Wednesday, January 31, 2018

XIV flat for Friday...01.31.18

Kind of a dead cat bounce today but with the XIV ultimately closing up .5% and up another $.80 in after hours trading.  Nevertheless, the model is flat for Friday as we assume a risk on stance.
Amazon earnings tomorrow should create a ripple...with new projections for a $1600 resistance via the talking heads.  We shall see.  MSFT is down a buck after hours after beating on earnings, BTW.
I closed my VXX trade posted yesterday after ultimately taking a 50 contract position @ .85 credit.
We closed the trade at $.72 just before VXX reversed to the upside today and netted a .13 x 50 gain or $650 in a day.... and I thanked my lucky stars that I bailed when I did and not hold into expiration tomorrow.

Tuesday, January 30, 2018

XIV flat for Wednesday....01.30.18

XIV was down over 6% today as the markets cratered on basically no news.  I warned that the signals were not in sync and that any vested signals were risky and I followed my own advice and stayed flat into today's session.  The markets are now oversold and volatility is at short term resistance so we may get a bounce tomorrow if the SOTU message is received well.
Note that the "best bet" odds have shot up again to 2.3%.
I am short VXX into Friday's option expiry just as a contrary hedge against volatility.
With a 1.:5 risk to reward ratio this is a cheap bet.  (see below)..

Monday, January 29, 2018

XIV long for Tuesday.....01.29.18

A bad day for the markets over various economic jitters and the probable release of the FISA memo that may cause some heads to roll at the FBI and DOJ.  Its becoming a scary world = politics trump economics.  Earnings are still the 800 pound gorilla pushing the markets and with big tech coming out this week we may see yet another pump.
Our caution on XIV today turned out to be warranted and with all the indicators looking contrary or out of sync any new vested positions are increasingly risky...despite the vested signal.

Sunday, January 28, 2018

XIV Long for Monday......1.28.18

Friday was a weird day with both VXX and XIV opening in the green and continuing so into the morning session...then reversing in the afternoon session with both ETNs closing in the red.
For Monday we're long althought the TrendX and Paradigm Alerts are not in perfect sync.
I've shown the expanded metrics panel to show the solidly upslope trends in both the ATR and PCL charts.....which is responsible for the climbing "best bet" limit stop odds which has modulated from Thursday's 1.7 to Friday's 1.6.
As XIV momentum decouples from the SPY.....the index upon which its intrinsics are derived, we should be wary of large vested positions until we see a more synced alignment and we'll look at those possibilities later in the week as time permits as I'm on jury duty this week.

Thursday, January 25, 2018

XIV flat for Friday.....01.25.18

We were right to be suspicious of yesterday's vested signal and I  didn't buy the signal as after hours prices continued to drop  (luckily). 
The volatility factor (fx) continues to climb and the "best bet" value is now at 1.7%.  Keep in mind that last year the "best bet" odds were running above 3%, reflecting a median higher VIX value.
I've expanded the metrics panel view on the left side of the panel to show the actual PCL (previous close to low of the current day metric).  Volatility expansion tends to run in 3-4 day spurts so tomorrow may either be an volatility exhaustion day (options expiration by the way)  or a not much usable guidance there unfortunately.

Wednesday, January 24, 2018

XIV long for Thursday...01.24.18

Our cash position today saved us from a 1.4% loss and tomorrow the model is once again vested.  XIV is down almost .25% after hours so I'm keeping an eye on it before following the signal, which my flawed logical brain finds somewhat suspect given the TrendX downtrend.
Note the "best bet' odds are up again.

Tuesday, January 23, 2018

XIV flat for Wednesday....01.23.18

We got stopped out of the XIV trade today shortly after the open and tomorrow the signal is in cash.
Intra day and close to open volatility is clearly picking up as witnessed by the new "best bet" odds value of 1.4%.....a 40% increase from yesterday's 1.0 value.
TrendX and the Paradigm Alert are now both negative and in sync so cash looks like a safe position until we are even evidence of a high probability trade.

Monday, January 22, 2018

XIV Long for Tuesday....01.22.18

Senate agreement to fund the govt, at least for the short term, has the market at new highs.
XIV is long for Tuesday.
Note "best bet" stop has increased to 1.0%

Friday, January 19, 2018

XIV flat for Monday...01.19.18

Despite the very real possibility of a govt. shutdown the major indices managed to close in the green.
XIV had a wide 3 point swing, ending the day in the green at close to the daily high.

Note that the "best bet" limit stop odds have risen back to .9%,  up from the .7% lull we saw at the beginning of the week. Our Trendx signal has just crossed to the downside and the Paradigm Alert is negative so a flat, risk ON posture looks like the safe and sane situation for Monday. 

Thursday, January 18, 2018

XIV flat for Friday....01.18.18

A wild $ 6.5 point swing in XIV stopped us out early for a .7% loss, which quickly widened and then in the afternoon session we actually saw XIV turn green and run for a bit before heading south again late afternoon to finish near flat.  Everything now rides on the odds for a shutdown but any significant selloff will likely be met with a relief rally...and more.
XIV is flat for Friday.

Wednesday, January 17, 2018

XIV vested for Thursday

A another nice signal for XIV today and the suggestion to enter 30 minutes after the open saved an otherwise $3 loss.  Earnings  are the big catalyst for the surge and expectations are high so odds are for more gains near term.

