Thursday, February 9, 2012

Dax indicators 9.2.2012

The market has become more risk averse

Again, all the stocks have positive performance during the last 20 days. Commerzbank has been leading the way up.

...And as you can see, very seldom all the stocks have positive 20 day performance. So, investors hasn't been caring too much what they are buying, or they have been buying higher beta .

Dax cycles indicator reached all time high. Cannot fight with the market. Overbought condition can be very prolonged period until it ends.

McClellan summation index has also been leading the way up. If we would want to see this indicator turning bearish, we would need the day to close with 11 stocks positive and 19 negative.

There is a small negative divergence with volume index and price index (Dax).

Here is one indicator to measure how the market positions itself towards risk. I have calculated which 10 stocks get the most of the volume. This would get approximately 70-75% of  the volume behind all the Dax stocks. Then market beta has been calculated from the basket of these 10 stocks. When this indicator is above 1 and rising, the market is willing to take more risk and vice versa. Currently the beta is decreasing, so the market is not willing to take any more risk and thus expected to become more risk averse. At this condition the market will also react stronger on negative news.

Also, the index made new 52 week high, but none of the stocks actually hasn't been able to reach new highs (currently still 1,5 hours to close).