Let’s Keep It Simple – March 19, 2012

First, here are some notes. On Friday’s quadruple witching expiration deadline, all indices, including GDX, traded their narrowest range day in months. This is indicative of major options pinning strategies at play last week and these will be out of the way for the next 5-week expiration cycle.

According to masterthegap.com, such a narrow range on an opex day has a high statistical probability of an opening gap up that will not fill on the next Monday. This is contradicted by weak futures at this time of writing.

According to Rocky White at Schaeffer Research, the first week of a 5-week expiration cycle has a high probability of closing positive and the asset class with the strongest bullish edge is [B]physical gold [/B]during the first week of the cycle.
That being said, both the 20 DMF and the PM MF were positive on the day with increasingly positive divergences with price.

The IWM robot stays in cash.

The EOD GDX robot will hold its short position until the trailing stop (53.16) is hit or an EOD signal change is confirmed (The PM MF either closes in oversold territory at/below -1.45% or closes above its 20-day average currently at -0.10%). In other words, EOD GDX traders shouldn’t be confused by all the constructive discussion going on in the forums about the RT model. The plan is simple and easy to follow : trail your stop and wait for the next overnight signal change for execution at the following day's open.
Billy

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The RT 20 DMF at 0.7% is right at a down trendline that began on 10/24/11 and goes through 2/14/12.
It will be interesting to see if it has the strength to power through or if this is where the 20 DMF turns down.
Best regards,
Robert