Time to get bullish?

Based on my reading that the rally last week was driven by a dead-cat bounce by laggards, it suggest that the majority of what we have seen is being fueled by short-covering and value investors that stepped in at S&P 750 and Dow 7500. While positive, there are several technical conditions I need to see met before I am willing to get bullish enough to begin swing-trading the long side, none of which have occurred.

1) A break of the double inverse ETFs below their 50d MAs. This began to happen on Friday by the most volatile of the bunch but I am looking for a continuation of that trend. Following that will be a break of the 2x long ETFs above their 50d. Confirmation will be a substantial enough break that they remain below/above their 50d MAs in a short-term overbought/oversold condition as defined by RSI(2) > 90 and RSI(2) < 10.

2) A higher low logged on the broader indexes with confirmation occurring at a break above the previous high which is possibly being set now.

3) A tick up in the number of successful high-volume breakouts. This would indicate growth and speculative traders/investors are back in the market and a return of risk appetite.

4) Institutional buying as indicated by IBD style follow-through day and higher-volume positive days.

5) A 10d/50d MA cross on the IBD100. This has proven to be a pretty good trend indicator.

It is not possible for the market to enter a new medium-term uptrend without accomplishing these items so my confidence in this market will begin to grow as I can start checking them off, until then - remain wary.

Week ending 11/28/08

The turnover for the IBD100 was 37% this week. The index has gained 7.75% over the last 5 session, lagging the major indexes substantially. This suggest that much of the move over the past few days was primarily driven by a dead-cat bounce of lagging sectors vs. a breakout of new leadership.

11/28/08

Date: 11/28/08
Open: $28.75
High: $29.43
Low: $28.29
Close: $29.21
Volume: 2,118,822
Advances: 61
Advances>=4%: 7
Declines>=4% 2
Daily Change: 0.788%

11/26/08

Date: 11/26/08
Open: $27.64
High: $29.21
Low: $27.34
Close: $28.98
Volume: 5,401,916
Advances: 85
Advances>=4%: 36
Declines>=4% 2
Daily Change: 3.174%

Happy Thanksgiving.

11/25/08

Date: 11/25/08
Open: $28.44
High: $28.86
Low: $26.91
Close: $28.10
Volume: 7,684,292
Advances: 46
Advances>=4%: 10
Declines>=4% 9
Daily Change: -0.088%

Date: 11/24/08
Open: $27.40
High: $28.62
Low: $26.72
Close: $28.13
Volume: 7,795,821
Advances: 85
Advances>=4%: 45
Declines>=4% 1
Daily Change: 3.740%

11/21/08

Date: 11/21/08
Open: $26.57
High: $27.65
Low: $25.04
Close: $27.11
Volume: 9,244,288
Advances: 77
Advances>=4%: 49
Declines>=4% 4
Daily Change: 3.658%

Index updates 11.19-11.20

Date: 11/19/08
Open: $28.83
High: $29.42
Low: $27.34
Close: $27.50
Volume: 6,620,990
Advances: 2
Advances>=4%: 0
Declines>=4% 65
Daily Change: -4.953%

Date: 11/20/08
Open: $27.22
High: $28.13
Low: $25.82
Close: $26.15
Volume: 8,335,906
Advances: 7
Advances>=4%: 2
Declines>=4% 60
Daily Change: -4.879%

Yep, its bad. New low on the index since I've been tracking it. Down -47.70%
since 03.04.08.

