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| N/A |
So bad my data host crashed.
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| No Data |
Sunday, December 23, 2018
Sunday, December 16, 2018
Small Caps Encroaching on Bear Territory
This week the S&P, IWM, and NYSE established new pivot lows. IWM has now corrected ~18% closing in on the 20% bearish threshold.
NASDAQ Composite low from 4 weeks ago has held thus far but has broken below 15% again. Time heals all markets, and with earnings season 4 weeks away the market may continue to drag until stock specific catalyst renew participation.
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| SPY Weekly |
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| IWM |
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| NYSE |
NASDAQ Composite low from 4 weeks ago has held thus far but has broken below 15% again. Time heals all markets, and with earnings season 4 weeks away the market may continue to drag until stock specific catalyst renew participation.
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| COMPQ |
Friday, December 14, 2018
20 Years of T2107 and T2108
Today I decide to take notes of the monthly data for the percentage of NYSE stocks above their 40 and 200 period moving averages.
Using below 20 as the threshold, between 1998 and 2008 what stands out on a monthly perspective is the threshold for the percentage of stocks above their 40 period average was clipped three times. Each of these occurred during a significant market move to the downside. 1998 occurred during the pivot low for that correction. A bounce followed 2001 and established a pivot low but did not establish the market low for the entire correction. 2007 happened close to the all time high and was a prelude of things to come down the line.
Between 2008 to present there have been four dips below the 20 threshold. The 2009 dip sealed the market low. The 2010 flash crash period established another market low. The correction of 2015-2016 had a significant lag time before the market bottomed and resumed an uptrend. Recently there has been a dip below and it remains to be seen how this will play out. However, another dip below is looking like a strong possibility.
Since 1998, on a monthly perspective the percentage of stocks above their 200 period moving average has dipped below the 20 threshold six times. Three times this occurred during the bottom, and three times this occurred during the bottom process as price continued to drag and the markets continued lower.
Using these past occurrences as model to asses future probability, I expect there will be more downside in price. I'm also expecting this to last longer than historical average in duration. Moving forward, I'll be placing slightly less influence on how stocks above their 40 snap back as they've been shown to move between extended to the downside to the upside earlier than the market bottom. What I'll be more mindful of over the next few weeks is how deeply the number of stocks below their 200 moving period extend below the 20 threshold and how robust any snap back rallies are. The snap backs with velocity from below 20 have more closely aligned to turning points.
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| T2108 1998-2008 |
Using below 20 as the threshold, between 1998 and 2008 what stands out on a monthly perspective is the threshold for the percentage of stocks above their 40 period average was clipped three times. Each of these occurred during a significant market move to the downside. 1998 occurred during the pivot low for that correction. A bounce followed 2001 and established a pivot low but did not establish the market low for the entire correction. 2007 happened close to the all time high and was a prelude of things to come down the line.
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| T2108 2008-Present |
Between 2008 to present there have been four dips below the 20 threshold. The 2009 dip sealed the market low. The 2010 flash crash period established another market low. The correction of 2015-2016 had a significant lag time before the market bottomed and resumed an uptrend. Recently there has been a dip below and it remains to be seen how this will play out. However, another dip below is looking like a strong possibility.
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| T2107 1998-Present |
Since 1998, on a monthly perspective the percentage of stocks above their 200 period moving average has dipped below the 20 threshold six times. Three times this occurred during the bottom, and three times this occurred during the bottom process as price continued to drag and the markets continued lower.
Using these past occurrences as model to asses future probability, I expect there will be more downside in price. I'm also expecting this to last longer than historical average in duration. Moving forward, I'll be placing slightly less influence on how stocks above their 40 snap back as they've been shown to move between extended to the downside to the upside earlier than the market bottom. What I'll be more mindful of over the next few weeks is how deeply the number of stocks below their 200 moving period extend below the 20 threshold and how robust any snap back rallies are. The snap backs with velocity from below 20 have more closely aligned to turning points.
Thursday, December 13, 2018
Further Deterioration
Market breadth continues to deteriorate. If the recent past is any indication, a potential bounce may be on the horizon.
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| Market Breadth |
Sunday, December 9, 2018
Wide and Loose Range
General market indices have been trading in a wide and loose range for the past 6 weeks. The S&P is currently on week 5 without establishing a new closing low and has had a weekly close in the 10% pullback zone multiple times without breaking lower.
IWM has been hovering in the range of a 15% pullback and undercut it's previous low pivot point. 20% correction in small caps may be on the horizon.
The COMPQ was the first to undercut a key pivot low 2 weeks back and continues to hover in the range of 15%. This is a key pivot to observe as an undercut puts the index in 20% correction territory.
