1. Rangestat = AvgRange +1SD2. Frog ratio = AvgRange/SD (FQN)3. MaxFrog ratio = MaxRange/SD
5. Techniques: trade targets that have moved and SD from the HOD/LOD after a waiting period:
1. Slow frog: Open + 60 min2. Quick frog: Open +30 min3. Leap frog: adding pattern
analysis and MACD‐H
6. Format: Green highlight: exceptionally froggy compared to the sample populations
Seq# Source Name Sym Rng% TVratio Rank Rstat SD FQN Rstat SD FQN Rstat SD FQN31 2 Ag DBA 0.46% 1.8 44 0.14 0.03 3.9 0.55 0.15 2.6 2.30 0.85 1.75 1 CATERPILLAR INC CAT 1.07% 3.6 11 1.26 0.29 3.4 4.01 1.11 2.6 17.01 6.12 1.811 1 HOME DEPOT INC HD 1.32% 4.0 3 1.43 0.35 3.1 4.01 1.07 2.8 6.74 1.51 3.525 1 AT&T INC. T 1.07% 3.2 20 0.50 0.13 3.0 1.50 0.42 2.6 3.19 0.90 2.621 1 MERCK CO INC MRK 1.22% 3.6 9 0.81 0.20 3.0 1.86 0.47 3.0 4.46 1.19 2.754 2 S&P 500 Energy XLE 1.03% 3.0 24 1.22 0.31 2.9 2.96 0.78 2.8 10.19 3.65 1.859 2 S&P 500 Utilities XLU 1.12% 3.2 17 0.57 0.15 2.9 1.58 0.46 2.5 3.04 0.92 2.328 1 VERIZON COMMUN VZ 1.24% 3.5 12 0.82 0.21 2.8 2.52 0.72 2.5 4.55 1.12 3.026 1 TRAVELER'S CO TRV 1.07% 2.9 26 1.31 0.35 2.7 3.52 0.96 2.7 7.71 2.15 2.612 1 GOLDMAN SACHS GS 1.36% 3.7 8 3.29 0.89 2.7 8.49 2.37 2.6 23.32 6.65 2.57 1 CHEVRON CVX 1.08% 2.9 25 1.85 0.50 2.7 4.64 1.02 3.6 13.35 3.97 2.423 1 PFIZER INC PFE 1.34% 3.6 10 0.56 0.15 2.7 1.36 0.41 2.3 2.60 0.71 2.741 2 Latin America ILF 1.49% 4.0 4 0.76 0.21 2.7 2.24 0.62 2.6 6.57 2.38 1.814 1 INTEL CP INTC 1.50% 4.0 5 0.53 0.15 2.6 1.31 0.38 2.4 3.34 0.93 2.619 1 MCDONALDS CP MCD 0.92% 2.4 36 1.24 0.34 2.6 2.93 0.67 3.3 7.22 1.75 3.110 1 GEN ELECTRIC CO GE 1.21% 3.1 21 0.46 0.13 2.6 1.08 0.30 2.6 2.67 0.69 2.91 1 NKE NKE 1.19% 3.1 22 1.29 0.36 2.6 4.02 1.36 2.0 19.40 9.82 1.029 1 WAL MART STORES WMT 0.98% 2.5 34 1.07 0.30 2.5 2.90 0.82 2.5 6.06 1.47 3.117 1 United Health UNH 1.38% 3.5 13 1.43 0.40 2.5 4.16 1.50 1.8 7.51 1.84 3.16 1 CISCO SYS CSCO 1.51% 3.8 7 0.47 0.13 2.5 1.52 0.57 1.7 3.05 0.93 2.39 1 WALT DISNEY‐DISNEY C DIS 1.26% 3.2 19 1.31 0.37 2.5 3.46 0.97 2.6 6.40 1.81 2.544 2 Coal KOL 1.38% 3.4 14 0.38 0.11 2.5 1.02 0.25 3.0 7.49 3.43 1.23 1 BOEING CO BA 1.59% 3.9 6 3.05 0.88 2.5 7.27 2.13 2.4 11.90 3.94 2.024 1 PROCTER GAMBLE CO PG 1.15% 2.8 27 1.32 0.38 2.5 3.48 1.04 2.3 6.10 1.54 3.013 1 INTL BUSINESS MACH IBM 1.30% 3.2 18 3.39 0.99 2.4 9.13 2.75 2.3 20.27 5.02 3.016 1 JP MORGAN CHASE CO JPM 1.33% 3.2 16 1.09 0.32 2.4 2.74 0.65 3.2 7.79 2.38 2.327 1 UNITED TECH UTX 1.16% 2.8 28 1.85 0.54 2.4 4.68 1.15 3.1 10.64 3.10 2.442 2 Russell smallcaps IWM 1.07% 2.6 33 1.75 0.51 2.4 3.85 0.90 3.3 10.27 3.15 2.351 2 Oil USO 0.94% 2.3 38 0.48 0.14 2.4 1.73 0.42 3.1 5.39 1.73 2.18 1 DU PONT E I DE NEM DD 1.12% 2.7 30 1.02 0.30 2.4 2.90 0.81 2.6 7.44 2.30 2.218 1 COCA COLA CO THE KO 1.12% 2.6 32 0.65 0.19 2.3 1.60 0.47 2.4 12.42 7.58 0.615 1 JOHNSON AND JOHNS DC JNJ 1.07% 2.4 35 1.42 0.44 2.3 3.68 1.05 