This indicator, designed to delineate the long-term trend, may have finally escaped months of whip-saw action.
Note that the blue line (ROC252) is elevated farther above the red line (ROC5) than it has been in over 7 months.
Backtesting this indicator over all SPY history returns an annualized gain of 11.56%. If traded long only, it returns an annualized gain of 9.13% with a maximum drawdown of -19%.
Below is the equity curve of the indicator trading only the long signals.
It may be hard to believe, but we could be witnessing the start of a long bull market.
If you believe Armstrong’s global business cycle prediction, then it looks like a bull run til 2015 with a small dip in 2013.
Interesting. I’ll check it out.
Thanks for the update, good info.
Based on your chart (in October I think)showing previous flip-flopping, very possibly it’s similar to 1995 and 2003 when the indicator finally made up its mind and the market just kept going up. We shall see.
Yes, once the 252 is safely above the 5, it tends to stay that way for years.
Wood, you seem to be the screen/systems trader of the site, is there a way to screen for ETNs/ETFs that have significantly diverged from their NAV? Would be nice to find the next TVIX short or get on the other side of it… Or perhaps take a more conservative approach of a pairs trade (such as long VXX short TVIX at 2/1 ratio).
ETFConnect.com (and probably other sites) has a screen for this. But having bought several ETFs with discounts over 12% that just continued to diverge from the NAV, I would not put much faith in this strategy unless you think there is a catalyst. (The best catalyst is a conversion from the ETF structure to a mutual fund, or a buyout.) In the TVIX case, there were other similar products that were not trading at large premiums to NAV. As you mention, this suggests a pairs trade is a good approach. Might be worth looking into.
Apparently TVIX was hard to short, or something like that, which allowed the premium to explode.
Fucking interesting shit, Wood. Thanks. Looks like we may have a bunch of gorilla cocaine rallies just ahead. Is it 1985 again?
Zombie, wouldn’t that be nice? I mean we’ve been in a bear since since 2000. With the average bear last about 17 years, maybe we’ll get out of this one earlier.
By the way, how about Michonne?
Would be very nice indeud, Wood. I promise I’ll Netflix that show for this weekend. I’ve been putting it off for too long. Please tell me it’s Rated R violence. BTW, who the fuck is dropping negative karma on everyone at this hour? WTF?
Z, man, you’ve got to watch. 2nd season started slow but finished hot. Not Rated R as it is on AMC. Seriously, start with season 1 and you’ll be hooked. Its not perfect, but it is well worth burning up a few weekend nights watching. If they are dropping negative karma at this hour, likely some out-of-work liberal.
HA. Ok cool. Will seriously check that out. I’ll have to do what I did to get caught up on Dexter after I first got hooked with Season 1 episode 4–18 episodes in one weekend. Almost 2 full seasons. Awesome marathon.
honestly the only real reason i can find trading above 1500 is inflation will support the stocks and let them melt up and of course if aapl will keep making 50B every year
i just don’t get the growth story in the world but once again who do i know about economics?
not bearish or anything at least not yet =p
Correct me if I’m wrong, but with the rampant inflation going we will prob. see a bull market in nominal terms but not in real terms. The market itself may become a hedge on inflation.
yup u r right and that what i was saying earlier u will see the multiples get just under 20 and that will be the new normal and if you think about that inflation is the only reason for the stock market as a whole to advance and take out prior highs
I agree.