Wednesday, August 31, 2011

Dax monthly seasonality

Investors waiting September anxiously


Historically September has been the worst performing and the most volatile month of the year for Dax.


Month Prob. Average % Median % Stdev
All 59,04 % 0,75 % 1,13 % 6,28 %
1 57,14 % 0,23 % 1,73 % 5,92 %
2 52,38 % 0,67 % 0,14 % 5,87 %
3 42,86 % 0,56 % -0,04 % 4,89 %
4 76,19 % 3,88 % 3,33 % 6,68 %
5 57,14 % 0,66 % 1,38 % 4,54 %
6 52,38 % 0,04 % 0,02 % 4,76 %
7 52,38 % 1,05 % 0,01 % 7,23 %
8 52,38 % -2,26 % 0,35 % 7,29 %
9 40,00 % -3,12 % -2,29 % 8,03 %
10 70,00 % 2,07 % 2,49 % 6,69 %
11 70,00 % 2,29 % 3,47 % 4,80 %
12 85,71 % 2,89 % 3,01 % 5,63 %


Tuesday, August 30, 2011

Dax long term update

Dax long term picture negative



Dax indicators 29.8.2011

Looks like a turning point


Our oversold indicator reached extreme level, that was not seen even during the 2008 financial crisis turmoil. Anyway, the underlying indicator is showing a little improvement as can be seen from the picture below. At this point, we are expecting the law of inertia to bring the condition for supply and demand to "balanced" level. Before we reach the level, Dax has two options: to consolidate or reach higher level. We are expecting the latter to happen.
 20-day highs versus lows showing improvement. As can be seen, the conditions was very abnormal when above indicator (orange line) reached it's minimum point.
 Normalised TRIN made surged nicely to positive levels which is needed to achive higher levels for the underlying index. 
 Ok, the volume hasn't accumulated yet. This would be, the last confirmation for (mid-term) bulls.
Overall the situation looks very promising for bulls. The market could turn into positive before earnings report. The risk/reward for long positions looks very promising at these levels.

Tuesday, August 16, 2011

On vacation

The office is closed. Back in normal schedule 24.8.2011

Saturday, August 6, 2011

Dax long term

I still believe, that there could be a rebound to 6500-6700 before more selling.
 At least my earlier statistics support this view.

Dax 5.8.2011 high volume with some support

Lower stock prices seemed to interest investors as the volume surged almost to the highest level during this bull market.
Previously I wrote that the volume index hasn't confirmed the lower prices yet, but eventually this happened.
Interestingly, McClellan Indicator fell to even lower level than during the bear market 2008-2009...
Since TRIN turned positive, we could believe that some buyers are awakening, and thus, bears are becoming weaker.
Volume-based cumulative accumulation/distribution based on stock volumes also peaked into positive territory, so this suggests rebound.




Dax oversold/overbought indicator calculates supply (green) and demand (red). The sellers have pushed the red line almost too high, so within a week we should see a rebound.
Quite quickly, there are 9 stocks that made 52-week lows last friday. As you may notice, previously this happened 28.1.2008, 23.7.2008 and during Lehmann collapse. Even during the capitulation and the lowest index level in March 2009 we didn't get as many 52-week lows.

Friday, August 5, 2011

Dax long term

This situation reminds me of January 2008

all Dax stocks below MA(50)


100% of Dax30 stocks are currently trading below SMA(50). Previously this happened during Lehmann collapse and January 2009 capitulation. Interesting and exceptional.

Statistics about Dax down more than -15% from previous week's high

During this week Dax has dropped more than -15% from previous week's high.

In history we have seen such drops mostly in bear markets, but there have been few cases also during bull market as you can see from a picture above.

I wanted to find out if bulls have had any edge following this kind of crazy weeks.

Statistically next week's have been looking like following for bulls:



1 week 2 week 3 week 4 week
median -0,99 % 4,32 % 6,37 % 5,06 %
average 1,99 % 2,84 % 4,59 % 3,88 %
probability 47,62 % 61,90 % 76,19 % 61,90 %
max 16,12 % 18,50 % 22,12 % 21,40 %
min -10,16 % -12,05 % -17,25 % -22,12 %

The probability for rebound is not very promising even the averages and medians seem very high. If see any rebound, we should mostly expect it during the next 3 weeks. After 3 weeks, the bulls have lost the edge.

Next we want to know where the next week's high have been according to this week's close.



   high
median 6,31 %
average 7,58 %
probability 95,24 %
max 18,47 %
min -0,28 %

The same statistics for low compared to this week's close.


low
median -4,67 %
average -4,71 %
probability 85,71 %
max 2,38 %
min -16,04 %


Statistics for possible lower low:



       low
median 2,96 %
average 2,15 %
probability 38,10 %
max 16,95 %
min -14,01 %


According to history, lower low has only 38,1% succeed rate. It shouldn't surprise to see strong rebound, but it looks like very volatile next week. I would buy speculative longs from these levels.

Dax 4.8.2011

Extreme condition


27 of 30 dax stocks are trading their 20-day lows. We haven't seen greater amount than this, so we expect a pullback of some kind.
Accumulation/Distribution reveals very very oversold condition. In history, we have seen quite strong short term rebound from such state.
Our own dax indicator also reveals very high oversold condition which we have seen previously during 2008 bear market. We could see +5-10% rebound during next 2 months.
Trin SMA(10) reveals interestingly weakening down-trend.
16 of 30 stocks are trading better than the underlying index. We are expecting a tradable bottom soon.
Cumulated volume index hasn't made new lows even the price index has.

Thursday, August 4, 2011

Dax 3.8.2011

Individual stocks 1-year performance seems controversial.













Accumulation/Distribution based on the individual stock performance of underlying index suggests very oversold condition.













Another volume based index, Arms Index a.k.a. TRIN, also reveals very oversold condition.













Over 80% of dax companies are trading near their 20-day lows. This suggests good opportinity to short term rebound, or that the short term bottom is near.