{"id":17350,"date":"2013-04-06T13:56:41","date_gmt":"2013-04-06T20:56:41","guid":{"rendered":"http:\/\/drduru.com\/onetwentytwo\/?p=17350"},"modified":"2013-04-06T13:56:41","modified_gmt":"2013-04-06T20:56:41","slug":"t2108-update-130405","status":"publish","type":"post","link":"https:\/\/drduru.com\/onetwentytwo\/2013\/04\/06\/t2108-update-130405\/","title":{"rendered":"T2108 Update (April 5, 2013) &#8211; Churn Continues. Positive Bias Remains."},"content":{"rendered":"<p>(T2108 measures the percentage of stocks trading above their respective 40-day moving averages [DMAs]. It helps to identify extremes in market sentiment that are highly likely to reverse. To learn more about it, see my <a href=\"http:\/\/www.drduru.com\/money\/T2108.htm\">T2108 Resource Page<\/a>. You can <a href=\"http:\/\/twitter.com\/#!\/search\/%23T2108\">follow real-time T2108 commentary<\/a> on twitter using the #T2108 hashtag. T2108-related trades and other trades are posted on twitter using <a href=\"http:\/\/twitter.com\/#!\/search\/%23120trade\" target=\"_blank\">the #120trade hashtag<\/a>)<\/p>\n<p><strong>T2108 Status<\/strong>: 48.0%<br \/>\n<strong>VIX Status<\/strong>: 13.9<br \/>\n<strong>General (Short-term) Trading Call<\/strong>: Hold<\/p>\n<p><strong>Reference Charts<\/strong> (click for view of last 6 months from Stockcharts.com):<br \/>\n<a href=\"http:\/\/stockcharts.com\/h-sc\/ui?s=$SPX&#038;p=D&#038;st=2012-10-05&#038;en=2013-04-05&#038;id=p14085208538\" title=\"6-month chart of the S&#038;P 500\" target=\"_blank\">S&#038;P 500<\/a> or <a href=\"http:\/\/stockcharts.com\/h-sc\/ui?s=SPY&#038;p=D&#038;st=2012-10-05&#038;en=2013-04-05&#038;id=p14085208538\" title=\"6-month chart of SPY\" target=\"_blank\">SPY<\/a><br \/>\n<a href=\"http:\/\/stockcharts.com\/h-sc\/ui?s=SDS&#038;p=D&#038;st=2012-10-05&#038;en=2013-04-05&#038;id=p15880085697\" title=\"6-month chart of SDS\" target=\"_blank\">SDS<\/a> (ProShares UltraShort S&#038;P500)<br \/>\n<a href=\"http:\/\/stockcharts.com\/h-sc\/ui?s=$USD&#038;p=D&#038;st=2012-10-05&#038;en=2013-04-05&#038;id=p25615696567\" title=\"6-month chart of the U.S. dollar\" target=\"_blank\">U.S. Dollar Index<\/a> (volatility index)<br \/>\n<a href=\"http:\/\/stockcharts.com\/h-sc\/ui?s=$VIX&#038;p=D&#038;st=2012-10-05&#038;en=2013-04-05&#038;id=p25615696567\" title=\"6-month chart of the VIX\" target=\"_blank\">VIX<\/a> (volatility index)<br \/>\n<a href=\"http:\/\/stockcharts.com\/h-sc\/ui?s=VXX&#038;p=D&#038;st=2012-10-05&#038;en=2013-04-05&#038;id=p15880085697\" title=\"6-month chart of VXX\" target=\"_blank\">VXX<\/a> (iPath S&#038;P 500 VIX Short-Term Futures ETN)<br \/>\n<a href=\"http:\/\/stockcharts.com\/h-sc\/ui?s=EWG&#038;p=D&#038;st=2012-10-05&#038;en=2013-04-05&#038;id=p15880085697\" title=\"6-month chart of EWG\" target=\"_blank\">EWG<\/a> (iShares MSCI Germany Index Fund)<br \/>\n<a href=\"http:\/\/stockcharts.com\/h-sc\/ui?s=CAT&#038;p=D&#038;st=2012-10-05&#038;en=2013-04-05&#038;id=p15880085697\" title=\"6-month chart of CAT\" target=\"_blank\">CAT<\/a> (Caterpillar)<\/p>\n<p><strong>Commentary<\/strong><br \/>\nAs luck would have it, <a href=\"http:\/\/drduru.com\/onetwentytwo\/2013\/04\/04\/t2108-update-130404\/\" target=\"_blank\">the SSO put I bought on Thursday to play the T2108 Model<\/a> tripled in value when I sold it in the wake of Friday&#8217;s opening sell-off. The S&#038;P 500 trembled as U.S. unemployment numbers were much worse than expected. However, after the index tagged its lower-Bollinger Band, I realized the action set up a fresh buying opportunity. I am now long SSO calls. (You can follow <a href=\"https:\/\/twitter.com\/DrDuru\" target=\"_blank\">my real-time commentary on twitter<\/a>. The trades are tagged with <a href=\"https:\/\/twitter.com\/search?q=%23120trade&#038;src=typd\" target=\"_blank\">the #120trade hashtag<\/a>.). Those calls increased in value over 30% by the close as the S&#038;P 500, almost predictably, bounced off the lower-BB. After it is all said and done, the S&#038;P 500 has still gone nowhere for a month.