Register for free to join our community of investors and share your ideas. You will also get access to streaming quotes, interactive charts, trades, portfolio, live options flow and more tools.
Register for free to join our community of investors and share your ideas. You will also get access to streaming quotes, interactive charts, trades, portfolio, live options flow and more tools.
hiker, I believe the the NDR fund will outperform B&H over the long term. Their timing models are long to intermediate term, so in a strong bull market, I would expect the fund to slightly underperform the market - BUT over the long term, assuming there will be bear markets every few years or so, I'd expect this fund to handily outperform B&H.
Here's a link to the objectives and stategies:
http://www.gabelli.com/Template/fund_obj.cfm?fund_code=1334
The Hussman fund would be an interesting companion to the NDR fund - totally different approaches. NDR is mostly a timing methodology - Determining stock, bond and cash allocations based on their vast arsenal of indicators. Their stock picking technique is almost based on entirely on momentum with just a pinch of earnings input. I wouldn't put this fund into the B&H category. NDR will run to cash if they see red flags.
hiker, if you read the prospectus and the book "Research Driven Investor" by Tim Hayes you'll have a pretty good idea of how this fund will perform. Beyond the market timing aspects, their stock selection methodology is really interesting. It's the only stock picking methodology I've ever read about that has worked in both out-of-sample testing and real time. Most "backtested" stock selection methods are BS because they've been over-optimized or a result of data mining.
NDRAX
Gabelli just launched the Ned Davis Research Asset Allocation Fund in early April. This should be an interesting fund to watch. The fund has a pretty conservative approach, but unlike most AA funds, I'd expect this one to handily beat a diversified buy & hold strategy over the long term. I'm recommending this as a great 401K option to my friends who don't have the time or inclination to watch the market.
Performance so far - pretty much in lock step with the S&P 500. Ask yourself this question: How well has your portfolio done over this period of time?
http://bigcharts.marketwatch.com/intchart/frames/frames.asp?symb=ndrax&time=8&freq=1
Westpacific, do you think absolute levels of VIX really mean anything?
That's a weird one. Any guesses on what it means for the next few days?
I hate to be the big party pooper, but I've always thought extravagant chart patterns like the H&S are usually worthless. Everytime i've had the pattern pointed out to me, the outcome has been less than prophetic. Seriously, how profitable is the subsequent move after a neckline break anyway? It's like telling a friend "I see a shooting star" and by the time they turn around it's over.
Kirk, here's Fosback's seasonality trading rules:
http://www.keystonefin.com/planseason.htm
One of my few extremely bullish non-trend indicators:
$NDX did a bearish engulfing of friday today.
Augie, freakin' awesome charts!
Once again, you've done a ton of excellent work on market breadth. It's going to take me a while to go through these charts thoroughly, so I can't really offer any worthwhile feedback at this point. Again, great job and thanks for posting.
I like breadth indicators for 3 reasons. First, most breadth indicators are most useful for intermediate term market cycles. I prefer to to trade intermediate term. Second, breadth indicators do a good job of identifying the current market trend. Last, they help identify areas of higher risk/reward potential (via OB/OS levels).
Here's the tricky part: Identifying indicator reversals early enough to take full advantage of the next trend without getting whipsawed - or jumping the gun.
Augie, have you ever thought about using a ROC indicator of one of your breadth indicators to spot turns before they actually occur? I've been think about this lately but haven't worked on anything yet.
The INDU is down -.90% from 125 days ago. The Compq is up +7.24%. The blue chips aren't overbought (intermediate term), but the Naz and broader market seem to be.
Will this momentum divergence be resolved in our lifetime?
Didn't VIX really bottom out over a week ago?
Can you hand me a hanky? The BPI is giving me a nose bleed.
Look at these three charts.
[J8491362,Y]>
I can't argue with that. In the past few days I've become increasingly suspicious/nervous about this market. My guess is, and it's only a guess - we're very close to an intermediate term top - hell, the top could be today. In any case, I'm a slave to my model: 60%L 40% but ready to sell sell sell.
