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Daily Quant | 2014 | June
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2014 June

The Weekly Brief: Monday, June 30, 2014

Posted by | The Weekly Brief | No Comments

Market Overview

YTD Performance 2014-02-24 YTD S&P 500 Pacing 2014-02-24 SPPacing

The end of the month and the quarter…

As June comes to an end today, the markets are setting a new historical record. Last month we closed at 1923. We are likely to close above the 1960 level today. The strong trend that we’ve seen unfold over the last four months after the first quarter decline has been impressive, even though it’s done so on relatively low volatility and low volume. As I have discussed many times in the past, low volume rallies have a tendency to continue much further than most market participants believe it can. This sets the tone for the old adage of climbing the wall of worry but also keeps the rally sustainable. Excess volume and volatility tends to come around turning points in the market whether they be up or down.

As I have discussed many times on our Market Thunder Internet show, the longer-term trends continue to be in an expansion phase and are not showing any possibilities of a top at this time. Also, the fact that over the past five weeks we have seen the bullish percent move up into 69% suggest that a new rotation in the database is occurring. This type of action also suggests that there is another 4 to 6 months minimum in this rally before it will fizzle out.

With this week being a holiday shortened week, we will see all the focus on Wednesday and Thursday as the ADP employment report is released as well as unemployment numbers coming out on Friday. The ADP report on Wednesday is expected to show 231,000 new jobs while unemployment is expected to be unchanged at 6.3% and new jobs created at 211,000. While most market participants at this time are continuing to be skittish about the trend there are many new elements coming to the market suggesting that this nervousness is unwarranted.

Many folks in the marketplace operate on hope and fear. Neither one of those are very good strategies. This is why being involved with a trend following systems such as VPM brings in some real perspective, especially one where following over 18,300 financial items in our database recognizing trends from a quantitative basis. This gives a true perspective of the dynamics of the market rotation that is going on. With this week’s orders only showing a net buying of 82 symbols, there is not a lot of rotation to look at from this week but certainly from last week there was a substantial amount of orders to evaluate. Also, as I’ve discussed before there continues to be a substantial flow into bonds despite the expectation for higher yields. The treasuries moved into the 2.65 resistance area only to retrace back to the 2.53% level by the end of the week. There seems to be little fear of higher yields at this time even in the light of the inflation commentary that seems to be starting to emerge in the background. However, there is not any material items which to affect the cash flow in the bonds at this time. I expect this market to continue to stay below the 2.65 level for the next couple weeks.

By the Box

YTD Performance

2014-02-24 StyleBoxes1

Performance Divergence

2014-02-24 StyleBoxes2

SP 500 for the week of 06/16/2014

2014-02-24 PriorWeek2014-02-24 PriorWeekLevels

Looking back on last week

Monday

The action began on a slightly lower note after seeing a stronger session on Friday. The lack of follow-through continued throughout the session. The market traded in a sideways pattern and was mostly negative for the session until the last hour. It was then that the S&P 500 recovered to close down -0.01%. There was very little to report on Monday. The volume remained low as well as all of the indices traded in a flat line.

Tuesday

The market opened on a stronger tone as it rallied to the session highs early on. Selling came in midsession to push the S&P lower and close down 0.64%. The NASDAQ was down only 0.4% on the session. Consumer confidence came in at the highest reading since 2008 at 85.2, helping the discretionary sector briefly. But it also faded at the end of the session to close down 0.2%. The homebuilders led the way up as the US Home construction ETF advanced 0.9%.

Wednesday

While the market began on a flat note, a steady rally unfolded as the session progressed. The S&P was able to finish up 0.49%. This was in spite of the announcement that the GDP was revised down to -2.9% from -1.0%. While this would appear to be a negative event, the markets shrugged it off as it continued to rally after this release.  May durable orders also surprised to the downside and this was additionally shrugged off as well as the market participants focused on the Fed’s dovish stance.

Thursday

The market sold off early in the session but then staged yet another rebound as the losses were cut to 0.12% for the S&P by the end of the day. The market reached its lows for the session in the first 30 minutes and never looked back after that. The big news for the day was that the Atty. Gen. announced fraud charges against Barclays. This is a continuation of the attack on the banking system by the regulators even though it would appear they are about seven years too late. This appears to be their efforts to get back many of the bailout dollars. In spite of this, the market was able to shrug off negative news once again.