NYSE continues to hover between 10-15% but is close to undercutting a pivot low from 6 weeks back.
One thing I've been keeping in mind is the oft repeated quip, "When the cops raid the brothel, everyone gets arrested, even the piano player." Additionally there is the belief passed through the O'Neil books and practitioners that when the markets correct, leading stocks for the next up leg decouple. There are a number of stocks that have bucked the general market direction and continue to hold well through the volatility suggesting to me that until these break down I'll continue to be optimistic of upside continuation when things settle.
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| SPY |
IWM has been hovering in the range of a 15% pullback and undercut it's previous low pivot point. 20% correction in small caps may be on the horizon.
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| IWM |
The COMPQ was the first to undercut a key pivot low 2 weeks back and continues to hover in the range of 15%. This is a key pivot to observe as an undercut puts the index in 20% correction territory.
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| COMPQ |
NYSE continues to hover between 10-15% but is close to undercutting a pivot low from 6 weeks back.
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| NYSE |
One thing I've been keeping in mind is the oft repeated quip, "When the cops raid the brothel, everyone gets arrested, even the piano player." Additionally there is the belief passed through the O'Neil books and practitioners that when the markets correct, leading stocks for the next up leg decouple. There are a number of stocks that have bucked the general market direction and continue to hold well through the volatility suggesting to me that until these break down I'll continue to be optimistic of upside continuation when things settle.
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| TTD |
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| SEND |
Thursday, December 6, 2018
Top 40 Hits
Top 40 Stocks greater than $3 using anchored momentum from October 03, 2018
Top 40 IPOS grater than $3 using anchored momentum from October 03, 2018
Top 100 Stocks greater than $3 using anchored momentum From October 03, 2018
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| Top 40 Stocks |
Top 40 IPOS grater than $3 using anchored momentum from October 03, 2018
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| Top 40 IPO |
Top 100 Stocks greater than $3 using anchored momentum From October 03, 2018
GRTS ASNS AEZS PTI INTX NETE FLNT IMMY TSRO ESIO CYH PACB ALLK ANY AMSC TYME NTEC ARII HMHC SAVE ECYT CVON RHT ITG IDT BNFT EHTH ESL LRN GBT ICAD GNE CROX LTRPA ACIU SEND MITK TAHO VNDA VCYT JE LFVN CDXS ABCD INOV VIRT TVTY BKS HCCI CREE CALX VIVO BDSI SHEN LOCO VTR TRIP SCG USM KODK CRNT TSLA XBIT IMPV ARCO MPW BCRX ENSG MLNX LANC MKTX CBRL FNSR ADC WELL MNRO VCTR SSRM SCWX CZZ NSA ARRS SBUX UA CRAY RUBI TR BIOS RH TREE FEYE HCP MDB ENPH DATA CTB TWLO DENN DIN VCEL
Wednesday, November 28, 2018
Modified Darvas Box: LRN
One of the gems I took from Darvas and Daryl Guppy's continuation of his work is the concept of a modified Darvas box. I focus not on the original concept but a version where price consolidates between the high and low of a significant price bar. I wait for a period of price contraction, preferably in the upper range before setting anticipation or break out triggers. One pattern that stands out right now is LRN.
Sometimes a stocks past characteristics can lead us to clues about it's future potential. LRN has had similar patterns in it's recent past. I've already drawn up my plan of action for this over the weekend and just waiting to see if I'm priced in or not.
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| LRN |
Sometimes a stocks past characteristics can lead us to clues about it's future potential. LRN has had similar patterns in it's recent past. I've already drawn up my plan of action for this over the weekend and just waiting to see if I'm priced in or not.
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| Plan of Action |
Sunday, November 25, 2018
Weekend Review: 11/23/2018
Between 1980 and 2018, the U.S. markets experienced 36 corrections. During this time, the S&P 500 had fallen by an average of 15.6 percent. Ten of these corrections resulted in bear markets, which are generally indicators of economic downturns. The others remained or transitioned back into bull markets which are generally indicators of economic growth and stability.
The average market correction is short-lived and lasts anywhere between three and four months.
Investopediahttps://www.investopedia.com/terms/c/correction.asp
Using the week ending October 5th as a start date, the general market averages have corrected ~15% across the board with a duration of 2 months. Should the market continue in corrective mode within its average range and duration, over the next few weeks some stabilization in the underlying structure of stocks should be expected. Coupled with the next two months having a positive bias it's my perspective to begin focusing on the positives.