2.5 6.47 1.89 2.453 2 S&P 500 Materials XLB 0.87% 1.9 43 0.58 0.18 2.2 1.44 0.33 3.4 4.75 1.60 2.056 2 S&P 500 Industrial XLI 0.83% 1.8 45 0.64 0.21 2.1 1.53 0.36 3.3 4.17 1.28 2.249 2 Long term treasuries TLT 0.72% 1.5 49 1.07 0.34 2.1 3.64 1.04 2.5 11.23 3.67 2.12 1 AMER EXPRESS INC AXP 1.08% 2.2 39 1.42 0.46 2.1 3.99 1.10 2.6 7.92 2.21 2.64 1 VISA V 1.30% 2.7 29 4.24 1.39 2.1 12.07 3.99 2.0 18.41 5.92 2.158 2 S&P 500 Cons stpls XLP 0.81% 1.7 47 0.52 0.17 2.1 1.38 0.42 2.3 2.54 0.70 2.645 2 Russell midcap 400 MDY 0.83% 1.7 46 3.00 0.99 2.0 7.91 2.10 2.8 20.43 6.40 2.230 1 EXXON MOBIL CP XOM 1.10% 2.2 40 1.68 0.56 2.0 3.04 0.72 3.2 8.77 2.57 2.443 2 US real estate IYR 1.17% 2.4 37 1.11 0.37 2.0 3.44 1.06 2.2 7.23 2.51 1.960 2 S&P 500 Cons disc XLY 0.81% 1.6 48 0.80 0.27 2.0 2.08 0.55 2.8 4.51 1.23 2.740 2 Europe IEV 0.64% 1.3 54 0.46 0.15 2.0 1.55 0.46 2.3 4.91 1.59 2.136 2 Asia less Japan EPP 0.71% 1.4 50 0.50 0.17 1.9 2.02 0.63 2.2 6.08 2.23 1.738 2 Brazil EWZ 1.71% 3.3 15 1.16 0.40 1.9 3.27 0.90 2.6 10.25 3.67 1.822 1 MICROSOFT CP MSFT 1.55% 3.0 23 0.88 0.30 1.9 2.74 0.98 1.8 3.91 1.09 2.637 2 Japan EWJ 0.58% 1.1 56 0.11 0.04 1.9 0.56 0.17 2.2 1.05 0.31 2.457 2 S&P 500 Technology XLK 0.70% 1.3 52 0.38 0.13 1.9 0.99 0.27 2.6 2.64 0.73 2.639 2 Gold GLD 1.04% 1.9 42 1.89 0.66 1.8 6.98 2.15 2.2 19.65 6.64 2.047 2 Silver SLV 1.47% 2.6 31 0.44 0.16 1.8 1.64 0.49 2.3 6.91 2.58 1.750 2 Inverse VIX XIV 2.43% 4.2 2 1.34 0.49 1.7 3.56 1.09 2.3 6.38 2.00 2.235 2 EAFE index EFA 0.59% 1.0 57 0.62 0.23 1.7 2.11 0.62 2.4 6.40 2.02 2.246 2 Nasdaq 100 QQQ 0.75% 1.3 53 1.04 0.38 1.7 2.67 0.73 2.6 6.30 1.75 2.620 1 3M COMPANY MMM 1.17% 2.0 41 2.60 0.97 1.7 5.35 1.77 2.0 10.48 3.05 2.433 2 Dow 30 DIA 0.61% 1.0 59 1.61 0.60 1.7 4.36 1.26 2.5 11.19 3.32 2.452 2 VIX VXX 2.90% 4.8 1 1.96 0.74 1.6 10.00 6.67 0.5 17.76 8.46 1.155 2 S&P 500 Finance XLF 0.82% 1.3 51 0.29 0.11 1.6 0.76 0.21 2.6 2.03 0.62 2.348 2 S&P 500 SPY 0.64% 1.0 60 1.93 0.76 1.5 5.11 1.53 2.3 13.05 3.97 2.332 2 Mixed Commodity DBC 0.75% 1.0 58 0.34 0.14 1.3 0.70 0.19 2.7 2.66 0.88 2.034 2 Emerging markets EEM 1.43% 1.2 55 1.28 0.69 0.8 2.39 0.77 2.1 6.06 2.14 1.8
Daily Weekly MonthlyR% FQN
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Holding “x” days: this table summarizes the rolling, last 10 years of trading data for the symbols show. It answers the question: “What has happened historically for gains & losses if you bought and held the symbol for “x” days ?” “Max” & “Min” show the absolute best and worst performance over the time periods, and then a range of performance between +/‐1 StDev, which creates a range of normal. The z‐score tells you how many standard deviations from average we are today and the most extreme Z‐scores of the lookback period
Holding "x" days40 SPY QQQ DIA MDY IWM EFA EWJ ILF EEM ^VIX XLF XLP XLK
