Thursday, June 29, 2017

No Clear, Consistent Forward Bias Is Evident Currently In My Backtests - SPY 6-29-17

For the last couple weeks stocks have traded sideways which the scans I ran at the time had suggested there would be limited upside.  Then this week a little selling has returned in choppy fashion.

I ran some various scans today looking at current price movements, indicator formations, and real money sentiment.  Most of what I looked at showed forward returns that were somewhat neutral, certainly not tradable from the criteria I like to see.

So currently I am deferring to the last significant studies I noted which were late May and again around the June 9th high in SPY which both suggested a notable bearish skew for 1-2 months.

Despite today's selling the NYSE TRIN indicator dropped substantially which is not a typical pattern of rising on a sell off.  The Nasdaq TRIN is showing a more typical rise the last few days.  I don't know if this oddball reading on the NYSE TRIN adds weight to the idea that a low is not yet at hand.

The VIX chart shown here is showing a pretty typical configuration for a long in an uptrend.  We see a spike of the VIX above the longer term bollinger band while the shorter term bollinger band has risen above the longer term band.  I have shown this indicator overlay many times in recent years, and if you want more info on it you should be able to find related posts using the search bar for the blog.  Search VIX and Bollinger Bands.

Now the VIX has been at an historical extreme low, and so that has figured in to the recent scans indicating a bearish skew for SPY.  So there is some conflict here, but be aware that the short term set up is looking like a buy.

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