60% long, 40% cash (that's based on my intermediate term model) My candlestick research will be used as part of a short term model. I'm guessing it's gonna take me four or five months to complete. I don't trade short-term right now.
I prefer to watch the price of 10 year treasury bonds. Below is an indicator adapted from Ned Davis Research. When six month rate of change is positive, it's bullish for stocks( the higher the momentum, the larger gain per annum for stocks. I've also noticed that when 10 year t-bonds are also above their long term smoothing, that's also bullish.
The green Bs indicate two candles, the first is a black candle, the second is a white candle that opens at the previous day's close and proceeds to close above the previous day's open. Powerful indicator of a bottom or a bullish continuation. Especially powerful if preceded by a long lower shadow, or if the first candle has a long lower shadow.
The red Bs indicate also indicate two candles, the second day is black, opening at the previous day's close and closing below the previous day's open. This is an indication of a top or continuation of a bearish trend.
Here are my candlestick pairs in action. I'm a little suspicious of the heavier than usual volume for down day.
$NYA "twin" spinning tops spell short-term bearishness
...although we're yet again in a seasonally favorable period.
$VXN breaks through the lower Bollinger band and gives clear-cut bearish signal today (according to my interpretation). $VIX has been bearish for a few days now. The $NYA and $COMPQ are running in opposite directions. Breadth is still overbought and momentum divergences keep getting longer and longer.
Candlestick Epiphany
I spent a lot of time over the holiday studying candlesticks and discovered that the most commonly discussed patterns are pretty rare, while more common patterns that are seldomly discussed offer extremely valuable short term forecasting input.
The most common pattern I've found are contructed with just two candles and loosely fall into the category of engulfing candles. Bullish signals are given if:
A white candle is followed by a black candle where the real bodies are exactly (or almost exactly) the same and the close of the first candle is equal to the open of the second candle. I call this pair of candles "twins" and have use an "A" on the chart annotations.
The second variation differs only in that the close of the second, black candle is lower than the open of the first, white candle. To the purist, this isn't truly an engulfing candle because the close of the first candle is the same as the open of the black candle. I used a "B" to annotate these pairs.
Bearish patterns would be the exact opposite of the patterns described above. Note the emphasis on the length and location of the real bodies. I haven't noticed much significance in the length and location of shadows, EXCEPT at market bottoms.
Candles with long lower shadows, particularly black candles are very bullish. When the first candle of a bullish engulfing pair has a long lower shadow - especially on high volume, the likelihood that a rally will occur is extremely high. I categorize candles with long lower shadows in four groups:
1.Hammers
2.Umbrellas
3.Potatomashers
4.Bottlerockets.
The length of the real body determines the classification. Bottlerockets seem to be the most bullish.
To this point, I've looked exclusively at the $NYA. I intend to look at every day from 1990 to 2003 to determine rules on how these patterns should be used. Here's an example:
[J13091037,Y]>
[J9960081,Y]>
[J13091037,Y]>
[J13091428,Y]>
Candlestick Epiphany
I spent a lot of time over the holiday studying candlesticks and discovered that the most commonly discussed patterns are pretty rare, while more common patterns that are seldomly discussed offer extremely valuable short term forecasting input.
The most common pattern I've found are contructed with just two candles and loosely fall into the category of engulfing candles. Bullish signals are given if:
A white candle is followed by a black candle where the real bodies are exactly (or almost exactly) the same and the close of the first candle is equal to the open of the second candle. I call this pair of candles "twins" and have use an "A" on the chart annotations.
The second variation differs only in that the close of the second, black candle is lower than the open of the first, white candle. To the purist, this isn't truly an engulfing candle because the close of the first candle is the same as the open of the black candle. I used a "B" to annotate these pairs.
Bearish patterns would be the exact opposite of the patterns described above. Note the emphasis on the length and location of the real bodies. I haven't noticed much significance in the length and location of shadows, EXCEPT at market bottoms.