zmax 4.78 4.30 4.48 4.99 5.17 4.31 3.72 3.74 4.39 8.49 7.74 3.10 4.36 max 33.93% 36.27% 29.14% 42.65% 46.88% 37.96% 28.62% 46.89% 48.95% 307.26% 91.62% 15.25% 34.45%
+1 stdev 8.14% 9.92% 7.54% 9.96% 10.41% 9.67% 8.17% 14.44% 12.63% 40.21% 12.22% 5.99% 9.04%avg 1.30% 1.94% 1.32% 1.76% 1.67% 1.14% 0.65% 2.58% 1.90% 4.54% 0.44% 1.58% 1.48%
‐1 stdev ‐5.53% ‐6.04% ‐4.90% ‐6.44% ‐7.08% ‐7.39% ‐6.87% ‐9.27% ‐8.82% ‐31.13% ‐11.34% ‐2.84% ‐6.08%min ‐37.53% ‐38.41% ‐30.90% ‐44.69% ‐45.19% ‐41.00% ‐31.63% ‐56.33% ‐51.81% ‐46.88% ‐54.92% ‐21.06% ‐36.26%zmin (5.69) (5.06) (5.18) (5.66) (5.36) (4.94) (4.29) (4.97) (5.01) (1.44) (4.70) (5.13) (4.99) stdev 6.83% 7.98% 6.22% 8.20% 8.74% 8.53% 7.52% 11.85% 10.72% 35.67% 11.78% 4.42% 7.56%
z‐score 0.44 0.44 0.71 0.21 0.36 (0.08) (0.04) (0.95) (0.53) (0.37) 0.37 (0.21) 0.52 today 4.29% 5.47% 5.71% 3.51% 4.85% 0.48% 0.33% ‐8.65% ‐3.73% ‐8.72% 4.81% 0.63% 5.39%
20 SPY QQQ DIA MDY IWM EFA EWJ ILF EEM ^VIX XLF XLP XLKzmax 4.76 4.42 4.81 4.64 4.74 4.19 3.49 3.80 5.06 6.99 7.22 3.94 4.75 max 23.63% 25.56% 22.18% 28.02% 30.85% 25.25% 18.82% 32.98% 39.30% 178.02% 58.29% 13.37% 25.73%
+1 stdev 5.48% 6.54% 5.14% 6.72% 7.18% 6.44% 5.62% 9.60% 8.52% 27.66% 8.26% 3.99% 6.01%avg 0.66% 0.98% 0.67% 0.88% 0.85% 0.55% 0.31% 1.26% 0.94% 2.55% 0.22% 0.79% 0.75%
‐1 stdev ‐4.17% ‐4.58% ‐3.79% ‐4.97% ‐5.48% ‐5.34% ‐4.99% ‐7.07% ‐6.64% ‐22.57% ‐7.82% ‐2.41% ‐4.51%min ‐29.40% ‐28.17% ‐26.82% ‐34.68% ‐33.22% ‐33.74% ‐26.80% ‐48.09% ‐44.63% ‐47.70% ‐36.66% ‐19.00% ‐27.59%zmin (6.23) (5.24) (6.15) (6.08) (5.38) (5.82) (5.11) (5.92) (6.01) (2.00) (4.59) (6.19) (5.39) stdev 4.82% 5.56% 4.47% 5.85% 6.33% 5.89% 5.31% 8.34% 7.58% 25.12% 8.04% 3.20% 5.26%
z‐score 0.18 0.31 0.35 0.17 0.10 0.17 (0.01) (0.31) (0.20) (0.26) 0.11 (0.42) 0.42 today 1.50% 2.70% 2.25% 1.89% 1.51% 1.57% 0.25% ‐1.31% ‐0.58% ‐4.01% 1.07% ‐0.56% 2.98%
10 SPY QQQ DIA MDY IWM EFA EWJ ILF EEM ^VIX XLF XLP XLKzmax 6.10 5.03 5.82 5.43 5.66 5.77 5.26 4.83 5.18 8.50 8.91 4.74 5.62 max 21.59% 20.22% 19.12% 23.06% 26.14% 24.55% 20.37% 29.71% 28.86% 148.06% 52.93% 11.26% 21.09%
+1 stdev 3.82% 4.41% 3.57% 4.61% 4.97% 4.49% 4.01% 6.67% 5.96% 18.58% 6.06% 2.69% 4.06%avg 0.34% 0.49% 0.34% 0.44% 0.43% 0.28% 0.17% 0.65% 0.49% 1.32% 0.13% 0.40% 0.38%
‐1 stdev ‐3.15% ‐3.42% ‐2.88% ‐3.72% ‐4.10% ‐3.92% ‐3.68% ‐5.37% ‐4.99% ‐15.94% ‐5.80% ‐1.89% ‐3.30%min ‐26.76% ‐24.04% ‐24.65% ‐28.62% ‐28.89% ‐29.11% ‐27.09% ‐40.48% ‐35.98% ‐39.76% ‐35.10% ‐15.81% ‐23.55%zmin (7.78) (6.26) (7.75) (6.98) (6.46) (6.99) (7.09) (6.83) (6.66) (2.38) (5.94) (7.08) (6.50) stdev 3.48% 3.92% 3.23% 4.16% 4.54% 4.21% 3.84% 6.02% 5.47% 17.26% 5.93% 2.29% 3.68%
z‐score 0.98 0.73 1.35 0.84 1.06 1.06 0.42 0.25 0.28 (1.22) 0.60 0.68 1.04 today 3.77% 3.34% 4.70% 3.95% 5.25% 4.74% 1.78% 2.13% 2.03% ‐19.82% 3.71% 1.95% 4.22%
