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Tuesday, August 18, 2009

08/18/2009 After Bell Quick Summary

For quite a few reasons I expect a red close tomorrow, not very sure though.

As usual, here is a simple statistics to support my speculation: Whenever ISEE Index closed below 100, 64% chances recently a red close the next day.


Yes, I’m aware that a VIX buy signal was triggered today, just after careful study the recent chart, I don’t see edges for following VIX buy signal, at least it didn’t guarantee a green close the next day. See charts below, GREEN vertical lines, where dashed lines are considered as bad trade while solid lines are good trade. The winning rate, well, see for yourself, seems no need to count them.

VIXTradingSignalsBB VIXTradingSignalsENV10


  1. Good. I am always looking for your end of day post to load positions AH. I bought DUG AH! Thanks!

  2. Cobra what about cpce and cpc?

    They aren't confirming the red close for tommorow.

  3. They don't say anything about tomorrow either.

  4. but i thought if cpce was bigger than .56..

    meant a green close the next day no ?

  5. I bought DIG! Yeah ~~

  6. Looks like GS is going to push the market higher tomorrow!

  7. NDX bounce off the lower Bollinger today. Based on prior reaction in this uptrend, I say we go higher. Bands are tighter now than in recent past, so it will be a violent move either way.

    Based on the $cpc the last 3 days, the herd has been loading up on puts. I don't think the MM's will allow put buyer's to profit in here. My 2 cents.$CPC&p=DAILY&b=5&g=0&id=p15474551250

  8. Hi Cobra,

    The BB in itself may not be that effective, but have a look at when the VIX closes above it's upper BB and deviates 10% from it's 10MA (i have some tables on my blog listing 3 of the VIX buys from yesterday (not sure if its ok to link here). Since we closed higher today, i think those are no longer in effect(at least from the 1 to 3 day timeframe).

    The ISEE signals are interesting. I was not aware of that until you mentioned it. is it available for download by chance?

    thanks much.

  9. i am guessing it's all a crapshoot and some people will lose money tomorrow in favor of those who make it. seriously, how can you make any investment decisions based on historical probabilities that skew a few percent north or south of "indeterminate" depending on the most recent measure? i'm not saying this stuff isn't valuable -- hell, i've been reading this blog religiously for months -- but you have to be able to see the forest through the trees.

  10. Today CPCI closed at 1.43, CPCE closed at 0.63, and CPC closed at 0.93. CPCE < 0.56 Bear have hope. But CPCI is not above 1.55. I guess today's number of CPCI, CPCE, and CPC means nothing for green or red tomorrow.

  11. pjj16, you're right, but the Quick Summary's purpse is to guess tomorrow's up and down only so that people can adjust the position in AH. I have another report at night to try "the forest".

  12. Small Fish, thanks for the info, but are you sure you get the right data? For example, 7/14/2009 and 7/17/2009 VIX were not above MA10 10%.

  13. Hi Cobra,
    Sorry bout' the confusion. I think you may be looking at the first table. There are 3 tables in that blog entry.

    Table 1: VIX closed 10% above it's 10MA

    Table 2: VIX closed 10% above it's 10M AND closed above it's upper BB(20,2)

    Table 3: VIX made a 10% up move in a SINGLE day.

    Sorry bout' the confusion. Still getting used to dealing with tables in blogs..seems difficult at times to properly format them nicely. I also realize i did not post the dates on the 2nd table. I will correct that.

  14. But even in table 1, VIX wasn't closed 10% above it's MA10 on 7/14 and 7/17. And 7/7 is actually wrong, should be 7/8. You can check my chart, there're not so many cases in July VIX closed ENV(10,10). By the way, ENV(10,10) = Close 10% above MA10.

  15. My logic is, if the 1st table is wrong then the other table could be wrong too.

  16. Actually you are correct. I thought you thinking the first table may be the one where the VIX closed with above it's upper BB.

    i see what you are referring to now. i am using the absolute deviation, which is returning both a positive and negative 10% deviation. the results with that'error' is actually a bit suprising - as it indicates negative 10% deviation tend to be ST bullish as well. hmmm...

    I will correct. The results appear to be as bullish if not more when i use just the positive deviation from the 10MA. Thanks for pointing this out.

  17. Small Fish, you've got the point: VIX ENV10 oversold is actually bullish while ENV10 overbought is actually bearish!

  18. Cobra, but in this case, using a criteria where we take both the positive and negative deviation shows pertty much the same bias. In other words, as odd as it seems, IN THE LAST YEAR, regardless of whether the vix closed above or below it's 10MA by 10%, it tended to produce a positive return within 3 days.

    So..for instance, when i made the adjustment to only filter for positive divergence, 14 negative divergence dates were filtered OUT. Looking at those 14 dates separately, They showed the similar probabilities (11/14 produced a positive return within 3 days) as the positive divergence only dates.

    I believe what this underscores is that in strong bull rulls, technicals as well as statistics are more likely to fail and during those times, we have to assume a more definsive posture with our studies.

  19. that should probably read "technicals or statistics" that attempt to fight the prevail theme at that time, are likely to fail.



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