Tuesday, January 16, 2018

XIV vested for Wednesday...01.16.18

A tremendous call by our model at Friday's close kept us safe from the 5% swoon in XIV today. Keep in mind that the trend following model uses a combination of momentum and volatility parameters to generate our daily signal so simple momentum is often not a valid criterion to remain vested.  Such was the case with Friday's close.
For tomorrow the signal is vested but we may expect selling to extend into the open after a 300+ swing to the downside today so a bit of caution is advised either by scaling back trade size or simply waiting for the open +30 minutes before initiating any new trades.
Today's action put a serious dent in the unstopped benchmark XIV metrics and brought us almost on par for the past 250 trading days albeit with a considerably lower net % drawdown and only limited position exposure.

Sunday, January 14, 2018

XIV Flat for Monday...01.14.18

Another volatile day Friday with XIV closing very slightly in the red.  For Monday the signal is in cash.  Note that the TrendX Paradigm signal is in sync and slightly bullish.  Also note that XIV volatility has declined somewhat and that the current Best Odds limit stop is down to .7% from the previous .9% level where it has ridden since the first of the year.

Thursday, January 11, 2018

XIV Flat for Friday...01.11.18

A nice run today for XIV although it closed $1.50 below the high of the day.....once again arguing for a trailing stop when trading this highly volatile issue.
For Friday the XIV signal is cash.

Wednesday, January 10, 2018

XIV for Thursday...01.10.18

Another wild swing day for the XIV...this time with a positive close in a down market after a 
breakdown through S2 at the open.  The positive XIV behavior was, of course, completely divergent from the manner in way we would expect it to behave in a down market day but we've come to expect this kind of technically skewed head scratching in this market milieu.
Tomorrow's signal is vested but based on the action over the last 2 days extreme caution is advised with strict adherence to stops.  Not a market for the timid.

Tuesday, January 9, 2018

OUT XIV for Wednesday....01.09.18

It was a wild volatility ride today with XIV swinging $3 , 1.50 up at the open and down 1.50 at the close. We didn't like the sell off at the open after hitting R1 and took the afternoon pop to 145.75 to close out our trade when XIV failed to get back to R1, but I was being overly cautious and wanted to bail on the position if any evidence of weakness appeared...   (see lower chart.)
According to the model metrics we lost money today, but that's based on closing prices.
If normal railing stops were in place the actual trade close would have been in the neighborhood of 145.25, therby still booking a nice gain for the day.. 
Note that the current Fast ALERT signals are in sync but downslope.....equals caution.

Monday, January 8, 2018

Long XIV for Tuesday...01.08.18

The weekend Ponzo updates suggest weakness in QQQ but that wasn't the case today and at the close XIV is in a vested position for tomorrow.  I actually make most XIV and VXX trades in the after hours markets where dips and peaks tend to be more opportunistic, depending on the current signal.
The model was not vested for today's gains but the volatility skew has now turned more attractive and the 2 Day Fast ALERT chart is back in synce and bullish along with the Pivot Alert.

Sunday, January 7, 2018

SPY and QQQ Ponzo Forecast Diverge....01.07.18

We haven't looked at the Ponzo Forecasts for 6 weeks so the beginning of the new year seemed like a good time to check in with our market forecasting tool that was deadly accurate last year.
And we have a little surprise....SPY is actually looking more robust than QQQ going forward for the next 18 weeks.  Generally speaking the QQQ lead momentum up and SPY follows.  However the Qs have been on fore lately, especially the FANG gang, and we may be seeing some risk mitigation to relative values of SPY vs QQQ (especially tech) as we progress into January...typically one of the strongest months of the year.

Thursday, January 4, 2018

XIV Signals Back to Vested....01.03.18

XIV was up .4% in after hours trading, a perfect reversal of yesterday's after hours action.
Today's closing signal is back to vested as market volatility continues to slide with the VIX closing under 9 2 days in a row for the first time ever.  We may see some risk selling tomorrow but contrary to the historical bias for Fridays' to be down days, the last couple months have seen bullish surges on more that 50% of Fridays.  It's a new market.
Although the XIV signal is vested I would feel more confident if the TrendX and Fast ALERT were upslope in sync rather than divergent.  Accordingly, I have scaled back 50% for tomorrow.

Wednesday, January 3, 2018

XIV signal goes to cash...01.03.18

XIV is down .5% in after hours trading and the trending following model MTF7 is now flashing a cash signal for tomorrow....following through on the divergent TrendX versus the Fast ALERT signal mentioned yesterday.

Tuesday, January 2, 2018

CORRECTED M model for XIV...01.02.18

As I was pondering the recent lagging performance of the XIV model I realized that I had been posting the mean reversion MMR7 model when I meant to post the trend following MTF7 version.  I've adjusted the model ID in the title line and its apparent in the relative performance charts of the two models that trend following is clearly the tactical least for the time being.
Note the differentials in equity curve, total risk exposure and total net returns between the models using the same limit stop and volatility settings.
Note also the Fast ALERT is quickly going to a CAUTION mode.
Time allowing, I will post daily signal updates of this model this week before the close.
(Disclaimer:  not a recommendation to trade...signal provided FYI and for educational purpose only.)

Monday, January 1, 2018

M Chain @ EEM....01.01.18

This is the 8 parameter model as opposed to the 7 parameter model profiled last week.  And for this week's entertainment we'll track how the model delivers with EEM, the broad based, high volume, narrow spread, emerging markets IShares ETF.
Over the course of 250 trading days the model only traded 125 times with 72 wins and  49 losses.
Note that the 2 Day Paradigm signals (TrendX and Fast Alert) are now in opposition as of Friday ...suggesting we should bide our time until they sync up again.