5 SPY QQQ DIA MDY IWM EFA EWJ ILF EEM ^VIX XLF XLP XLKzmax 7.31 4.92 6.74 7.13 6.58 6.06 5.57 6.76 7.17 7.53 7.54 5.76 5.60 max 19.39% 14.39% 16.62% 22.81% 22.86% 19.30% 16.16% 31.91% 30.58% 102.87% 34.89% 10.25% 15.59%
+1 stdev 2.81% 3.13% 2.62% 3.40% 3.67% 3.31% 2.98% 5.01% 4.49% 14.38% 4.71% 1.95% 2.94%avg 0.17% 0.25% 0.18% 0.23% 0.23% 0.15% 0.09% 0.34% 0.26% 0.83% 0.09% 0.20% 0.20%
‐1 stdev ‐2.46% ‐2.62% ‐2.26% ‐2.94% ‐3.21% ‐3.01% ‐2.79% ‐4.33% ‐3.97% ‐12.72% ‐4.53% ‐1.54% ‐2.55%min ‐19.79% ‐16.08% ‐18.85% ‐21.15% ‐21.85% ‐20.80% ‐18.10% ‐30.64% ‐26.10% ‐36.71% ‐30.28% ‐14.77% ‐15.87%zmin (7.59) (5.68) (7.80) (6.75) (6.42) (6.63) (6.31) (6.64) (6.23) (2.77) (6.58) (8.58) (5.85) stdev 2.63% 2.87% 2.44% 3.17% 3.44% 3.16% 2.88% 4.67% 4.23% 13.55% 4.62% 1.75% 2.75%
z‐score 0.64 0.68 0.68 0.72 0.86 0.87 0.68 0.23 0.38 (0.94) 0.29 0.53 0.86 today 1 85% 2 21% 1 85% 2 52% 3 18% 2 89% 2 04% 1 40% 1 87% ‐11 94% 1 44% 1 13% 2 57%
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Gap statistics (30 day and 200 day)
GS(200) SPY IWM DIA MDY QQQ EFA IEV VXX ILF EEM EPP GLD SLV USO DBA CATmax 2.08% 2.07% 2.29% 1.87% 1.49% 3.86% 3.74% 2.18% 3.23% 3.70% 3.97% 2.81% 4.76% 2.48% 1.73% 3.75%avg 0.59% 0.45% 0.78% 0.39% 0.20% 0.78% 0.88% ###### 0.71% 0.57% 0.88% -0.12% -0.18% -0.12% 0.01% 0.91%min -0.87% -1.08% -0.64% -0.97% -1.26% -1.24% -1.50% ###### -2.10% -1.74% -2.43% -5.52% -9.10% -2.38% -1.16% -5.63%
StDev 0.58% 0.58% 0.62% 0.54% 0.48% 1.15% 1.27% 27.80% 1.09% 1.00% 1.30% 1.02% 1.62% 0.81% 0.35% 1.01%worst Z 1.5 1.9 1.0 1.8 2.6 1.1 1.2 2.7 1.9 1.8 1.9 5.4 5.6 2.9 3.3 5.6
GS(30) SPY IWM DIA MDY QQQ EFA IEV VXX ILF EEM EPP GLD SLV USO DBA CATmax 1.52% 1.30% 1.14% 1.36% 1.16% 1.73% 1.62% 2.18% 2.82% 2.63% 2.67% 2.02% 2.82% 1.12% 0.49% 1.83%avg 0.34% 0.30% 0.20% 0.23% 0.27% 0.41% 0.30% -0.33% 0.68% 0.46% 0.76% -0.05% -0.06% 0.10% 0.02% 0.10%min -0.49% -0.74% -0.35% -0.65% -0.65% -0.77% -0.84% -2.16% -1.69% -1.74% -0.74% -1.86% -3.63% -1.51% -0.49% -0.76%
StDev 0.38% 0.35% 0.28% 0.33% 0.36% 0.57% 0.56% 1.09% 1.00% 0.82% 1.00% 0.83% 1.35% 0.60% 0.21% 0.48%worst Z 1.3 2.1 1.3 2.0 1.8 1.3 1.5 2.0 1.7 2.1 0.7 2.2 2.7 2.5 2.3 1.6
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
1 11 21 31 41 51 61 71 81 91 101 111 121 131 141 151 161 171
SPY 30day gapstat for the last 170days
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Intraday range percentagesThese charts show the intraday ranges we can consider “normal” based on 30 and 200 day look back periods
Purpose: to calibrate our expectations for normal moves
Design goals: account for different measures of volatility; measure using descriptive statistics. Find limits of normal as well as the maximum moves in the 2 time periods
Application: when you have identified the tentative high or low of the day, these stats will help define what the rest of the day could be expected to be
Method: 1. Calc the daily ranges of each day of the last 30 and 200 days.2. Calc the usual descriptive stats
