gdp's Comments

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - October 20, 2010

Wed, 20 Oct 2010 15:15:51 +0000

Everything is not being looked at with a bearish bias. A simple look at the active studies will prove that incorrect. My basis for interpreting the current Rydex NDX data as bearish is very simple: the previous times the ratio has been this high, the market either stalled out or declined. In general I do not subscribe to the "wall of worry" theory - that a market rising on declining sentiment is a good thing. As long as people become more bullish, the market should continue to rise. It's only when that sentiment reaches an extreme that I take a contrary view. We can argue all day about whether we're at an extreme, but I try to be clear why I conclude that in the comments.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - October 8, 2010

Fri, 8 Oct 2010 20:58:26 +0000

It's not all that rare. When "the market' is overbought (i.e. the S&P 500), we typically see most/all of the sectors overbought as well, it's just a matter of degree. Some of them have relatively few components, so it's easier for them to hit overbought/oversold.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - October 8, 2010

Fri, 8 Oct 2010 20:57:03 +0000

It's a good question, and I think using them separately would be more of an issue. Taking the ratio helps to alleviate the structural decline in Rydex assets as more and more traders use ETFs. The absolute $ amount has never been an issue to me. It's like the Inv. Intelligence (or any other) sentiment survey. We're using a sample of ~150 people to generalize about millions of participants. But, for the most part, it still works. I only disregard data when something structural changes permanently (e.g. specialist short sales) or the indicator starts to fail time and time again.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - October 8, 2010

Fri, 8 Oct 2010 20:54:13 +0000

The NYSE has seemingly changed the data again. They didn't supply it for about two weeks, then when they started again the values have been wildly different from all other history. They have changed their calculation method or something, we're not sure what yet.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - September 28, 2010

Tue, 28 Sep 2010 18:32:35 +0000

I was posting something mechanical prior to the fall of 2007, with the intermediate-term one continuing for a bit after that. So using the short-term changes, and neglecting to take into account scaling, etc. (just assuming you went 100% long or short), the signals generated +217 points versus -381 points for buy and hold. I could be slightly off on that, and again it's not taking into account scaling, but it should be a good enough rough approximation. Take that for what it is, which is not much. The point isn't to generate trades, and it's not to beat buy and hold. If that's your metric, then feel free to determine its use for yourself.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - September 27, 2010

Mon, 27 Sep 2010 16:39:59 +0000

I've had to take a different tack with the crosshair function, due to limitations within Internet Explorer. Please check out this chart, as it should work better across more browsers (and also requires one less click, and allows you to have just horizonal or vertical crosshairs). http://www.sentimentrader.com/subscriber/charts/W...

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - September 27, 2010

Mon, 27 Sep 2010 14:23:31 +0000

Agreed on the toggle button, though oddly enough it's actually proven to be more complicated coding-wise than using the checkbox. The placement would be changed, it's at the bottom now just out of convenience for writing the code.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - September 27, 2010

Mon, 27 Sep 2010 14:22:19 +0000

Right, you would have to refresh the page to turn it off.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - September 27, 2010

Mon, 27 Sep 2010 14:21:42 +0000

Seems to be a common issue with IE. The crosshairs work, but only after clicking the "out of memory" box.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - September 23, 2010

Thu, 23 Sep 2010 22:46:46 +0000

It's a valid point, and something I considered for a long time. I simply don't know. I do feel better about how things are now, but if it does turn into too much of a distraction, I'll just pull the outlook kind of stuff and put it on a separate site. Half of subscribers seem to think that's a good idea, half seem to think it's a terrible idea, half couldn't care less (yes, I know that's three halves). Bottom line, I like how things are now, I think it's a good mix, and I'd like to keep it this way and see how it goes.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - September 23, 2010

Thu, 23 Sep 2010 14:59:04 +0000

Actually it's less stressful. There is no question where things stand this way, nobody has to guess, and it is what it is. The stress I've felt is when people have to try to interpret things their own way, then ask for specific trading advice. This is not advice in any form. If people take trades based off what the outlook says, then it's on them to manage it. We're all big boys and girls. The focus of the site is not, and will not be, trading advice. It is, and always will be, sentiment (and related) research. The outlook is just a reflection of what the stuff on the site is suggesting.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - September 21, 2010