<\/p>\n<p><center><br \/>\n<figure id=\"attachment_17352\" aria-describedby=\"caption-attachment-17352\" style=\"width: 490px\" class=\"wp-caption aligncenter\"><a href=\"http:\/\/drduru.com\/onetwentytwo\/wp-content\/uploads\/2013\/04\/130405_SP500.png\"><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/drduru.com\/onetwentytwo\/wp-content\/uploads\/2013\/04\/130405_SP500.png\" alt=\"The S&amp;P 500&#039;s churn continues as it bounces nicely off the lower-BB\" title=\"The S&amp;P 500&#039;s churn continues as it bounces nicely off the lower-BB\" width=\"500\" height=\"350\" class=\"size-full wp-image-17352\" srcset=\"https:\/\/drduru.com\/onetwentytwo\/wp-content\/uploads\/2013\/04\/130405_SP500.png 500w, https:\/\/drduru.com\/onetwentytwo\/wp-content\/uploads\/2013\/04\/130405_SP500-300x210.png 300w\" sizes=\"auto, (max-width: 500px) 100vw, 500px\" \/><\/a><figcaption id=\"caption-attachment-17352\" class=\"wp-caption-text\">The S&P 500&#039;s churn continues as it bounces nicely off the lower-BB<\/figcaption><\/figure><br \/>\n<\/center><\/p>\n<p>The opening excitement drove the VIX right to its 200DMA and just above the all-important resistance\/support level of 15.3. Again, almost predictably, the VIX soon faded from these resistance levels and closed right where it closed the previous day. This action sets up a likely positive day on Monday where I will most likely sell my SSO calls.<\/p>\n<p>T2108 dropped just slightly to 48.0%. It first dropped below 50% two days ago. The S&#038;P 500&#8217;s performance since then is exactly 0%. This is important because my T2108 model suggests the S&#038;P 500 will have a positive bias until this &#8220;under period&#8221; lasts about 30 days. The chart below shows historical performance of the S&#038;P 500 from the first day T2108 closes below 50% to the first day it rises above 50%. The blue dots show actual performance. The red dots show the predicted performance (using Support Vector Machines {SVM} with a radial projection for you data mining\/machine learning types). The x-axis measures how long (the duration) T2108 remains below the 50% threshold.<\/p>\n<p><center><br \/>\n<figure id=\"attachment_17353\" aria-describedby=\"caption-attachment-17353\" style=\"width: 394px\" class=\"wp-caption aligncenter\"><a href=\"http:\/\/drduru.com\/onetwentytwo\/wp-content\/uploads\/2013\/04\/130405_T2108Below50Threshold.png\"><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/drduru.com\/onetwentytwo\/wp-content\/uploads\/2013\/04\/130405_T2108Below50Threshold.png\" alt=\"A positive bias until T2108 stays below 50% around 30 trading days\" title=\"A positive bias until T2108 stays below 50% around 30 trading days\" width=\"404\" height=\"352\" class=\"size-full wp-image-17353\" srcset=\"https:\/\/drduru.com\/onetwentytwo\/wp-content\/uploads\/2013\/04\/130405_T2108Below50Threshold.png 404w, https:\/\/drduru.com\/onetwentytwo\/wp-content\/uploads\/2013\/04\/130405_T2108Below50Threshold-300x261.png 300w\" sizes=\"auto, (max-width: 404px) 100vw, 404px\" \/><\/a><figcaption id=\"caption-attachment-17353\" class=\"wp-caption-text\">A positive bias until T2108 stays below 50% around 30 trading days<\/figcaption><\/figure><br \/>\n<\/center><\/p>\n<p>What this chart does not show is the range of expected performance WHILE T2108 makes it way above the 50% threshold again. Making the drawdown risks explicit is one of the many to-dos ahead of me before I fully publish my results of the T2108 overhaul. Note well that being able to examine S&#038;P 500 behavior above and below ANY threshold is one of the several improvements I have made. This rethink is part of what makes the concepts of overbought and oversold a lot more squishy and a little less relevant to the overall analytic framework. Stay tuned for more.