Candles with long lower shadows, particularly black candles are very bullish. When the first candle of a bullish engulfing pair has a long lower shadow - especially on high volume, the likelihood that a rally will occur is extremely high. I categorize candles with long lower shadows in four groups:
1.Hammers
2.Umbrellas
3.Potatomashers
4.Bottlerockets.
The length of the real body determines the classification. Bottlerockets seem to be the most bullish.
To this point, I've looked exclusively at the $NYA. I intend to look at every day from 1990 to 2003 to determine rules on how these patterns should be used. Here's an example:
[J13091037,Y]>
[J9960081,Y]>
[J13091037,Y]>
[J13091428,Y]>
Augieboo, I agree with your analysis. Any sell-off is more likely to be an opportunity to buy than a test of last summer's lows.
Nasdaq Intermediate Index update:
Back into bullish territory today at +.47 (moderately bullish). Allocation now 60% Long, 40% Cash, 0% Short
Yep, but my short-term model has a long ways to go. Studing how to use candlesticks right now.
Augieboo, I think you might be expecting too much from VIX.
I'm looking at the book Research Driven Investor by Tim Hayes of Ned Davis Research, page 180. It shows a chart of VIX's eight-day smoothing / 64-day smoothing (log scale) from 4/23/86 to 3/30/00. Believe me, VIX didn't just start going whacky in the late nineties.
Here's how NDR uses VIX: "When the ratio of the index's eight-day smoothing to it's 64-day smoothing rises above the upper parameter (105), buy signals are generated. Sell signals are produced when the ratio drops below the lower parameter (85). Buy signals are stopped out by 11% declines.
Profitable Long Trades: 94%
Gain/Annum: 18.5%.
Buy and Hold Gain/Annum: 13.9%
I don't use VIX as a red and green trading system/indicator like NDR does. I prefer to use bollinger bands and PPO and don't get too hung up on specific ranges. What's important is to watch for reversals, not levels.
My VIX indicator:
LisaAu, here's how Fosback determines seasonally bullish days:
http://www.keystonefin.com/planseason.htm
In addition to Fosback's seasonality method, I assumed that these would be seasonally bearish in 2003:
May 12, 13, 19, 20
Sept 8, 9, 15, 16, 22, 23
October 13, 14, 20, 21, 27, 28
Why? May, September, and October are historically the weakest months of the year. Mondays and Tuesdays are the weakest days as long as they're not part of the month end/start.
Seasonally favorable days the rest of this year:
May 22, 23, 28, 29, 30
June 2, 3, 4, 5, 6, 26, 27, 30
July 1, 2, 3, 30, 31
August 1, 4, 5, 6, 7, 28, 29
Sept 2, 3, 4, 5, 30
October 1, 2, 3, 6, 7, 29, 30, 31
November 3, 4, 5, 6, 7, 25, 26, 28
December 1, 2, 3, 4, 5, 23, 24, 26, 30, 31
>He is still holding a 90% short position, which he may reduce if the market continues to move lower because it is such a large position.
So what's he going to do if the market moves higher? Hang himself?
Augieboo, I think you're right. I think we're gonna bounce around up here for a while. Look at the BPCOMPQ chart below during April and May of last year. Lot's of whipsawing at the top.
[J12871052,Y]>
>> the bears may be about to get whipsawed
augieboo, please explain - from this chart isn't apparent to me.
I thought the market says the same thing to everybody but we usually hear/intrepret it differently.
How large is a large sum of money?
True. Wish my 401K offered ProFunds.
Profunds requires a $15K minimum to open an account.
Good point. The $15K minimum is a big hurdle for me right now. I'm maxing out my 401K contribution and haven't been saving much outside of that.
Yep, but if the market makes a big or important intra-day move, you're kinda screwed with Profunds or Rydex.
Seems like commissions would be a bigger issue than margin interest.
So, is there any real difference between leveraged ProFunds and using margined ETFs? Seems like ETFs offer three advantages: More choices, intraday trading and no $15K minimum.
Thanks sallen. Looks like iShares covers the most. Wonder why they're split between DJ industry groups and Goldman Sachs indexes?