NDX analysis (raw data)

NDX

Control
Dates tested 11/1/85-1/19/06
5100 days

ALL DAYS
average (geometric) day close-close: 1.000394899, annualized=1.104612842
average (geometric) day open-close: 1.000474181, annualized=1.126894129

UP DAYS
2767 up days, average (geometric) up day: 1.012163298, average (geo) open-close: 1.011220281

7 unchanged

DOWN DAYS
2326 dwn days , average (geometric) dn day: 0.986574, average (geo) open-close 0.987849271


TEST 1:
open>10av + open>25av=buy/LONG
open<10av 25av="sell/SHORT" style="font-weight: bold;">average (geometric) day open-close: 1.000474181, annualized=4.409174555
average (geometric) day close-close: 1.005905015, annualized= 4.782538694
average (geometric) day open-close, t+1: 0.999734344, annualized= 0.935238052
average (geometric) day close-close, t+1: 1.000488097, annualized=1.130850908

SHORT DAYS
1657 days
average (geometric) day open-close: 0.992549026, annualized= 0.151878331
average (geometric) day close-close: 0.991637957, annualized= 0.120501317
average (geometric) day open-close, t+1: 1.000199251, annualized= 1.051487913
average (geometric) day close-close, t+1: 1.000538194, annualized=1.145210538

open>10av + open<25av style="font-weight: bold;">average (geometric) day open-close: 1.00862287, annualized= 8.702829083
average (geometric) day close-close: 1.002430053, annualized= 1.843434579
average (geometric) day open-close, t+1: 0.999928077, annualized= 0.982038029
average (geometric) day close-close, t+1: 0.999837843, annualized= 0.959956879

open<10av>25av (pullback)
PULLBACK DAYS
548 days
average (geometric) day open-close: 0.992026095, annualized= 0.132990386
average (geometric) day close-close: 0.997915265, annualized= 0.591022317
average (geometric) day open-close, t+1: 1.000023448, annualized= 1.005926269
average (geometric) day close-close, t+1: 1.000087631, annualized= 1.022327634


TEST 2:
open>10av + open>mid-long=buy/LONG
open<10av + open less than mid-short = SHORT
average (geometric) day open-close: 1.00400494, annualized= 2.738003965
average (geometric) day close-close: 1.004314118, annualized= 2.958905159
average (geometric) day open-close, t+1: 0.999687129, annualized= 0.924173161
average (geometric) day close-close, t+1: 1.000323901, annualized= 1.08503226

SHORT DAYS
124 days
average (geometric) day open-close: 1.002427383, annualized= 1.842197844
average (geometric) day close-close: 0.985909222, annualized= 0.027983764
average (geometric) day open-close, t+1: 1.001880406, annualized= 1.605471365
average (geometric) day close-close, t+1: 1.003327909, annualized= 2.309984195

open>10av + mid-long>open>mid-short
UPTREND-CHURN
699 days
average (geometric) day open-close: 0.989421713, annualized= 0.068568088
average (geometric) day close-close: 1.002430053, annualized= 1.843434579
average (geometric) day open-close, t+1: 0.999928077, annualized= 0.982038029
average (geometric) day close-close, t+1: 0.999837843, annualized= 0.959956879

open<10av>mid-long (pullback)
PULLBACK DAYS
273 days
average (geometric) day open-close: 1.016664303, annualized= 64.37968679
average (geometric) day close-close: 1.016619415, annualized= 63.66732958
average (geometric) day open-close, t+1: 0.999949644, annualized= 0.987390261
average (geometric) day close-close, t+1: 1.002095675, annualized= 1.694787798

DOWNTREND-CHURN
1800 days
average (geometric) day open-close: 0.997907529, annualized= 0.589868784
average (geometric) day close-close: 0.998124239, annualized= 0.623045515
average (geometric) day open-close, t+1: 1.00006199, annualized= 1.015743595
average (geometric) day close-close, t+1: 1.000776697, annualized= 1.216103114

TEST 2A

open>mid-long=buy/LONG + PULLBACK
ALL OTHERS

LONG+PULLBACK DAYS
2477 days
average (geometric) day open-close: 1.005392413, annualized= 3.877681347
average (geometric) day close-close: 1.005662997, annualized= 4.149756693
average (geometric) day open-close, t+1: 0.999716059, annualized= 0.930937241
average (geometric) day close-close, t+1: 1.000519021, annualized= 1.139693536

SHORT DAYS
2623 days
average (geometric) day open-close: 0.995851795, annualized= 0.350805992
average (geometric) day close-close: 0.995445368, annualized= 0.316513607
average (geometric) day open-close, t+1: 1.000112816, annualized= 1.028836054
average (geometric) day close-close, t+1: 1.000263094, annualized= 1.068537589

To be a fly on that wall...

