VIX Is Fooling Bears

Although the high of VIX was below 11 on January 27 of this year, the SPY ETF has gained 1.11% since. Some traders expected a quick rise in volatility and shorted the market but any gains in VIX evaporated fast and last Friday the high was again below 11. Shorting the market based on low VIX is not supported by analysis.

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Weekly Market Analysis – February 13, 2017 [Premium Articles]

Weekly premium reports include a market recap with commentary, performance report of selected ETFs and portfolios, technical analysis with unique indicators and directional probabilities based on machine learning.

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Is This Bull Market Sustainable? [Premium Articles]

We attempt to answer this question in the context of two unconventional indicators.

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Why Does It Feel Like Summer In The Stock Market?

Someone I follow in Twitter made a comment yesterday that recent market activity is similar to that observed during summer months. Below I include some – mostly useless – statistics and the possible reasons for the subdued action.

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S&P 500 Direction According To Hurst Exponent [Premium Articles]

The Hurst exponent has indicated previous market tops with relatively high accuracy. Here is what this indicator says about the market at this point.

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RSI2 Mean-Reversion Strategy Degradation [Premium Articles]

The basic RSI mean-reversion strategy has not generated a signal in SPY since November 7 of last year. In the last four years the strategy has significantly underperformed both buy and hold. Reasons for this underperformance are listed.

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Weekly Market Analysis – February 6, 2016 [Premium Articles]

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Ominous Correlation

The 60-day correlation between SPY and QQQ ETFs has plunged near pre-dotcom crash and below pre-2007 top levels. Caveat lector included.

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