Friday

All of the major averages ended on a stronger note on Friday as the final hour rally sent the indices to new session highs. The S&P 500 added 0.19%, narrowing the loss on the week to -0.1% while the NASDAQ was able to continue to lead the way with a 0.4% gain to bring the weekly advance to 0.7%. Overall, the indices continue to take turns on leadership over the last two weeks. But generally speaking, the large cap S&P 500 index continues to lead the way up. In the end of the session only three sectors were in a negative territory with energy, healthcare and materials down roughly 0.4%.

S&P 500 for 06/27/14

2014-06-27.2

Friday’s action traded in a consolidation range for most of the session with the last hour seeing strength to push the S&P into new session highs. The configuration suggests that the market will need to break above the 1967.25 level to signal higher prices. As I have discussed over the past two weeks, the current short-term target is 1973/1989. There is a 60% probability that we will reach this zone this week. The critical level on the downside will be the 1948.35 level. A penetration would suggest a further decline. There is only a 30% probability for this level to be penetrated today.

The intermediate charts continue to show that the trend is strong but some of the upward momentum has dissipated over the past week’s action. Overall, the trend continues to show an expansion confirming that the market is likely to meet the objectives of 1973/1989 for this week. If the market penetrates the 1967.25 level by Tuesday we will see acceleration into this upper zone.

Today being a monthly close the action will represent yet another historic close. This represents the fifth month of the reversal rally that started back in February. This pattern suggests that if we are able to close over 1954.20 today that the market will likely continue to move higher for at least three more months.

With the VPM database now at 69.27% bullish, there is only 21% of the expected gains on the average position completed.  This suggests there’s a substantial more to the upside over the next 4 to 6 months.

The market should open flat to lower, with a 60 percent probability to close higher, should the market remain above the 1954.65 level today. 

This Week’s Key Levels

ER 1989.70
R3 1982.95
R2 1975.35
Resistance R1 1967.75
Prior Close   1960.96 -1.91
Support S1 1954.20
S2 1946.60
S3 1939.00
ES 1932.20

Today’s Key Levels

ER 1973.55
R3 1970.60
R2 1967.25
Resistance R1 1963.95
Prior Close   1960.96 +3.74
Support S1 1958.00
S2 1954.65
S3 1951.35
ES 1948.35

Friday, June 27, 2014

Posted by | The Daily | No Comments

2014-06-26.2
The end of the week and volatility continues to be low…

While yesterday’s action saw an increase in the daily range, this week’s action has been one of the narrowest ranges that we’ve seen in the past five weeks. The configuration continues to suggest that we are likely to remain in a sideways range for the next 2 to 3 sessions between 1942/1968.

However, a close above 1965.30 today will suggest that the market will continue in a bullish mode next week moving toward the 1973/1989 levels. Yesterday’s decline traded down just below the extreme level at the 1944.69 level only to rebound to close slightly lower on the session. Late comments by James Bullard of the Federal Reserve set a slightly negative tone in Asia and in Europe overnight. While it does not appear to be material, it does keep market sentiment in check at least for early in the session today.

The critical level on the downside is 1949.15. If this level is penetrated then this will suggest a further decline toward the 1941.10 level. This is the key pivot area in the chart at this time. A penetration would suggest a further decline toward the 1934/1925 levels. There currently is only a 30% probability for this to occur.

The configuration continues to have a bias to the upside. There is very little news that will be out today. Consumer Sentiment is the only economic report to be released which is not likely to have a material impact. As I mentioned earlier, the most likely scenario is for a sideways range between 1942/1968.

The market should open lower, with a 60 percent probability to close higher, should the market remain above the 1949.15 level today.

Today’s Key Levels

  RX 1973.35
  R3 1969.55
  R2 1965.30
Resistance R1 1961.05
Prior Close   1957.22 -2.31
Support S1 1953.40
  S2 1949.15
  S3 1944.90
  SX 1941.10

Thursday, June 26, 2014

Posted by | The Daily | No Comments

2014-06-25.2

Market Rallies in Spite of Bad GDP…

Yesterday’s news that the GDP in the first quarter declined by 2.9% was certainly shocking but market participants chose to ignore the weakness. While there was an initial response to the news that was negative, the market quickly reversed and traded higher for the entire session. Market participants appear to be focused on just one thing and that is the Fed. The general belief is that the Fed will continue to inflate the markets and there is virtually no fear in buying the dips.

With the market closing higher yesterday, negating the outside reversal, the configuration suggests that if the market can get above the 1962.50 level today then we should continue on toward the target range of 1973/1989. While the daily range volatility continues to be under 10 there is still a high probability there will be an expansion of the volatility and most likely will be to the upside.

