Robot Comments for September 27, 2011

[ATTACH]10561[/ATTACH]

Cumulative TICK gave a strong program buying spree confirmation yesterday when conquering back the 3 key moving averages (1/2 day, full day and 10 hours) in the late afternoon.

[ATTACH=CONFIG]10560[/ATTACH]

This can make us feel uncomfortable with our short IWM position. However, volume and 20 DMF were moderate on the up move. It is looking like a typical end-of-month/quarter windows-dressing maneuver while filling Thursday’s gap. The most usual purpose of “filling the gap” by market makers and their programs is to allow large players to start distributing again at better prices since they obviously could not sell all of their very large positions in the 90 minutes following the FOMC announcement and have stopped selling after Thursday’s overnight gap because of a too low offered price. In other words, the buy programs are likely very short term and we are normally very near the start of a new massive wave of selling which can be delayed somehow due to window-dressing. This is confirmed by the repeated very strong short signal from the robot day after day.

The most logical resistance where sell programs should trigger again is at the confluence of SS3 (67.70) and QS3 (68.17). A strong gap up today above our day’s short entry limit of 66.88 can proactively be faded and shorted, even if gratification may not be immediate and obvious due to the end-of-quarter bullish bias.

I have made a multi-pivots simulation for next week with the new weekly, monthly and quarterly floor levels. The result is the same 66.88 recommended short entry limit, but with a much heavier floor resistance and selling pressure than what appears with the current levels.

[ATTACH=CONFIG]10559[/ATTACH]

The GDX robot is issuing a neutral buy signal today at the open, with a far away initial stop 9.93% below the open price. Today is opex expiration for precious metals futures and anything can happen in the coming hours. Closing above the 200-day moving average (58.45) would be a good start and a close above SPP and QPP (56.61), the upper border of the strong first support cluster, would comfort the new position.
Billy

[ATTACH=CONFIG]10562[/ATTACH]

Billy,

can I please ask you a confirmation: the stop loss for today's robot trade should be raised taking into account the opening gap up, right?

[QUOTE=roberto.giusto;17099]Billy,

can I please ask you a confirmation: the stop loss for today's robot trade should be raised taking into account the opening gap up, right?[/QUOTE]

Yes, the initial stop should be 4.53% above your entry price.
Billy

[URL="http://slopeofhope.com/2011/09/fish-meet-barrel.html"]Slope of Hope [/URL]by Tim Knight shows some [URL="http://slopeofhope.com/2011/09/freshly-.html"]very interesting analysis [/URL]that accords strongly with Billy and the robot. [URL="http://slopeofhope.com/2011/09/the-applemarket-connection.html"]It also shows an interesting take on AAPL and its relation to market take downs. [/URL]

Also, I find it entertaining as well as educational.

I found the first link via "the wire" service of Charles Kirk.

Cheers!

(ps. if it preferable that this go in the "interesting links" thread, I'll move it. I put it here because we sold into some serious strength this morning, which naturally raises doubts).

Billy -- any chance we're becoming a target of an HFT? Don't want to sound paranoid here...

[QUOTE=Timothy Clontz;17104]Billy -- any chance we're becoming a target of an HFT? Don't want to sound paranoid here...[/QUOTE]

Price topped just above daily R3 (69.34), a perfect excessive bull trap before reversing. I think that's what HFT algos were targeting and they've never heard or care about the robot (yet)!
Billy

Was sorry to see the IWM stop just before the drop.

These HFTs are getting better all the time.

I dont think the robot got stopped out. The stop should have been adjusted to take into account the gap up if I remember correctly.

IWM got stopped out.

I was also happy to get an an even lower price than recommended, which seemed to make a potential stop out less onerous.

Cheers!

Billy--

Do you (or anyone, thanks!) know why IWM rose into the close after the sell off today? Is such a move significant?

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Many thanks,

Pascal/Billy or anyone,

I'm having a hard time understanding why the triple returns of TNA/TZA differ so much from IWM returns. It certainly varies for the time period selected. For the last 12 months IWM was basicaly flat with TNA down 20% and TZA down 40%.

[COLOR="seagreen"]One year return[/COLOR]
IWM
[ATTACH=CONFIG]10614[/ATTACH]
TNA
[ATTACH=CONFIG]10613[/ATTACH]
TZA
[ATTACH=CONFIG]10617[/ATTACH]

[COLOR="seagreen"]From July 1st to close on Friday[/COLOR]
IWM
[ATTACH=CONFIG]10611[/ATTACH]
TNA
[ATTACH=CONFIG]10609[/ATTACH]
TZA
[ATTACH=CONFIG]10610[/ATTACH]

[COLOR="seagreen"]From Jan 1st to close July 1st[/COLOR]
IWM
[ATTACH=CONFIG]10612[/ATTACH]
TNA
[ATTACH]10616[/ATTACH]
TZA
[ATTACH=CONFIG]10615[/ATTACH]

[QUOTE=davidallison@shaw.ca;17116]Pascal/Billy or anyone,

I'm having a hard time understanding why the triple returns of TNA/TZA differ so much from IWM returns. It certainly varies for the time period selected. For the last 12 months IWM was basicaly flat with TNA down 20% and TZA down 40%. ]

David, this is due to the well documented leverage decay effect. See for example:
[url]http://www.etfbase.com/leveraged-etf-decay/[/url] or google for oher articles on leverage decay.
The smart way to play decay to your advantage is to short TNA instead of buying TZA or to short TZA instead of buying TNA.
Billy

[QUOTE=nickola.pazderic;17110]Billy--

Do you (or anyone, thanks!) know why IWM rose into the close after the sell off today? Is such a move significant?

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Many thanks,[/QUOTE]

No, the robot doesn't care about post and pre-market activity.
Billy