11/18/08

Date: 11/18/08
Open: $28.94
High: $29.72
Low: $27.93
Close: $28.93
Volume: 6,845,950
Advances: 49
Advances>=4%: 9
Declines>=4% 4
Daily Change: 0.206%

11/17/08

Date: 11/17/08
Open: $28.74
High: $29.78
Low: $28.24
Close: $28.87
Volume: 5,072,214
Advances: 38
Advances>=4%: 4
Declines>=4% 3
Daily Change: -0.395%

11/14/08

Date: 11/14/08
Open: $29.93
High: $30.71
Low: $28.68
Close: $28.99
Volume: 6,175,956
Advances: 5
Advances>=4%: 1
Declines>=4% 54
Daily Change: -4.493%

11/13/08

Date: 11/13/08
Open: $28.71
High: $30.55
Low: $27.45
Close: $30.36
Volume: 7,575,193
Advances: 92
Advances>=4%: 66
Declines>=4% 2
Daily Change: 5.689%

11/11/08

Date: 11/11/08
Open: $30.14
High: $30.95
Low: $29.23
Close: $29.98
Volume: 4,395,595
Advances: 32
Advances>=4%: 0
Declines>=4% 16
Daily Change: -1.399%

11/10/08

Date: 11/10/08
Open: $31.09
High: $31.55
Low: $29.92
Close: $30.40
Volume: 3,819,386
Advances: 49
Advances>=4%: 4
Declines>=4% 6
Daily Change: -0.184%

Turnover for week beginning 11/10/08

26% turnover on the IBD100 this week.

11/07/08

Date: 11/07/08
Open: $30.27
High: $31.12
Low: $29.50
Close: $30.46
Volume: 4,489,773
Advances: 70
Advances>=4%: 21
Declines>=4% 3
Daily Change: 1.752%

Big Bamboo Stop Study

I will once again refer readers to Woodshedder at iBankCoin for some background on Big Bamboo and additional commentary on the following results. The following data is the raw results from a series of tests looking at various protective stops for Big Bamboo. These backtests measure the results of every entry signal generated by the system on the leveraged ETF portfolio since they began trading and each signal is purchased with $10,000 worth of shares. No compounding, slippage or commissions are included. Think of this data simply as raw stats and these test only look at various protective stops used in conjunction with the specified profit target of RSI(2) > 80.

Note: The ATR stops test various multiples of the 10-period ATR for the ETF being traded and the stop is not adjusted daily for changes in volatility. It is fixed at the time of entry and left alone.

Charts of results:


Raw Data: HERE

Leveraged ETF Average Volatility

I am working on a couple of systems with Woodshedder at iBankCoin and just completed a quick study of average volatility for all of the leveraged ETFs currently traded. This is targeted towards refining stops for a couple of our systems that trade the leveraged ETFs but I thought it might be interesting for others to see. Basically this looks at the average volatility measured by a 10-period ATR since the ETF began trading. The AverageATR Percentage column is the daily ATR/Close which normalizes the volatility to a percentage move. The spreadsheet can be viewed HERE

11/06/08

Date: 11/06/08
Open: $30.60
High: $31.48
Low: $29.39
Close: $29.94
Volume: 6,047,382
Advances: 17
Advances>=4%: 3
Declines>=4% 32
Daily Change: -3.247%

11/05/08

Date: 11/05/08
Open: $32.05
High: $32.69
Low: $30.58
Close: $30.95
Volume: 4,684,761
Advances: 6
Advances>=4%: 2
Declines>=4% 54
Daily Change: -4.341%

The IBD100 actually closed above its 10dMA ($30.82) today for the 5th straight day. A first since 06.20.08.

11/04/08

Date: 11/04/08
Open: $32.81
High: $33.39
Low: $31.51
Close: $32.36
Volume: 4,892,538
Advances: 56
Advances>=4%: 10
Declines>=4% 6
Daily Change: 0.387%

11/03/08

Date: 11/03/08
Open: $32.13
High: $33.06
Low: $31.38
Close: $32.24
Volume: 4,136,131
Advances: 56
Advances>=4%: 9
Declines>=4% 5
Daily Change: 0.499%

Today was the 3rd consecutive day the IBD100 has spent above its 10dMA. The last time we were blessed with with such an occurance was August 1.

Turnover for week beginning 11/03/08

54% turnover on the IBD100 this week.

10/31/08

Date: 10/31/08
Open: $31.31
High: $32.65
Low: $30.68
Close: $32.08
Volume: 5,758,868
Advances: 76
Advances>=4%: 20
Declines>=4% 1
Daily Change: 2.000%