Comments:1. Related to the gap stat, but this covers the period of the day
we can be trading with some degree of control
Stdev Avg Avg+1SD Max Stdev Avg Avg+1SD Max
SPY 0.43% 0.69% 1.12% 2.44% 0.41% 0.87% 1.28% 2.85%DIA 0.38% 0.65% 1.03% 2.28% 0.35% 0.77% 1.12% 2.28%
QQQ 0.49% 0.82% 1.31% 2.53% 0.42% 0.97% 1.39% 2.53%MDY 0.44% 0.89% 1.33% 1.98% 0.47% 1.06% 1.52% 3.09%IWM 0.47% 1.14% 1.61% 2.26% 0.53% 1.22% 1.74% 3.76%EWJ 0.33% 0.61% 0.93% 1.94% 0.56% 0.96% 1.52% 4.32%EPP 0.37% 0.71% 1.08% 2.26% 0.48% 0.88% 1.36% 2.95%EFA 0.37% 0.63% 1.00% 2.10% 0.40% 0.79% 1.20% 2.87%ILF 0.55% 1.49% 2.04% 3.11% 0.63% 1.51% 2.14% 4.68%
EEM 1.71% 1.46% 3.17% 9.86% 0.86% 1.23% 2.08% 9.86%GLD 0.55% 1.03% 1.59% 2.35% 0.78% 1.19% 1.97% 5.31%SLV 0.81% 1.52% 2.34% 3.33% 1.17% 1.75% 2.92% 8.74%USO 0.42% 1.00% 1.41% 2.12% 0.53% 1.38% 1.90% 3.11%VXX 1.63% 2.66% 4.29% 8.52% 1.00% 1.23% 2.23% 8.52%
Stdev Avg Avg+1SD Max Stdev Avg Avg+1SD MaxAA 0.64% 1.94% 2.58% 3.83% 1.01% 1.99% 3.00% 10.61%
AXP 0.55% 1.16% 1.70% 2.99% 0.61% 1.43% 2.04% 3.70%BA 0.65% 1.62% 2.27% 3.22% 0.78% 1.64% 2.43% 9.07%
BAC 0.81% 1.60% 2.41% 4.14% 0.84% 1.79% 2.62% 4.88%CAT 0.34% 1.15% 1.49% 2.05% 0.61% 1.47% 2.08% 4.46%
CSCO 0.64% 1.60% 2.24% 3.14% 0.60% 1.68% 2.28% 3.74%CVX 0.41% 1.11% 1.52% 2.11% 0.44% 1.22% 1.66% 3.11%DD 0.51% 1.20% 1.71% 2.52% 0.72% 1.45% 2.17% 6.04%
DIS 0.56% 1.37% 1.94% 2.85% 0.66% 1.54% 2.20% 4.54%GE 0.47% 1.27% 1.74% 2.32% 0.51% 1.34% 1.85% 3.47%HD 0.50% 1.40% 1.90% 2.59% 0.64% 1.50% 2.14% 5.24%
HPQ 1.59% 2.23% 3.82% 9.52% 1.32% 2.43% 3.75% 10.72%IBM 0.55% 1.34% 1.89% 3.16% 0.51% 1.31% 1.82% 3.60%INTC 0.59% 1.58% 2.17% 3.05% 0.61% 1.68% 2.29% 3.93%JNJ 0.47% 1.07% 1.54% 3.12% 0.50% 1.20% 1.70% 3.12%JPM 0.54% 1.41% 1.96% 3.27% 0.67% 1.73% 2.40% 4.02%UNH 0.56% 1.44% 2.01% 3.05% 0.73% 1.67% 2.41% 5.56%KO 0.48% 1.16% 1.64% 2.70% 0.51% 1.31% 1.81% 3.58%
MCD 0.35% 0.94% 1.29% 1.74% 0.39% 1.06% 1.45% 2.44%MMM 0.74% 1.26% 2.00% 3.61% 0.48% 1.15% 1.63% 3.61%MRK 0.41% 1.27% 1.68% 2.62% 0.68% 1.47% 2.16% 5.08%MSFT 0.86% 1.61% 2.47% 4.47% 0.83% 1.73% 2.56% 5.33%PFE 0.51% 1.34% 1.85% 2.68% 0.68% 1.55% 2.23% 4.70%PG 0.46% 1.14% 1.60% 2.36% 0.59% 1.29% 1.88% 5.77%T 0.37% 1.09% 1.46% 2.36% 0.48% 1.30% 1.78% 2.81%
TRV 0.41% 1.11% 1.52% 1.93% 0.53% 1.27% 1.80% 3.82%UTX 0.49% 1.22% 1.71% 2.64% 0.54% 1.34% 1.88% 3.94%VZ 0.44% 1.26% 1.70% 2.51% 0.58% 1.52% 2.11% 3.97%
WMT 0.38% 0.97% 1.36% 2.35% 0.56% 1.19% 1.74% 5.88%XOM 0.56% 1.16% 1.73% 2.95% 0.42% 1.15% 1.57% 2.95%
Intraday Range Percentages30day 200 day
w 30 Indust
12/27/2013
30day 200 dayIntraday range Percentages
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DOW 30 SQN report:This reports the SQN ™ of the Dow 30 industrial companies, over various time periods. It can be used to find both short term and longer term momentum trade candidates, as well as a way to evaluate sector and regional rotations.