As I discussed on Wednesday’s Market Thunder show, we continue to see the trend expanding on an intermediate level. This suggests that there is very little that is likely to pull the market down below the 1940 level over the next week or two. Most likely we will continue toward the upper end of the range of 1973/1989 with expectations of moving further toward 2018/2054 with an extreme of 2073.

With jobless claims out early in the morning, market participants will continue to be positive as sentiment will drive this market toward the objectives I just discussed.

The market should open flat to lower, with a 60 percent probability to close higher, should the market remain above the 1953.20 level today.

 

Today’s Key Levels

  RX 1972.20
  R3 1969.20
  R2 1965.90
Resistance R1 1962.50
Prior Close   1959.53 +9.55
Support S1 1956.55
  S2 1953.20
  S3 1949.85
  SX 1946.85

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Wednesday, June 25, 2014

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2014-06-24.2 

Geopolitical risk equals opportunity…

Yesterday’s action was in response to news from Iraq that the rebels were gaining more strength, but in real terms it was more of an excuse to take profits. Economic news came up positive early on and pushed the markets into new historical highs. The Iraqi situation is unlikely to have any real economic impact on the United States corporate profits. So, this is unlikely to be the event that will unravel the bull market. Prior to the open today is the release of both durable goods and GDP. Durable goods orders are expected to be up 0.4%. The GDP numbers, which are expected to show a revised -1.8%, will most likely trump any news that comes out of the Middle East.

While yesterday unfolded in an outside reversal bar to the downside, closing near the lows of the session, the configuration suggests that there is only a moderate downside possible toward the 1945.10/1942.50 levels. There is more of a likelihood of a positive surprise on the upside with the economic news out today then there will be news out of Iraq which is likely to not have any real impact.

The key level on the upside today is 1957.50. A penetration of that level would suggest a reversal in the market and a move back above the 1960 level. Also, a higher close today will negate the outside reversal bar suggesting that we will enter into a minor sideways pattern with a bias to the upside for the next 3 to 5 sessions. The range will be 1942/1968 for this consolidation phase.

However, should a close be rendered below 1942.50 then there could be a retest of the 1925 level which is the key pivot point on the charts at this time. A penetration would suggest a larger correction which there currently is only a 30% probability for that to occur.

The market should open flat to lower, with a 60 percent probability to close higher, should the market remain above the 1945.10 level today.

Today’s Key Levels

  RX 1959.80
  R3 1957.50
  R2 1954.90
Resistance R1 1952.30
Prior Close   1949.98 -12.63
Support S1 1947.70
  S2 1945.10
  S3 1942.50
  SX 1940.20

 

Tuesday, June 24, 2014

Posted by | The Daily | No Comments

2014-06-23.2

Volatility continues to contract…

Yesterday’s action continued to trade in a very narrow range as the PPM three day volatility indicator has declined to 5.73. This low of level is only comparable to the trading around the holiday season such as between Christmas and New Year’s. It is very unusual that the volatility has stayed as low as it has. This suggests that we’re about to see a new spike in volatility, most likely when the GDP is released on Wednesday. As I mentioned in yesterday’s commentary, the market continues to be focused on Wednesday as this will be the most significant news of the week. This is likely to drive sentiment one way or the other. With an expectation of a -1.8 GDP, there is a very good possibility that there will be a positive surprise.

The configuration suggests that if we can get above the 1968.35 level today then the market will move toward the target range of 1973.60/1977.45.

On the downside today the critical level is 1956.90. A penetration of this level would suggest a further decline toward the 1948.35/1945.60 levels. There currently is only a 30% probability to be penetrated today.

Expect the market to remain quiet today as the bias continues to be on the upside.

The market should open flat to lower with a 60 percent probability to close higher should the market remain above the 1956.90 level today.

Today’s Key Levels

  RX 1968.35
  R3 1967.00
  R2 1965.50
Resistance R1 1963.95
Prior Close   1962.61 -0.26
Support S1 1961.25
  S2 1959.75
  S3 1958.25
  SX 1956.90

The Weekly Brief: Monday, June 23, 2014

Posted by | The Weekly Brief | No Comments

Market Overview

YTD Performance 2014-02-24 YTD S&P 500 Pacing 2014-02-24 SPPacing

Historical markets deserve historical responses…

As we begin this new week starting from historical highs we are seeing something phenomenal as the VPM database has signaled a new sequence to the upside. As I talked about for many weeks, a penetration of the 62% bullish would send the markets into a new sequence. With the 3600+ new buy orders that were generated this week, this has pushed the bullish percent to 69%. This action in the VPM database confirms that something very unique is unfolding.

