Sell in May?.....Maybe...05.02.16

There's an old trader's adage to Sell in May developed by Yale Hirsch of the Traders Almanac.which studied the long term effect of only being vested in the markets Nov 1 to April 30 each year and being in cash the rest of the time. How's that worked out over the past 65 years?  Pretty well.
Here are a couple divergent articles on that effect, one from Schwab and one from Barron's Striking Price. Just something to factor into your risk considerations in what may prove to be a difficult summer trading environment.
Meanwhile. here's a PV price volatility study of TLT highlighting the PCL indicator and it shows how well violations of the 1% PCL threshold presage drops in TLT price. I haven't marked every one of the 1% violations, otherwise the chart would look pretty busy but every single 1% violation has in fact been immediately followed by a drop in TLT price at least for 1 or 2 days. In some cases of higher threshold violations TLT price dips extended for a week or more.

VDX Updates and a NEW PV Chart layout....05.01.16

This week's VDX updates offer a mixed bag forecast of things to come.  Earnings reports and guidance are still driving momentum and here's the Schwab perspective for next week.
Work continues on the price/volatility (PV) indicators and the latest iteration of the chart is shown below. Note that the ATR and PCL metrics have been separated into 2 distinct outlier charts with price in the middle chart. The OC indicator study has been deleted for the time being.
The PCL and ATR were separated in part because I realized that the PCL tends to be a leading indicator and the ATR is more of a confirming signal.
I've added interactive threshold levels and a rolling vertical alignment line to instantly see when the threshold crosses are in alignment with impending price action.
The position of the dashed green vertical line on the PCL and ATR charts is situated at a technical position that closely resembles the current PCL/ATR.
Note what happened to SPY price the last time the .8% threshold was breached to the upside.

A Unified Field Theory of Price & Volume...04.28.16

Well, it's a work in progress.  The recent TLT Perspectives posts on the ATR have gotten me into a major new research project with very encouraging results so far.  These are high odds trades using the daily volatility metrics of open/close, ATR and previous close to current low.
Turns out there may be some very actionable signals derived from looking at the standard deviation of those metrics.
The top 2 studies look at the PCL trend in TLT and QQQ. and highlight potential short signals that can be derived from upward penetration of the standard deviation band with a 38% retracement before a subsequent penetration.
The Lowest study (SPY) demonstrates that we can derive both short and long signals based on the PCL's cross of a .9% trend line if that line has retraced back to the .65% level before beginning a new leg up.
What we're showing here is of course premature for commitment of capital and the whole idea needs to be converted to a more empirically benchmarked and tracked platform. Once in a more controlled analytical mode I suspect that optimizing the standard deviation and retracement values for a specific ETF or stock input will produce a whole new persspective for evaluating market opportunities.

 Finally, a long/short SPY model

More TLT Perspectives...04.27.16

While the 163 hedge funds that were long Apple reconcile their balance sheets this morning here are a few more TLT considerations.
First the delta neutral TLT/TBT model has been slowly chugging along reflecting a nice linear revenue stream even as TLT has technically broken down to support levels.
Jeff Gundlach (arguably one of the great bond traders of all time) posted some encouraging opinions for longer term treasuries yesterday and so far today's action has followed suit. Our May 135/131 credit spread still looks like a safe bet given the low odds the FED will make any move before June.
Now...something to ponder.......The lower chart with the yellow bars is a simple TLT trading setup.
Many Mosaic users do trade bonds, especially TLT, and here's a quick look at how the ATR trend values on the long term volatility chart have consistently signaled  at least short term TLT BUYs.

The TLT BUY setup tracks the ATR trend only and looks for situations here 2 conditions are met>>
1. The ATR trend passes through .8% and hits or penetrates 1%.
2. For new entries the ATR trend must retrace below .08% before a new hit of 1% can be triggered.
To preserve gains >> standard limit stop of .06% of the entry price and a trailing stop of .03%.
Over the past 2 years there have been 7 signals, all net positive although in 3 cases the positions were held for < 3 days.

APPLE Crashes and PONZO Updates....04.26.16

Once again it appears the Barron's gurus may have demonstrated stunningly bad timing in their analyses as Apple's earnings and sales were WAY DOWN leading to a current 8.5% selloff in after hours.and thereby following the historical selloff range of $8 mentioned over the weekend.  
Whether this is now a great time to pick up some cheap Apple shares remains to be seen.
Guess which way the markets will open Wednesday.?
Meanwhile the Ponzo charts are pretty much following suit from last week although TLT is showing momentum cracks and a riskier downside consensus longer term.....which will largely be dependent on the FED's rate program of course.

VDX Updates ...04.25.16

There are times when fundamentals (as in earnings reports) trump technical signals and 4 times a year we are witness to that decoupling....currently underway.  The name of the game is of course, SURPRISE earnings, in which the surprise tends to be to the downside with resultant price collapse and generally hesitancy going forward. Such was the case with GOOGL,MSFT and SBUX last week and XRX today.  Sometimes those analyst A rated stocks just don't deliver the goods.
Apple is out tomorrow to further shake the uncertainty tree and for now we are taking a cautious and low exposure stance.  Delta neutral is the safest way to play earnings season IMHO...similar to a straddle or a strangle but somewhat easier and faster to navigate.
Note the inclusion of the SPLV VDX chart at the bottom, which we'll be looking at in greater detail as the week goes by.
Why do the SPLV  VDX and VDI+/- charts look more like TLT than SPY???????

M6 Outlook & SPLV...04.23.16

This week we feature a slightly revised M6 model which includes a new input...SPLV, an ETF comprised of the S&P low volatility issues.
There's not a whole lot of volume on SPLV but if you spend some time studying its idiosyncrasies along with me next week it may become one of your favorite trading ETFs.
The general tone for next week is reserved and don't forget APPLE's out Tuesday with earnings that will surely drift the markets either up or down. Just to put things in context Barron's reports this week that their stable of investment pros favorite stock is......APPLE.

 And here's the current M1 study of SPLV all by itself...in the mean reversion mode.