Friday, March 30, 2012

Dax trading setup 30.3.2012

Looks like continuing basket trade with CBK-DBK-HEI and also keeping short positions for Dax index. Potential long for BB Biotech setup coming on Monday. 

Dax indicators 29.3.2012

Dax futures are currently trading above 6940, which is nice with yesterday's trades. Indicators are currently very mixed depending on the time frame, so I should be careful not to take too much bearish or bullish outlook and concentrate only short term outlook.

Even some indicators are bearish mid term, it is hard to believe in any bigger correction before we get 52-week lows. Currently we are having zero lows. Another (and likely) possibility is that the stocks are currently so highly correlated, that this kind of behaviour isn't needed.

Dax Volume Index is giving a possibility to drop above 6500.

20 day highs-lows ratio is still on the bullish side.

Dax Cycles is a little bit bearish.

6974 is still an important resistance today, and if Dax manages to climb above it then climb above 7000 should bury bear's hopes (again). Although, today's low could be near 6868, but still above yesterday's low. If today is a strong up day, some of my reliable indicators will also turn from very oversold condition, thus indicating bullish Monday. We will see.

US money flow 29.3.2012

Money flow about to go positive?

Thursday, March 29, 2012

Dax intraday target

Dax intraday target met at 6895. Time to execute the trade.

Dax overreaction 29.3.2012

Currently 26 companies have higher RSI reading than the actual index, which usually indicates overreaction or short term bottom. The relation has been inversed in the graph below. Looks like a potential short term trade for CBK-DBK-HEI-basket.

Trade setup 29.3.2012

SHORT: BAYN if open > 52.93. Profit target 2.5% otherwise buy at close.

Dax indicators 28.3.2012

Yesterday's call for a rebound canceled. It is not wise to try catch a falling knife at this point. There are evidences that we will see lower lows and lower close ahead. 

Dax volume indicator trying to lead the prices down.

It is always bearish when Accumulation/Distribution falls into negative territory...

...combined with investor's reduced willingness to take risk it almost guaranteed that Dax will have lower close during next 5 days.   

Dax Cycle is trying to point down.

McClellan Summation Index is already bearish.

The most important level tomorrow is 6974 and 7050. Below those levels we remain bearish and keep 6600 as our 5 day target.

Today Dax could climb above 7000 (target 7016), but eventually fall below 6900 (target 6895).

US money flow 28.3.2012

S&P 500 rebounded from it's rising trend line. So, the bulls haven't given up yet.

Compared to above technical view, a strong negative money outflow would have a significant influence to market. 

Wednesday, March 28, 2012

Tomorrow's rebound

I missed the TecDax trade, but got out from all the open positions.

Tomorrow looks very promising for intra day long index or high beta stock trade. Beta Indicator felt below 50, which is bearish. Although, usually we have seen a rebound at this level, so the probability that tomorrow's close > today's close is 70%. The probability that tomorrow's close > tomorrow's open is even higher, 80%.

I will add some other indicators later.

TecDax trade setups 28.3.2012

Added ADV, BBZ and EUCA to my watch list. If TecDax has over 10 advancing stocks, then buy this basket at the market close and currently looking to sell all the other open positions.

Trade target

DAI profit target is 48.231. If target isn't met, sell at the close.

Dax indicators, trade and global market 27.3.2012

No clear direction. I hope today will confirm up or down.

There haven't been enough negative news lately to give a good reason to sell. But it is obvious that the market is in a state that bad news would be strong sell signal. MSI is very high and trying to point down. 

Dax Cycle hasn't decided wether to stay up, go down, or make a strong rebound and the fall. 

Investors seem to be buying more low beta stocks at the moment. 

Volume index is trying to go down ahead the prices.

Hang Seng hasn't been able to break above the declining trend line and Fibonacci at 21317. Break above  that level should bring the index to 23868, but if it fails then the target is 18740. 

Aud-Jpy hasn't been able to make new annual highs since last April: New highs would confirm the rise of global risk appetite. 

 Eur-Usd is also struggling below it's Fibonacci 1.34.

Low beta basket had another confirmation yesterday.

Trend Following system suggests staying in an uptrend above 7050.6.

BUY: DAI if open < 46.785.

US money flow 27.3.2012

Money outflow.

Tuesday, March 27, 2012

Potential low beta trade 27.3.2012

Low beta stocks are. DTE, FRE, RWE.

If advancing stocks >= 15, then buy the basket at close and close the long index position.