Color‐coding analyzes where each symbols SQN falls within the range of SQN’s of this peer group. Green is >1sd above average, Red is >1SD below Avg
Divergences measure the difference between a symbol’s SQN over the 2 timeframes. Color‐codes depend on where that symbol’s divergence falls within the range of SQN’s of this peer group.
The default sort is by the 31‐260 time frame.
Dow Quality Report As Of: 12/27/2013
30-60 30-264 1-30 31-60 61-90 31-264 Name Ticker Price Change%
-1.36 -0.70 1.28 2.63 3.36 1.97 BOEING CO BA 136.9 (0.99) -1.14 0.23 2.16 3.31 1.84 1.93 3M COMPANY MMM 139.35 0.77 -2.89 -1.85 -0.14 2.76 -1.20 1.71 JOHNSON AND JOHNS DC JNJ 92.35 (0.21) -0.32 -0.22 1.48 1.80 0.82 1.70 DU PONT E I DE NEM DD 64.25 - -1.21 -0.71 0.76 1.97 3.00 1.47 NIKE NKE 78.16 (0.04) 2.03 2.23 3.66 1.63 0.91 1.43 AMER EXPRESS INC AXP 89.19 0.21 2.03 0.77 2.10 0.07 1.47 1.33 UNITED TECH UTX 112.8 0.10 2.44 2.46 3.72 1.28 1.62 1.25 WALT DISNEY-DISNEY C DIS 74.35 (0.36) 2.52 2.10 3.21 0.69 0.20 1.10 GOLDMAN SACHS GS 176.35 (0.06) -1.96 0.13 1.19 3.16 0.76 1.07 GEN ELECTRIC CO GE 27.83 - -1.90 -0.72 0.34 2.24 1.20 1.06 MICROSOFT CP MSFT 37.29 (0.40) -3.99 -1.94 -0.90 3.09 0.73 1.04 PFIZER INC PFE 30.64 0.29 2.68 2.36 3.35 0.67 2.60 0.99 VISA V 219.67 (0.24) 1.58 1.67 2.65 1.07 0.13 0.98 JP MORGAN CHASE CO JPM 58.14 (0.10) 3.10 1.47 2.41 -0.68 0.56 0.94 UNITED HEALTH UNH 74.69 (0.21) 0.94 0.92 1.79 0.85 2.55 0.87 TRAVELER'S CO TRV 89.85 (0.18) -3.84 -1.29 -0.42 3.42 -1.66 0.87 PROCTER GAMBLE CO PG 82.01 0.31 -1.69 0.40 1.23 2.93 0.77 0.83 INTEL CP INTC 25.6 (0.39) 2.34 1.20 1.96 -0.38 1.04 0.75 CHEVRON CVX 125.23 0.34 2.78 2.04 2.79 0.01 0.66 0.75 HOME DEPOT INC HD 81.64 0.11 -1.84 -1.86 -1.13 0.71 -1.17 0.74 CISCO SYS CSCO 22.02 1.01 -0.80 -0.69 0.04 0.84 0.88 0.73 MCDONALDS CP MCD 96.91 0.07 -3.04 -1.49 -0.79 2.24 -0.23 0.69 VERIZON COMMUN VZ 49.17 (0.02) -2.49 -0.46 0.12 2.61 0.05 0.58 WAL MART STORES WMT 78.47 0.10 3.16 1.91 2.36 -0.80 1.76 0.45 MERCK CO INC MRK 49.79 0.14 -1.35 -0.42 0.03 1.38 0.36 0.45 AT&T INC. T 35.18 0.06 -0.68 2.48 2.90 3.58 -0.41 0.42 EXXON MOBIL CP XOM 101.51 0.60 -1.29 0.53 0.91 2.20 -0.52 0.38 COCA COLA CO THE KO 40.66 0.42 3.14 3.38 3.40 0.26 -0.12 0.02 CATERPILLAR INC CAT 90.87 (0.31) 0.64 0.50 0.46 -0.18 0.50 -0.04 INTL BUSINESS MACH IBM 185.08 (0.15)
Quality Divergence
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ETF Quality Report As Of: 12/27/2013
30-60 30-264 1-30 31-60 61-90 31-264 Ticker Price Change%0.26 0.11 1.78 1.52 2.09 1.67 S&P 500 Healthcare select XLV 55.38 (0.09) 1.41 1.06 2.68 1.27 2.80 1.62 S&P 500 Consumer discretionary XLY 66.27 (0.47) 0.22 1.04 2.61 2.38 2.02 1.57 S&P 500 Industrial XLI 52 (0.12) 0.26 0.79 2.23 1.97 1.80 1.44 S&P 500 SPY 183.85 (0.01) 1.56 0.65 2.09 0.54 2.83 1.44 Russell smallcaps IWM 115.16 (0.06) 2.10 2.10 3.46 1.36 2.78 1.36 Nasdaq 100 QQQ 87.52 (0.25) 0.90 1.33 2.68 1.79 0.85 1.35 Dow 30 DIA 164.47 0.01 0.83 0.41 1.74 0.91 2.22 1.33 Russell midcap 400 MDY 242.98 0.08 1.31 1.07 2.37 1.06 0.78 1.30 S&P 500 Finance XLF 21.79 (0.05) -2.63 -0.99 0.18 2.81 0.26 1.17 S&P 500 Consumer staples XLP 42.84 0.23 0.49 1.75 2.83 2.35 1.25 1.08 S&P 500 Technology XLK 35.58 (0.08) 0.36 0.87 1.95 1.60 1.83 1.08 S&P 500 Materials select XLB 46.03 0.31 0.19 -0.08 0.89 0.70 1.67 0.97 EAFE index EFA 66.57 0.51 0.73 0.60 1.57 0.84 1.80 0.97 Europe IEV 47.09 0.53 0.10 0.22 1.18 1.09 2.33 0.96 S&P 500 Energy XLE 