Are you ready for S&P 2212/2290?

I discussed in last Friday’s Market Thunder broadcast that I had begun to explore the probability of another 12 the 14% gain in the markets.

I will discuss this in full detail in the technical section of today’s Market Thunder show. This show is likely to be dominated by the conversation about this particular event. This is a historic event, as much so as July 2009. While it might seem crazy that the database is stepping up to this level as we see thousands of buy signals come out for today’s open. They are from stocks that have corrected over the past several months, primarily in the small and Mid-Cap asset classes.

As I discussed some in last week’s report, there was a rolling correction that occurred rather than a full market correction. Most of the activity happened in mid-cap and small-cap stocks, including some of the high momentum stocks that managed to generate yet a new market cycle. Over the past five years, the market has re-created itself three different times counting this one. While many want to believe that the market has reached a high, we are anything but near that point.

This coming week there is a fair amount of significant news that will be coming. On Monday, PMI and existing home sales. Tuesday, Case Schiller real estate prices.  The big one this week will be the release of GDP which is expected to show a -1.8% decline. This report probably has the strongest possibility for a surprise to the upside. Any revision from the previous month along with a number that is not as bad as folks are expecting could generate a substantial surge from these levels. Thursday will be jobless claims. And on Friday, consumer sentiment. So, expect Wednesday to carry the biggest punch this week.

By the Box

YTD Performance

2014-02-24 StyleBoxes1

Performance Divergence

2014-02-24 StyleBoxes2

SP 500 for the week of 06/16/2014

2014-02-24 PriorWeek2014-02-24 PriorWeekLevels

Looking back on last week

Monday

Monday started on a weaker note but traded around unchanged for most of the session as it chopped around to finish just slightly higher. Most market participants were focused on Wednesday’s upcoming FOMC meeting. There were some jitters that were keeping the market in check over the situation in Iraq. Most eyes were on oil prices which saw little change as there was no real response to any of the activity over the weekend.

Tuesday

The market began flat on Tuesday and traded in a choppy range for the first several hours until late in the session we saw some continuing buying that pushed the S&P up 0.22% on the session. For the most part, the S&P Mid-Cap 400 and the Small-Caps led the way up, showing a 0.7% and 0.8% gain respectively. The cyclical groups did the bulk of the work as five of the six growth sensitive sectors were up. Financials led the way for most of the session.

Wednesday

The day everyone was waiting for didn’t disappoint as the FOMC announced another $10 billion taper which was widely expected. The Fed reiterated its commitment to the current level of interest rates saying that rates are likely to remain low for a considerable amount of time after quantitative easing ends. This possibly was an effort to posture the market rather than to build expectations of higher yields. They also stated that they expect the jobless rate to be between 6.0% and 6.1% by the end of the year. This was enough to give market participants a bullish stance and pushed the S&P 500 up to finish higher by 0.77%.

Thursday

The markets opened slightly higher but traded lower for the most of the session until the last two hours where we saw some buying come back into the market. This pushed the S&P higher by 0.13% on the session. The big story was a 3 ½% gain in gold and also an uptick on yields to 2.63% after spiking early to 2.65%. Most of the action across all the indices were seesawing with the gold mostly in focus.

Friday

Markets opened firmer and traded somewhat in a flat range for the session as the S&P was able to finish up 0.17% for the day and up 1.38% for the week. This pushed the market into yet another historical weekly close suggesting much more to come before we will see a top. Energy has been in focus with the Iraqi situation as it was able to show a 1% gain. Healthcare also was up 0.8%. These two sectors led the market. Crude oil finished at 106.81 per barrel, up 0.7%. It appears with the Iraqi situation that this sector could continue to add some positive tone to the overall markets.

S&P 500 for 06/20/14

2014-06-20.2

With last week’s action closing up 1.38% at the historical highs of 1962.87, the near term projection of 1973.10 is not likely be the point where this market will end. The most likely point where the market could begin a minor consolidation is between the 1973/1989 levels. However a close above 1989 will suggest a continuation move toward the 2018/2054 levels with an extreme now of 2072.

With the VPM database continuing to expand its bullish percent to 69% this weekend, this suggests that many of the stocks that had been in a corrective mode are reentering into trends signaling a major break out in the markets. This is certainly one the more dynamic scenarios that I’ve seen in my 34 years of observing these markets.