Recently the Nasdaq Composite undercut a key pivot low established earlier in this month. The price action did not look like a capitulation type shakeout which is not unexpected given that it occurred over a holiday shortened week. With a full week of trading ahead, I'll be observing whether this low is undercut with volume or a second index such as the S&P undercut their pivot low.
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| COMPQ WEEKLY |
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| SPY WEEKLY |
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| NYSE WEEKLY |
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| IWM WEEKLY |
Stocks above their 40-50 period moving averages are extended to levels infrequently witnessed.
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| T2018 |
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| $NAA50R |
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| $SPXA50R |
Stocks decreasingly making new lows across multiple timeframes.
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| One Month Lows |
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| Three Month Lows |
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| Six Month Lows |
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| $USHL5 |
Percentage of stocks making moves of 25% over a quarter at 2 year lows. This correction has clipped stocks across the spectrum leaving few untouched.
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| Trading Universe Up/Down 25% |
The magnitude of downside moves over a six week period has stabilized.
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| Stocks Down 13%+ Over Six Weeks |
Damage to stocks has been sweeping during this correction. Time will tell if this becomes a full blown bear market for stocks or just a near annual 15% correction over 3 to 4 month period. To me, when stocks extend breadth to the downside with levels that are rarely seen it is time to begin to accumulate the positives. Extended breadth to the downside indicates that the balance of probability lay with the upside, but this is not a certainty. Having a filter of how stocks are expected to act over our time horizon helps confirm alignment.
My expectation is that at some point a broader number of stocks will show patterns and characteristics that meet my set up criteria, a broader number will begin to populate momentum scans, and a broader number of stocks will move my historical norm over my average holding period. The market will either confirm this over the next 4 weeks or not.
Tuesday, November 20, 2018
Improving Execution and Consistency Through Habits
As a tournament chess player there are a number of openings I know up to a depth of 20 moves. When playing blitz I can rattle these by route in seconds with little to no thought. I have a level of competence that allows me to do this with confidence consistently and repeatedly. In trading things aren't so black and white, but the ability to execute consistently without hesitation remains true. In order to improve my execution I've looked at a number of different techniques, but one I've found most useful is filtering my trading plan through a habit.
Recently, while the market has been in a corrective mode, I've returned to a trading idea that I couldn't make work but now believe I can. As with any setup I had to clearly define the parameters of vehicle selection, entry, stop, and exit. The first thing I do is write them down as clearly and concisely as possible.
Once I have my setup defined I turn to this diagram to assist me in filtering.
This is a position I know very well and have played thousands of games from. I can execute this blindfolded. In order to improve execution and consistency in my trading I've experimented with transferring this habitual knowledge into habitual trading. To do so I structure my trading plan as chess moves.
The key for me is to chunk a couple bullet point concepts within each move as opposed to drawing out each step. If bullet points get up to 5 I'll place the next steps under a different move. Crucially I look to avoid going too deep into an opening where there are 5 to 6 moves with 5 bullet points each. Reaching 25 to 30 steps in the process informs me to prune back the tree.
The steps exemplified:
Recently, while the market has been in a corrective mode, I've returned to a trading idea that I couldn't make work but now believe I can. As with any setup I had to clearly define the parameters of vehicle selection, entry, stop, and exit. The first thing I do is write them down as clearly and concisely as possible.
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| Setup |
Once I have my setup defined I turn to this diagram to assist me in filtering.
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| French Defense |
This is a position I know very well and have played thousands of games from. I can execute this blindfolded. In order to improve execution and consistency in my trading I've experimented with transferring this habitual knowledge into habitual trading. To do so I structure my trading plan as chess moves.
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| Trading Moves |
The key for me is to chunk a couple bullet point concepts within each move as opposed to drawing out each step. If bullet points get up to 5 I'll place the next steps under a different move. Crucially I look to avoid going too deep into an opening where there are 5 to 6 moves with 5 bullet points each. Reaching 25 to 30 steps in the process informs me to prune back the tree.
The steps exemplified:
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| Find High AH Volume |
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| Catalyst |
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| URBN Trade |
Monday, November 19, 2018
Trade the Plan
Over the weekend there were a number of setups that I found and set alerts for. Usually within the first 30 minutes of the market open I have a decent gauge of how the day is going to go for me. If they trigger in bunches I will frequently be on the correct side of the order flow for my time frame. If there are few to none that trigger I know the probabilities are not on my side.
Today there were a couple that triggered then reversed hard. Additionally stocks I was stalking had break downs from patterns I view as constructive.