[Scene: Somewhere in Georgetown]

***rrring, rrring***

Greenspan: This is Alan.

Bernanke: Alan, it's Ben....how's your weekend so far?

Greenspan: Pretty good....Andrea and I are going to a charity event this weekend, but otherwise it'll be quiet. Still busy cleaning out my desk.

Bernanke: That's good. I just spoke with Tim Geithner about this week's events. His people in New York have been monitoring the situations and are on top of everything. As we discussed, Tim's prepared to inject some liquidity into the system Monday if needed. But, we don't think that the situation will get out of hand. I'll keep you up to date.

Greenspan: Sounds good. Have a good weekend.

***click***

Has this conversation taken place? Will Monday bring a sharp bounce back? What then?

Can't we all just get along....

Candidate 2 to explain today's implosion: Iran/geopolitics.

Word is that Iran is liquidating its assets held in US-friendly countries. Not good, and may explain alot as even gold is falling today.

More to come:

I think I'm turning Japanese.....

With the massive bout of selling today, it begs the question...is the selling today related to Livedoor/this week's Nikkei implosion? Is there some institution out there that had to sell today because of liquidity issues? If yes, look for a bounce back Friday afternoon or Monday morning.

The stage has been set.

Obviously, those who maintain a bearish outlook for 2006 have sold into yesterday's rally and/or established shorts/short hedges. Now is the time for the bulls' counter-rally.

The side that wins this area of congestion ($compx 2270-2330) likely will dominate for the quarter.

Seeking balance in the force.

The QQQQ has moved down 2 std. deviations away from its 10-day average vis-a-vis the SPY. Historically, this movement marks a short-term bottom in the QQQQ. Will this time be similar?

If you come to a fork in the road, take it.

XLE is at an all-time high vis-a-vis XLK. Breakout or push back?

Breakouts all over the place....who has the clearasil?

Expansion of new highs, $osx breaking out.

Where for art thou, multiple expansion?

Much has been written about the lack of multiple expansion during the recent bull run since the '02 lows. A comparable"lack of multiple expansion" exists with the oil patch/$osx.



Notice how $osx was much higher in the past when oil was in the $10-$30 range. Will 2006 be the year that $osx approaches its old highs vis-a-vis crude oil? If yes, Cramer is right....buy the drillers.

Sector Rotation?

Selling in the energy sector. Will the proceeds be moved into XLK?

Playing Gaps

With the earnings misses by YHOO and INTC, both stocks and QQQQ/SPY/IWM and many NDX stocks will gap down. Look for a reversal off 9.30am-10.30am lows by many individual names, likely to include INTC and YHOO. For more information see J. Altucher's How to Trade Like a Hedge Fund.

USA, USA....

If you're bearish....despite the recent rally, the US market still underperforms when measured against emerging markets. Not good and does not bode well for the longevity of the rally. Need a regional rotation away from emerging markets into the US for the rally to continue long-term.

Peroxide + Beauty = $$$$$????

If your fund manager can't do better than a playmate, serious questions should be raised.

Market Overview: 06-01-18 Wednesday

First test of 06 rally due today (Wednesday), as market faces disappointments from YHOO INTC. Strength of rally depends on resilience of dip buyers. Energy momentum still holding. $xau, EEM, $sox momentum weakening. $xau reversed intraday on Tuesday (1/17). Will buyers enter the $xau dip? Metals/Steel look resilient.

Potential value among tanker sector. Possible blow-off top in TIE if new high is made.

Key levels:
$compx: 2294, beneath which = short-term bearish, congestion, directionless.
$compx-tlt: 25.02, recapture = short-term bullish. Currently, below 25.02 = short-term bearish
xle: 53.56, bullish
$xng: 414.45, bullish in breakout
$sox: 516.2, looks to break into short-term bearish territory.
canaries index: at 10d average
high beta index: below 10d average.
intellidex-bear index: at 10d average, losing momentum
$gold: losing momentum, negative divergence
DJ Internet index: below 10d av.


$osx:$sox ratio: favoring $osx, potentially breakout
$osx:$xau ratio: marginally favoring $osx.

Market Overview: 06-01-17 Tuesday

Upward momentum decreasing. Energy momentum still holding. $xau, EEM, $sox monemtum weakening.

Key levels:
$compx: 2284, beneath which = congestion, directionless.
$compx-tlt: 24.9
xle: 53.05
$xng: 411.6
$sox: 512.2

$osx:$sox ratio: favoring $osx, marginally