Tue, 21 Sep 2010 12:31:57 +0000

As a pre-emtive comment based on early emails: Please give the bullish/bearish outlook thing some time to play out. It should be very clear - now - why there is a bullish or bearish outlook, and why the percentage is what it is. I fully understand it was 50% bearish yesterday on a day the market rocketed higher, and AFTER that it is now bullish. It would have been better if that were reversed. I get that. But again, please don't condemn something after 2 days. The goal of the site isn't trading advice, but unfortunately that seems to be what generates the most email and comments. The goal is to provide objective research and ideas. The outlook has always just been meant as a quick way to see if the stuff on the site is generally pointing up or down. For the most part, I do trade in the direction of whatever the outlook happens to be, but they are not actual trades, far from it. The only way I can possibly see how to clear that up is to give specific trades, which I'm still considering. Not as a part of the main site, but as a separate site for those who would be interested in such a thing. Jason

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - August 31, 2010

Wed, 1 Sep 2010 23:33:03 +0000

I agree that ETFs have something to do with it, but I also believe high-frequency trading is another, and probably larger, factor. I'm sure we'll see an academic paper before too long on the impact of ETFs on the broader market, and I'm looking forward to it. As for sample size, what I try to do is find historical comparisons to what we're seeing now, using as few inputs as possible. The thing I try very hard not to do is tweak the studies dozens of times to find something that creates an output I think looks good. So I start with a hypothesis, then run the numbers to see if it's valid or not. If not, then I move on to the next idea. Sometimes, there are only a handful of precedents, and I usually note the problem with using small sample sizes. That doesn't mean we can't note them and add them to the weight of the evidence, but like any other study I wouldn't rely solely on them for trading/investing purposes. As far as t-stats, z-scores, etc., I used to report them but for the vast majority of folks, it made the discussion too dry and they just skipped over what some would consider the most important parts. So it's a balance between reporting enough information, and too much, and I don't have an answer for what the proper balance is. I'll never please everyone, no matter what...that I learned quickly!

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - August 13, 2010

Mon, 16 Aug 2010 21:50:51 +0000

I'm not sure who "the professor" is, but my opinion is that it is a valid point...kind of. Bonds have been on fire lately, and that surely helped to shove a number of issues to a new 52-week high. That would explain why we likely got a HO signal, but does it negate it? No, it doesn't. We can make excuses all day long for why something did whatever it did, but that doesn't take away the fact that it happened. And unless one is prepared to go back and analyze every other HO signal and see if bonds were the culprit, then I suggest not saying this one doesn't matter, either. The fact of the matter is that bonds have ALWAYS had a material impact on the a/d line. Ever since 1960, the furthest back I go. If you take a look at the 10-day a/d line and compare it to bond yields, the correlation is striking. Personally, I think the attention the signal is getting is ludicrous. There is no doubt that it is an arcane, data-mined monstrosity that happens to have a fancy name and that triggered the media attention. Despite its drawbacks (and there are many), the fact is that it has held up well (not perfectly, but well) under real-time trading for many years, and I think it's a modest reason to at least be a bit suspicious of the upside here.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - August 13, 2010

Fri, 13 Aug 2010 20:20:41 +0000

Using several different quote vendors for SPY, I show that the gaps down on 8/10, 8/11 and 8/12 were never filled...the highs of the subsequent days never made it back to the previous day's closing price. It came very close on 8/10 and 8/12 but no cigar (according to the vendors I use).

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - August 13, 2010

Fri, 13 Aug 2010 20:18:55 +0000

For all practical purposes, not a whit. But in order to maintain some kind of accountability on the site, I have to give exact prices, and if it misses by a tick it might as well miss by 10 points - the result is the same...no entry.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - August 13, 2010

Fri, 13 Aug 2010 14:55:18 +0000

Nope

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - August 5, 2010

Thu, 5 Aug 2010 19:36:10 +0000

They are truly extreme. I have data back to 1999, and there were only three other times that match the current extreme - 11/23/01. 1/26/04 and 3/30/07. The first two were good indications of a speculative peak, the latter one was not. That inconsistency is why I haven't written about it, along with the fact that the TICK has been more volatile than it really ever has been before.

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - August 5, 2010

Thu, 5 Aug 2010 15:34:52 +0000

Steve, that's a pretty consistent question, and I'm working on something that will hopefully take care of it once and for all. As it stands now, it is not meant to give trading directions, but the bias does point bullish or bearish based on a weight-of-the-evidence approach. I've been very conservative in changing the biases, for reasons discussed at length in prior comments (mostly due to conflicts with managed accounts). FWIW, all the changes can be found here: http://www.sentimentrader.com/subscriber/portfoli...

sentimenTrader - Independent Sentiment Research for the Stock and Bond Markets : Morning Report - June 22, 2010

Wed, 23 Jun 2010 02:09:41 +0000

If the S&P settled near 1100-1105, it looked good for a short-term rebound into the FOMC decision. Longer-term, a drop below that area would be a failed breakout, and not something we should see given the intermediate-term signals we've gone over since mid-May, so not a "sell" longer-term, but from my perspective a reason to become more cautious.