When markets move in my favor I've noted that sloppiness can creep in and the daily process gets neglected. When everything is working, what is there to plan? Current market structure is a healthy reminder that under every and all circumstances having a clearly defined plan of action mitigates damage, but just as importantly improves consistency during upswings.
Today there were a couple that triggered then reversed hard. Additionally stocks I was stalking had break downs from patterns I view as constructive.
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| ELF Breakdown |
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| GH Breakdown |
When markets move in my favor I've noted that sloppiness can creep in and the daily process gets neglected. When everything is working, what is there to plan? Current market structure is a healthy reminder that under every and all circumstances having a clearly defined plan of action mitigates damage, but just as importantly improves consistency during upswings.
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| Trading Plan |
Saturday, November 17, 2018
#STUDY Gap and Crap, Gap and Go
A pattern worth watching is when a stock hits its historical low and churns over on gigantic volume which I loosely define as a turn over of float or close to it. This is the gap and crap capitulation part of the pattern. The follow up is the gap and go which signals the stock has undergone a change of character.
One recent stock of note is ELF with a float of 18M, 13M of which turned over at the historical low price during the week of August 10th. 50% of the float turned over on the day of the gap down.
On the daily chart the magnitude of the gap down is more clearly pronounced. After the gap there was a sharp rebound followed by a pullback before a gap up on large volume. The gap low has held and price action tightens. This signals the gap and go part of the pattern.
Besides the backdrop of the overall pattern, the current price structure is exhibiting characteristics of a high probability upside breakout and continuation. I tend to laser in on stocks that are within 2% of their 10 day average price, print a narrow range day, and have the lowest volume over a 10 day period. While this trade is in my wheelhouse, the drag of the overall market makes me circumspect.
One recent stock of note is ELF with a float of 18M, 13M of which turned over at the historical low price during the week of August 10th. 50% of the float turned over on the day of the gap down.
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| ELF WEEKLY |
On the daily chart the magnitude of the gap down is more clearly pronounced. After the gap there was a sharp rebound followed by a pullback before a gap up on large volume. The gap low has held and price action tightens. This signals the gap and go part of the pattern.
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| ELF DAILY |
Besides the backdrop of the overall pattern, the current price structure is exhibiting characteristics of a high probability upside breakout and continuation. I tend to laser in on stocks that are within 2% of their 10 day average price, print a narrow range day, and have the lowest volume over a 10 day period. While this trade is in my wheelhouse, the drag of the overall market makes me circumspect.
#STUDY Data Driven Trade Idea Part 2
In a previous post I discussed uncorking a trading idea that I shelved for an extended period of time in order to see if my present self could trade what my previous self could not. In order to test my beliefs I executed the original concept with one tweak over a series of trades and collected pertinent data points to make further adjustments and refinements as necessary.
What I found out from this experiment is that I could execute the system with consistency. That the system as implemented resulted in neither gains nor losses. Making a tweak to the parameters of the system turned it from break even to profitable and that to exploit my edge this is where I would address the shortcomings over the next sample size. In addition I noted that there were a few data points that would help future iterations so I adjusted my spreadsheet to document them.
Unlike the first series I failed slightly in the consistency department. Immediately I botched the first few trades as I was still adjusting to the timing and the mechanics. I ended up choking off trades too quickly resulting in missing a significant portion of the move on two of the most profitable positions within my sample size. Additionally, I was slow to react on a number of signals and was forced to set time aside to investigate my trading software to improve efficiency of execution. With the initial hiccups out of the way the results are in.
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| First Trail Run |
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| Second Trail Run |
With a simple adjustment of adding a trailing stop instead of closing out the position in the last half hour of the trading day a break even system became a profitable system. Knowing that a simple adjustment to the execution of the first sample size would have made it profitable and then executing that over another sample with consistent results, win/loss, and stops gives me greater confidence in continuing with this.
Over the next trial run the refinement to the system will be focused on a proper position size algorithm for each trade. As I'm only willing to tweak one parameter per run I'll look to first increase size while maintaining the current stop. Currently I am using a fixed position size and stop loss regardless of price and to improve profitability trading a $4 stock the same as a $40 stock is inefficient and wasted opportunity cost.
Friday, November 9, 2018
#Study Top 25 Stocks YTD
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| AFMD |
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| ARWR |
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| ATTU |
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| CDNA |
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| CSBR |
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| CRTC |
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| ECYT |
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| HEAR |
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| I |
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| NFEC |
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| NIHD |
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| OPRX |
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| PACB |
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| PED |
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| PRQR |
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| RFIL |
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| SHSP |
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| SSTI |
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| STAA |
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| TNDM |
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| TPNL |
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| TWLO |
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