Halls of Shrewd'm / US Policy❤
No. of Recommendations: 23
TLDR version - over the last few weeks, the US markets have swung to mildly bearish (pessimistic) with flat to weakly negative trends. The SMA slope and seasonal STS have swung to bearish. The only BearCatcher 'bullish' is the 99D. Total is "-4", bearish.
Type Indicator Bears Bulls Changed Date
--------------------------------------------------------------------
Intermediate-Term
BearCatcher Nasdaq NHs/NLs Bear 2/24/23
BearCatcher SMA Slope, S&P 500 Bear 5/5/23
BearCatcher 99D/DBE Bull 2/1/23
Momentum, Int # 26 week highs 1/4/22
Momentum, Int DMI 1/13/23
Momentum, Int 10/50 Crossover Bull 3/31/23
Momentum, Int PPO Weekly Bull 3/31
Momentum, Int 26W / 52W Bull 3/11/23
Breadth, Int PAMA Naz 50 Bear 5/5
Breadth, Int Naz Bullish % Bear 4/14/23
Breadth, Int S&P PAMA 200 Bear 2/24/23
Breadth Thrust Breadth Thrust (off)
Correction Mode >7% off last peak Bull 3/10/23
Timing, Season MACD on RUT Bear 4/26/23
Interest Rates Corporate Bond Index 3/17/23
Short Term Top Warning 3
Momentum, ST PPO Daily Bear 5/5/23
Breadth, ST SP600 PAMA20 Bear 4/21
Breadth, ST PAMA5D %OFF 21dh Bear 4/4/23
Top, ST PAMA Divergence Highs 12/10/21
Top PAA Count 1/26/22
Top Recent Simple Top 11/19/21
Top Primary-Tech Divergence
... blank on a line means "Neutral" or "Flat"
GTAA Indicators
Cash is ranked 5th of 14 classes.
Asset Class Signal Top6 Rank
------------------------------------
US LC IN X 3
US LC Momentum OUT 11
US SC OUT 12
US SC Mom/Gr. OUT 13
For. Developed IN X 1
For. Dev. SC IN X 2
Emerging IN X 4
Real Estate OUT 10
Foreign RE CHG 5
Total Bond IN 8
10Y US Gov IN 5
Global HiYld IN 9
Preferred OUT 14
Cash/ST X 5
No. of Recommendations: 0
No. of Recommendations: 2
Nope. 180. Now just BARELY below the hysteresis range.
No. of Recommendations: 2
Using the Excel Slope function I have the .SPX Bullish and most of the "modern family" Bearish as today.
Index: (daily) SP500 R1000EW R2000 Transportation Retail Regional Bank BioTech SemiConductor
Symbol: .SPX EQAL IWM IYT XRT KRE IBB SMH
10-May-2023 -- -- -- -- -- -- -- --
Status:(3)* Bullish BEARish BEARish Watch BEARish BEARish Bullish Watch
LastD_Change 04-Apr-23 25-Apr-23 21-Apr-23 15-Mar-23 26-Apr-23 08-Mar-23 13-Apr-23 27-Apr-23
Since_Change 36 15 19 56 14 63 27 13
Signals/Yr 8 8 8 7 8 8 5 7
%Bullish/Yr 23% 15% 15% 16% 14% 7% 37% 28%
-- -- -- -- -- -- -- -- --
Status MAC(50) Support Resistance Resistance Resistance Resistance Resistance Support Resistance
Status MAC(200) Support Resistance Resistance Support Resistance Resistance Support Support
Slope(50) 6% -2% -5% -1% -5% -37% 5% 1%
Slope(200) 3% -1% -3% 1% -1% -43% 6% 21%
-- -- -- -- -- -- -- -- --
Last_Price 4130.74 40.00 174.31 226.47 61.56 37.08 130.56 124.79
50-DMA 4050.99 40.47 176.61 224.78 62.18 44.77 128.94 124.58
200-DMA 3973.03 41.08 181.12 224.29 63.80 57.79 128.86 112.45
DMAC(50,200) 2.0% -1.5% -2.5% 0.2% -2.6% -22.5% 0.1% 10.8%