<\/p>\n<p><center><br \/>\n<strong>Daily T2108 vs the S&#038;P 500<\/strong><br \/>\n<img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/www.drduru.com\/money\/charts\/T2108-daily_s.png\" width=\"500\" height=\"350\" alt=\"T2108 vs. the S&#038;P 500 (DAILY)\" title=\"T2108 vs. the S&#038;P 500 (DAILY)\"><\/p>\n<p>Black line: T2108 (measured on the right); Green line: S&#038;P 500 (for comparative purposes)<br \/>\nRed line: T2108 Overbought (70%); Blue line: T2108 Oversold (20%)<br \/>\n<\/center><\/p>\n<p><center><br \/>\n<strong>Weekly T2108<\/strong><br \/>\n<a href=\"http:\/\/www.drduru.com\/money\/charts\/T2108-weekly_s.png\"><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/www.drduru.com\/money\/charts\/T2108-weekly_s.png\" width=\"500\" height=\"350\" alt=\"Weekly T2108\" title=\"Weekly T2108\"><br \/>\n*<strong>All charts created using <a href=\"http:\/\/www.freestockcharts.com\/\" title=\"Freestockcharts.com\" target=\"_blank\">freestockcharts.com<\/a><\/strong> unless otherwise stated<\/a><br \/>\n<\/center><\/p>\n<p><strong>Related links:<\/strong><br \/>\n<a href=\"http:\/\/www.drduru.com\/money\/T2108.htm\">The T2108 Resource Page<\/a><br \/>\n<a href=\"http:\/\/www.drduru.com\/money\/charts\/T2108-daily.jpg\">Expanded daily chart of T2108 versus the S&#038;P 500<\/a><br \/>\n<a href=\"http:\/\/www.drduru.com\/money\/charts\/T2108-weekly.jpg\">Expanded weekly chart of T2108 <\/a><\/p>\n<p>Be careful out there!<\/p>\n<p>Full disclosure: long VXX shares and puts; long SSO calls<\/p>\n","protected":false},"excerpt":{"rendered":"<p>(T2108 measures the percentage of stocks trading above their respective 40-day moving averages [DMAs]. It helps to identify extremes in market sentiment that are highly likely to reverse. To learn more about it, see my T2108 Resource Page. You can follow real-time T2108 commentary on twitter using the #T2108 hashtag. T2108-related trades and other trades &#8230; <a title=\"T2108 Update (April 5, 2013) &#8211; Churn Continues. Positive Bias Remains.\" class=\"read-more\" href=\"https:\/\/drduru.com\/onetwentytwo\/2013\/04\/06\/t2108-update-130405\/\">Read more<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"footnotes":""},"categories":[135,1154,62],"tags":[65,226,1597,303],"class_list":["post-17350","post","type-post","status-publish","format-standard","hentry","category-stock-market-trading","category-t2108-model","category-technical-analysis","tag-sp-500","tag-t2108","tag-technical-analysis","tag-vix"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.4 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>T2108 Update (April 5, 2013) - Churn Continues. Positive Bias Remains. - ONE-TWENTY TWO: Trading Financial Markets<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/drduru.com\/onetwentytwo\/2013\/04\/06\/t2108-update-130405\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"T2108 Update (April 5, 2013) - Churn Continues. Positive Bias Remains. - ONE-TWENTY TWO: Trading Financial Markets\" \/>\n<meta property=\"og:description\" content=\"(T2108 measures the percentage of stocks trading above their respective 40-day moving averages [DMAs]. It helps to identify extremes in market sentiment that are highly likely to reverse. To learn more about it, see my T2108 Resource Page. You can follow real-time T2108 commentary on twitter using the #T2108 hashtag. T2108-related trades and other trades ... 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Read more","og_url":"https:\/\/drduru.com\/onetwentytwo\/2013\/04\/06\/t2108-update-130405\/","og_site_name":"ONE-TWENTY TWO: Trading Financial Markets","article_published_time":"2013-04-06T20:56:41+00:00","og_image":[{"url":"http:\/\/drduru.com\/onetwentytwo\/wp-content\/uploads\/2013\/04\/130405_SP500.png","type":"","width":"","height":""}],"author":"Dr. Duru","twitter_card":"summary_large_image","twitter_creator":"@drduru","twitter_site":"@drduru","twitter_misc":{"Written by":"Dr. Duru","Est. reading time":"3 minutes"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"Article","@id":"https:\/\/drduru.com\/onetwentytwo\/2013\/04\/06\/t2108-update-130405\/#article","isPartOf":{"@id":"https:\/\/drduru.com\/onetwentytwo\/2013\/04\/06\/t2108-update-130405\/"},"author":{"name":"Dr. Duru","@id":"https:\/\/drduru.com\/onetwentytwo\/#\/schema\/person\/d9569fde6c701b021a8d958f775be9a0"},"headline":"T2108 Update (April 5, 2013) &#8211; Churn Continues. 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