I spent the last 34 years studying the markets both from a fundamental and a technical basis. For nearly 12 years I was an institutional market analyst and trader for mortgage bankers and other types of risk management, focusing primarily on interest rates currencies and the stock market.

In the period of 1982 through 1989 we saw an amazing expansion of prices as the Dow Jones hit 3600 after being at 720 just 10 years earlier. During that time we saw a similar pattern where the market would have minor corrections which would regenerate the trend with the continuation of the upward trek in the markets. This situation appears to be similar but even stronger in nature.

My goal is to develop some dialogue primarily through our Market Thunder show and written commentary to explain what is going on in the markets at this time from a technical viewpoint. The chart below is a monthly graph of S&P 500 cash. At this time I’m going to continue to focus on the current trend and its expectations. As I mentioned earlier, the 2018/2072 level looks like a point where the market is likely to set up a consolidation phase. This is drawn in white on the chart below and labeled wave 4.

2014-06-23 chart

While the explanation for this is somewhat complex, the bottom line is that there appears to be a third wave extension occurring. We should see a broader fourth wave correction which could begin sometime in the next 6 to 12 weeks with the decline less than 7% during this period of time and then a resumption to the upside which would suggest a 12 the 14% gain.

The best way to explain this pattern will be in our live Market Thunder show as it is very complex. I will continue to develop this story as it unfolds.

Looking at today’s action the critical level on the downside will be 1957.75. Penetration of this level would suggest a further decline. While there is only a 30% probability for that to occur, the downside appears to be limited to the 1952/1946 levels. On the upside, it appears that a break above 1968.00 will signal a further rally toward the minimum level of 1973 with the possibility of trading as high as 1989 before hesitating.

While the market moves higher, it may feel scary to some. This is probably a positive as the weekly range projections suggest that the minimum we are likely to get to is 1978.90 with the possibility of going as high as 1994.95 this week.

This week is can be very challenging from a process over altitude and opinion standpoint as it is very difficult to imagine putting on as many new positions as we are at this time. But, even the VPM Universe signaled a brand-new buy for last week suggesting that there is a 211 day holding. With expectations for the entire universe of VPM symbols to advance by 17.7%, all probabilities on the table suggest that this will occur and at least a large portion of this will be realized.

While bull markets are amazing, they seem to deny everything that makes logical sense such as geopolitical risk both in the Ukraine as well as the Iraqi situation. There seems to be nothing that can shake the foundation of this rally. In the words of one of my mentors many years ago, “expect more of the same until the market shows you something different”. But we’ve seen nothing different and the rotation continues. Enjoy the ride.

We will see on the Market Thunder today at noon Eastern Time.

The market should open flat to higher, with a 60 percent probability to close higher, should the market remain above the 1957.75 level today.

This Week’s Key Levels

ER 1994.95
R3 1987.40
R2 1978.90
Resistance R1 1970.45
Prior Close   1962.87 +26.71
Support S1 1955.30
S2 1946.85
S3 1938.35
ES 1930.80

Today’s Key Levels

ER 1973.15
R3 1970.70
R2 1968.00
Resistance R1 1965.30
Prior Close   1962.87 +3.29
Support S1 1960.45
S2 1957.75
S3 1955.05
ES 1952.60

Friday, June 20, 2014

Posted by | The Daily | No Comments

2014-06-19.2

The historic run continues…

There is very little economic news to drive sentiment today but it is likely to remain positive for the next several sessions.

While the market traded in a fairly narrow range yesterday, it was able to continue the record run as the market closed higher on the session. The configuration suggests that the market should trade higher toward the minimum objective of 1973 with the now intermediate objectives of 2018/2054.

The critical level on the downside today is 1953.45. A penetration would suggest a further decline. With today being a weekly close, it will be necessary to remain above 1947.40. A close below this level would suggest a negative move for early next week. However, there’s only a 30% probability for that to occur today.

The critical level on the upside today is 1963.45. A penetration will send the market surging toward the 1973.40 level.

The market should open flat to higher, with a 60 percent probability to close higher, should the market remain above the 1953.45 level today.

Today’s Key Levels

  RX 1971.50
  R3 1968.70
  R2 1965.50
Resistance R1 1962.35
Prior Close   1959.48 +2.50
Support S1 1956.65
  S2 1953.45
  S3 1950.25
  SX 1947.40

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