-- -- -- -- -- -- -- -- --
52wL(Daily) 3577.03 36.94 163.90 196.56 56.44 36.08 105.82 86.58
52wH(Daily) 4305.20 44.80 201.07 249.68 74.47 68.54 138.43 131.60
%Off_52wH -4% -11% -13% -9% -17% NL -6% -5%
LastD_52wH 16-Aug-22 02-Feb-23 15-Aug-22 16-Aug-22 02-Feb-23 16-Aug-22 02-Dec-22 31-Mar-23
SinceD_52wH 267 97 268 267 97 267 159 40
--- --- --- --- --- --- --- --- ---
GD_
No. of Recommendations: 3
Index: (daily) SP500 R1000EW R2000 Transportation Retail Regional Bank BioTech SemiConductor
Symbol: .SPX EQAL IWM IYT XRT KRE IBB SMH
10-May-2023 -- -- -- -- -- -- -- --
Status:(3)* Bullish BEARish BEARish Watch BEARish BEARish Bullish Watch
LastD_Change 04-Apr-23 25-Apr-23 21-Apr-23 15-Mar-23 26-Apr-23 08-Mar-23 13-Apr-23 27-Apr-23
Since_Change 36 15 19 56 14 63 27 13
Signals/Yr 8 8 8 7 8 8 5 7
%Bullish/Yr 23% 15% 15% 16% 14% 7% 37% 28%
-- -- -- -- -- -- -- -- --
Status MAC(50) Support Resistance Resistance Resistance Resistance Resistance Support Resistance
Status MAC(200) Support Resistance Resistance Support Resistance Resistance Support Support
Slope(50) 6% -2% -5% -1% -5% -37% 5% 1%
Slope(200) 3% -1% -3% 1% -1% -43% 6% 21%
-- -- -- -- -- -- -- -- --
Last_Price 4130.74 40.00 174.31 226.47 61.56 37.08 130.56 124.79
50-DMA 4050.99 40.47 176.61 224.78 62.18 44.77 128.94 124.58
200-DMA 3973.03 41.08 181.12 224.29 63.80 57.79 128.86 112.45
DMAC(50,200) 2.0% -1.5% -2.5% 0.2% -2.6% -22.5% 0.1% 10.8%
-- -- -- -- -- -- -- -- --
52wL(Daily) 3577.03 36.94 163.90 196.56 56.44 36.08 105.82 86.58
52wH(Daily) 4305.20 44.80 201.07 249.68 74.47 68.54 138.43 131.60
%Off_52wH -4% -11% -13% -9% -17% NL -6% -5%
LastD_52wH 16-Aug-22 02-Feb-23 15-Aug-22 16-Aug-22 02-Feb-23 16-Aug-22 02-Dec-22 31-Mar-23
SinceD_52wH 267 97 268 267 97 267 159 40
--- --- --- --- --- --- --- ---
No. of Recommendations: 4
Using the Excel Slope function I have the .SPX Bullish and most of the "modern family" Bearish as today.
Attempting to get a clean copy but no cigar.
Modern Family: Symbol: Status: Roles (leading indicators that act as a guide for the stock market macro picture)
S&P 500 Index .SPx Bullish - major U.S. market index
Russell 1000EW EQAL BEARish - gauge the health of many Large-Mid companies within the U.S.
Russell 2000 IWM BEARish - gauge the health of many Small-Micro companies within the U.S.
Transportation IYT Watch - measure Industry & Manufacture strength - supply and demand
Retail XRT BEARish - measure strength economy and consumer confidence
Regional Bank KRE BEARish - measure the health of financial system in the U.S.
BioTech IBB Bullish - highly speculated: assesses where money is flowing
SemiConductor SMH Watch - innovation: a major player technology trends
As of --- 10-May-23 See MarketGauge.com for more details
GD_
No. of Recommendations: 4
Hi GD_.... Great approach !
But this is RRS ( Regression Slope) as opposed to SMA Change as defined and tested by Jim.