88.29 0.49 0.39 -0.49 0.39 0.00 1.33 0.88 Japan EWJ 12.01 0.50 -2.42 -1.85 -1.14 1.28 0.66 0.72 S&P 500 Utilities XLU 37.81 0.40 -2.39 -2.21 -1.84 0.56 1.99 0.37 Asia less Japan EPP 46.41 (0.11) 4.93 2.09 2.39 -2.54 -1.05 0.30 Oil USO 35.84 0.53 0.17 -0.50 -0.33 -0.50 2.09 0.17 US real estate IYR 63.23 0.13 1.05 0.45 0.48 -0.57 1.09 0.03 China FXI 38.2 1.49 0.65 0.07 0.02 -0.63 1.76 -0.05 Emerging markets EEM 41.3 1.55 4.56 4.25 4.06 -0.50 0.49 -0.18 Nat Gas UNG 21.18 (2.89) 0.02 -0.82 -1.10 -1.12 2.55 -0.28 Brazil EWZ 44.69 1.61 0.27 -0.48 -0.76 -1.03 1.84 -0.28 Latin America ILF 36.86 1.46 -2.95 -0.75 -1.23 1.72 0.68 -0.47 Coal KOL 19.43 1.30 2.69 2.43 1.89 -0.80 -1.40 -0.54 Mixed Commodity DBC 25.85 0.27 0.36 0.27 -0.48 -0.84 1.61 -0.75 Long term treasuries TLT 101.81 (0.28) -0.50 -0.03 -0.89 -0.39 -1.09 -0.86 Silver SLV 19.27 1.31 -0.81 -0.42 -1.30 -0.50 -1.22 -0.88 Gold GLD 117.12 0.33 -0.02 -0.42 -1.50 -1.48 -0.18 -1.08 Ag DBA 24.57 0.24
Quality Divergence
ETF30 SQN report:This reports the SQN ™ of the ETF30 over various time periods. It can be used to find both short term and longer term momentum trade candidates, as well as a way to evaluate sector and regional rotations.
Color‐coding analyzes where each symbols SQN falls within the range of SQN’s of this peer group. Green is >1sd above average, Red is >1SD below Avg
Divergences measure the difference between a symbol’s SQN over the 2 timeframes. Color‐codes depend on where that symbol’s divergence falls within the range of SQN’s of this peer group.
The default sort is by the 31‐260 time frame.
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Dow Trans Quality Report As Of: 12/27/2013
30-60 30-264 1-30 31-60 61-90 31-264 Ticker Price Change%1.68 0.98 1.83 0.16 0.36 0.85 JB Hunt Transport Services Inc. JBHT 77.45 0.03 -3.57 -2.09 -0.10 3.47 3.29 1.99 Delta Air Lines Inc. DAL 27.03 (3.05) -1.83 -0.48 0.66 2.49 0.64 1.14 United Continental Holdings, Inc. UAL 36.78 (3.39) -3.36 -1.82 -0.55 2.81 2.17 1.28 Alaska Air Group, Inc. ALK 72.01 (1.11) -5.03 -0.91 1.17 6.20 2.95 2.08 Southwest Airlines Co. LUV 18.74 (1.00) 3.09 2.14 3.13 0.04 0.27 0.99 Union Pacific Corporation UNP 166.05 (0.22) 1.66 0.72 1.01 -0.65 -0.51 0.28 Matson, Inc. MATX 26.59 1.68 -2.80 -1.32 0.00 2.80 1.59 1.32 Kansas City Southern KSU 122.04 (1.32) 0.57 -0.02 0.55 -0.02 0.85 0.57 Landstar System Inc. LSTR 57.51 0.72 -1.72 0.59 1.92 3.64 1.43 1.32 FedEx Corporation FDX 143.43 0.09 0.05 1.57 3.15 3.11 3.70 1.58 United Parcel Service, Inc. UPS 104.72 0.05 0.02 -1.96 -1.01 -1.03 0.59 0.96 Con-way Inc. CNW 39.91 2.25 -3.09 -1.24 -0.31 2.78 2.99 0.93 GATX Corp. GMT 52.49 1.23 -2.29 -0.19 0.91 3.20 1.73 1.10 JetBlue Airways Corporation JBLU 8.43 (1.75) -0.67 -1.17 -1.12 -0.44 2.26 0.06 CH Robinson Worldwide Inc. CHRW 57.72 1.03 2.14 2.98 3.85 1.71 1.27 0.87 Ryder System, Inc. R 73.4 0.14 2.39 1.22 1.70 -0.68 3.10 0.49 Expeditors International of Washing EXPD 44.16 1.21 1.25 0.73 2.35 1.10 1.75 1.61 Kirby Corporation KEX 98.73 0.06 2.01 1.68 2.82 0.82 1.82 1.14 CSX Corp. CSX 28.29 (0.49) 0.38 1.44 2.73 2.35 2.54 1.29 Norfolk Southern Corp. NSC 92.33 (0.58)
Divergence Quality
Transportation sector SQN report:This reports the SQN ™ of the Dow transportation sector companies, over various time periods. It can be used to find both short term and longer term momentum trade candidates, as well as a way to evaluate sector and regional rotations.
