10/05/2009 Market Recap: VIX ENV/BB Buy

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CPCE intermediate-term top signal was invalidated today.

Not closed above resistance, still maintain the intermediate-term down forecast.

Around 1500 stocks in Russell 3000 index up on decreased volume is short-term bearish.

VIX ENV/BB setup triggered for short-term long.

  TREND MOMENTUM   COMMENT - Sample for using the trend table.
Long-term Up      
Intermediate Down Neutral    
Short-term Down Neutral    
SETUP DATE INSTRUCTION STOP LOSS Mechanic trading signals for reference only. Back tested since 2002.
Index ST Model I     Stopped out long with gain on 10/01. No position held now.
Index ST Model II 10/05 *Move stop loss 09/30 High Short position initiated on 09/30.
VIX ENV 10/05 *Buy next open   Stop loss will be in tomorrow's report
Reversal Bar 10/05 *Buy intraday   Stop loss will be in tomorrow's report


The bull’s achievement was that the 2.8.0 SPX:CPCE top signal was invalidated. But it also left a 10th unfilled gap on 1.0.2 S&P 500 SPDRs (SPY 60 min). Also because SPY was not decisively closed above its first major resistance, so I have no conclusion today and also therefore no changes in the trend table above.


The chart below is from www.sentimentrader.com explaining why I keep counting the unfilled gaps on the SPY chart – Because statistically 80% chances a 1% (or above) gap should be filled within 3 months. Now, SPY has 7 1% (or above) unfilled gaps and most of them are more than 3 months old.


Today’s Ressull 3000 Dominant Price-Volume Relationships is 1510 stocks “price up volume down”. From the chart below we can see if price up volume down count is around 1500, very likely a red day the next day. Well, there’re also 2 cases, the market shot up much much higher thereafter. So which history will we repeat, we’ll know soon.



6.2.0a VIX Trading Signals (ENV), 6.2.2b VIX Trading Signal (BB), I talked about these 2 setups on Thursday, and today they’re triggered. I’ve included the back test summaries since 2002 below for your reference. The pre-condition for the back test is that my Index Swing Trade Mode I is not on “sell” signal.


The Reversal Bar trading setup mentioned in the weekend report was triggered too. Theoretically you could long today intraday once you saw a good chance to close in green.

As for the stop loss for the above setups are: held tomorrow at least then use the low today or tomorrow (whichever is lower) as the stop loss point. Personally, I still think they’re risky trades at the current stage, so be careful.


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