So its different - I am not value judging better/worse - but different. Because RRS ( 126d)
is proven as a Ranking metric through a lot of screens.
The main difference in my view - depending on how you have defined it would be the following
q's
(1) Did you just take the 180d SMA for last 2 weeks and calc the Slope - this would actually be very similar to Jim's
(2) While on the other hand - if you take the ACTUAL 180d Slope of the indices - that might take a while to turn over(slower but lesser whipsaws as is norm)- since it depends on the Regression fit.
(3) Jim's original definition ( and IIRC it was on the SP500) - is a 2 point check ie SMA180(0) - SMA180(10) <0. The smoothness comes from the SMA - which is fairly MT/LT and so it simply means - if there has been a LOT OF BAD DAYS LATELY - for it to go negative.
From an RRS standpoint .... it would take a LOT of Days for the entire observation cloud to have negative slope on 180d lookback
Hope this made sense!
best
No. of Recommendations: 0
Hope this made sense!
Just to be clear the signals I posted were results of MAC(50), MAC(200) and DMAC(50,200) (simple crossovers).
GD_
No. of Recommendations: 0
For the 50d/200d Slopes - you take the collection of 50d SMA and 200d SMA
and then how many points EACH for calculating the slope?
Or do you just take the 50 d SP500 closes for eg to directly calculate slope of the index?
Best
No. of Recommendations: 3
For the 50d/200d Slopes - you take the collection of 50d SMA and 200d SMA
and then how many points EACH for calculating the slope?
50 and 200 points
SLOPE(LN(F$458:F$507),$A$458:$A$507)*50
SLOPE(LN(F$308:F$507),$A$308:$A$507)*200
The fidelity chart plots a moving linear regression - LR that appears similiar to an Simple Moving Average.
The chart comparison of 50d-SMA to 50d-LR indicates the LR is "faster" more sensitive than the MA. Follows closer to the Price.
GD_
GD_
No. of Recommendations: 4
Hi GD_ ....There are subtle differences - and they are all technical - or should I say STATISTICAL - because that's what these indicators really are.
( How much I miss Jim!)
QUOTE :The fidelity chart plots a moving linear regression - LR that appears similiar to an Simple Moving Average.)
All these indicators are essentially Statistical estimators ie guesses of the future data point
(1) SMA is just that - takes all the points in the lookback time period and puts a dot at the average of those points as the best guess
(2) A Linear Regression takes all those points and "fits" a line to them. Hence it has 1 degree higher assumption than the Average.
For all practical purposes - the LR is a dynamic adjustment to the Average ( Simple Linear Model theory states that the Regression is the Mean ie Average + Slope*Design Matrix)
A Moving Linear Regression as plotted on Charts is just that "ending point estimate" and moving ie dynamic ie endpoint now, endpoint as it was yesterday and so on ....
So if the Index is having a trend and it can be approximated by a line ( more or less linear visually) - MLR will beat the SMA - by construction. Since its a better parametrized model. But NOT ALWAYS!
EXCEPT THAT :SMA just has a time series assumption and doesnt have the linear one - so its better approximation in a heavily undulating non-linear series.
As you can surmise from the above- NONE of that is related to SLOPE :)
The concept of the SLOPE is also embedded in Statistical theory - to determine CIT ie Change In Trend.
Its actually precisely to check for that phenomenon I mentioned above ie undulation. If one goes with the assumption that the underlying undulating index can be approximated by a PIECE-WISE Linear graph by setting the approximate periodicity ( ie lookback) THEN the CHANGE in the SLOPE helps in establishing CIT.
NET MESSAGE: What works better- Unfortunately you have to run a Backtest thru something like GTR to establish that.
Jim's original method vs Yours to determine. They are both VALID indicators and pretty darn good .... but optimality cant be guaranteed a-priori.
Best
No. of Recommendations: 0
I was curious if you are still allowed to post on Saul's board. I am not allowed to. It's fine with me. I don't have the time to do the type of research he is looking for anyway so I have nothing to contribute.