Dax indicators 27.3.2012

Dax still has negative divergence with indicators. Even the divegences haven't been working out lately, this should be treated with cautious.

Dax had two 52 week highs, which is a bullish signal. 

20 day cycle seems cautiously positive, even the latest performance hasn't been clear.

Dax Cycle Indicator is based on 2 month price behaviour. Nor does this indicator gives clear direction. 

Dax Volume Index has lately acted in unison with prices.

Today's index setup will be to close the long position with index at 7170 or near close and then take short position for two days.

Trade 27.3.2012

BUY: IFX, if open < previous close. Profit target 3.5% or sell at end of the day.

US money flow 26.3.2012

Negative money flow. Now it would be a good opportunity to take a short position for 2 days.

Dax 3 months performance

During 3 months, Index is up 20% while the best performing stock has gained 47.9% and the worst only 1.3%.

Monday, March 26, 2012

Trade rejected

High beta short trade was rejected. Only index long was confirmed. So far, the system has performed well.

A trade setup 26.3.2012

The setup signals possible shorting opportunity for high beta stocks CBK, DBK and HEI + long index. Need to confirm this near close.

The beta indicator has been rising, thus indicating investors appetite for risk.

New highs 26.3.2012

2 new 52 week highs with Deutsche Post and Henkel. The bullmarket shall continue.

US money flow 23.3.2012

Interestingly money outflow continues.

Trade setup 26.3.2012

BUY: MAN at close, if today's close > 98.45. Profit target for next day 1.3%, stop loss -0.9%.

Trade 26.3.2012

Sold Infineon Techno with 7.466. Trade statistics still look great!

Friday, March 23, 2012

Probability density function of portfolio returns

The overall picture of a trading system looks good so far. After I get more evidence of the superior performance, I will later try to open a few elements of the system. Here I have calculated a distribution of the trades and their impact to total portfolio. For comparison, there is Normal distribution and Dax distribution with 10% money management. 

US money flow 22.3.2012

Money outflow.

Index trade 22.3.2012

Closed the long position with DEL2 at 132.1.

Thursday, March 22, 2012

Trades 22.3.2012

BUY: ALV if close < 90.87, BAS if close < 66.007, CBK if close < 1.901, Profit Target 1.7%, Stop Loss -1.5%

Trade 22.3.2012

Bought DEL2 at price 131.42. Sell tomorrow at open.

US money flow 21.3.2012

US money flow negative, but still the prices stay high.

Wednesday, March 21, 2012

Trades 21.3.2012

BUY at close: IFX if close < 7.54, PT 1.6%, SL -1.5%
BUY at close: TKA if close < 19.981, PT 1.6%, SL -1.5%

BUY low beta basket, FME-FRE-BEI, if advancing stocks at the close > 20.

Dax indicators 20.3.2012

Dax still has a negative divergence with RSI and MACD, which could make momentum investors cautious. Break below 6970 would confirm the divergence and lead Dax to 6600. If Dax manages to stay high, 7400 maintains as an intermediate target.

Volume index has been rising and almost climbed above July highs. We need to watch this carefully for a hint of level 7400 for Dax.

Overbought - oversold indicator resisted it's normal inertia which would have taken Dax to lower levels. Now we are back in uptrend.

 Dax 20 day highs vs. lows also indicates uptrend.

McClellan Summation Index indicates uptrend.

The only negative indication is investor beta, which is currently indicating risk aversion even it is still above positive level 50.

Overview: We haven't had any major negative news issue lately, so remain cautiously positive and bullish biased.

US money flow 20.3.2012

A negative money flow.

Tuesday, March 20, 2012

Trade update 20.3.2012

Sell low-beta basket near close if today's advancing stocks < 8. Otherwise continue the trade.

Beta indicator indicator reveals, that the investors are currently selling high beta and buying low beta. This was already anticipated yesterday.

BUY: ADS if close < 58.775, BMW if close < 70,583. Profit target 1.6%, stop loss -1.5%. This trade has 91% success rate.

Dax indicators and performance 19.3.2012

On a daily basis, the banking sector over-performed clearly


18 stocks are less than -10% from their 52 week highs.

Volume index still has small negative divergence with prices, even the latest performance has been very strong.

The short term trend has been up and 20 day highs vs. lows confirms this. Still there is an indication that the investors are becoming more risk averse

Dax cycles has been pointing up, even the latest cycle down wasn't completed.