Color‐coding analyzes where each symbols SQN falls within the range of SQN’s of this peer group. Green is >1sd above average, Red is >1SD below Avg
Divergences measure the difference between a symbol’s SQN over the 2 timeframes. Color‐codes depend on where that symbol’s divergence falls within the range of SQN’s of this peer group.
The default sort is by the 31‐260 time frame.
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SPY ILF EWJ EPP EFA EZU EEM IVV MDY IWM OEF QQQ DIA GLD DBCSPYILF 67.0%
EWJ 62.7% 47.5%EPP 74.5% 69.4% 53.9%EFA 86.5% 71.2% 77.9% 82.2%EZU 82.2% 66.5% 50.9% 72.7% 90.7%EEM 75.7% 87.9% 56.2% 81.2% 79.5% 71.9%IYY 98.6% 68.5% 62.2% 74.0% 86.4% 81.9% 77.0%
MDY 91.9% 63.7% 57.8% 65.8% 78.1% 73.8% 69.6% 92.8%IWM 89.1% 60.4% 53.9% 64.3% 75.8% 73.1% 66.9% 91.4% 94.4%OEF 98.6% 66.6% 62.1% 74.1% 86.3% 82.3% 75.7% 98.0% 88.1% 86.8%QQQ 89.7% 57.9% 54.0% 64.5% 77.5% 74.6% 67.0% 90.0% 84.9% 84.6% 89.3%DIA 95.0% 62.2% 59.7% 70.0% 82.3% 78.5% 70.9% 93.8% 83.0% 81.1% 96.0% 80.9%GLD 16.4% 35.3% 5.9% 37.0% 27.5% 27.2% 34.7% 18.7% 17.2% 20.7% 16.0% 13.7% 9.6%DBC 42.7% 35.3% 23.3% 45.6% 43.7% 43.1% 39.7% 43.4% 40.4% 41.9% 42.0% 37.9% 38.0% 54.5%USO 36.8% 27.2% 18.4% 32.8% 34.4% 32.9% 28.5% 36.9% 37.7% 36.7% 35.3% 30.9% 33.1% 29.7% 78.0%
200days 100days 50days 30days AVGEWJ 62.7% 63.4% 63.0% 66.4% 63.9%EFA 86.5% 82.6% 83.3% 85.3% 84.4%EZU 82.2% 78.8% 80.8% 80.6% 80.6%ILF 67.0% 60.9% 53.5% 51.6% 58.2%OEF 98.6% 98.1% 96.7% 94.8% 97.1%EPP 74.5% 67.9% 64.3% 55.9% 65.7%EEM 75.7% 72.1% 65.3% 63.1% 69.0%IWM 89.1% 86.2% 80.6% 77.1% 83.2%QQQ 89.7% 89.2% 84.1% 83.6% 86.7%MDY 91.9% 90.4% 89.4% 85.5% 89.3%DIA 95.0% 94.1% 92.1% 94.0% 93.8%GLD 16.4% 1.9% 22.8% 21.4% 15.6%DBC 42.7% 16.7% 46.4% 44.7% 37.6%USO 36.82% 12.57% 24.17% 12.5% 21.5%
Max 98.6% 98.1% 96.7% 94.8% 97.1%Min 62.7% 60.9% 53.5% 51.6% 58.2%Avg 85.0% 82.0% 79.0% 77.1% 80.8%
SPY correllations12/27/2013
Index correlation reportExamines the correlation coefficient between major indices over different time periodsExceptionally strong or weak correlations are highlighted in Green and Red respectively
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How tight is the 30d correlation among Major Indices?(Z‐score of the difference between the most and the least correlated indices)
Lower Z score = tighter correlation, usually seen in selloffperiods. Looking for change of trendLoose correlation usually occurs in uptrends as money seeks opportunityIn a Bear, everything goes down together and correlations converge
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Z score of Correlation coefficient of indices vs SPY(last 30 days; tight correlation occurs in sell offs)
DIA
QQQ
MDY
IJR
EWJ
EPP
EFA
ILF
EEM
Index correlation reportTop chart examines the Z‐score of the 30 day correlation coefficient of major indices to SPY over the last 30 days to check on current relationships between regions
Index correlation spread reportChart examines the Z‐score of the 30day correlation coefficient of major indices to SPY. It measures the width of the channel between the least and the most correlated indices, based ion z‐score, in order to get a sense of how the indices are behaving with repsect to SPY
When the market is growing, the width expands as money seeks gains through divergence, trying to find the leader.