Blog Under Construction
December 23, 2011 in Other
Finally TimelySetup blog has its own domain. This blog is under construction. For now, please visit http://timelysetup.wordpress.com/
Review of 2011
December 20, 2011 in Daily Market Analysis
I am done for the year. Similarly, daily market analysis will be resumed on the first week of 2012. To close the year, I thought it is a good time to review the volatile year of 2011.
Trend Following
The year has not been kind to trend followers. The performance of many trend following wizards, e.g. those tracked by Automated Trading System blog, are mostly negative for the year.
There was a clear lack of trends perhaps owing to opposing forces of negative drags on European debt crisis, positive earnings on US companies, and intermittent intervention by government agencies. The negative year and drawdown from trend followers are to be expected. It is part and parcel of pure trend following strategy.
Breakout Swing Trading
The year 2011 has not been kind to breakout swing trading either. The best non-leveraged breakout swing trader might have produced lower single digit returns, most would have negative returns for the year.
Breakout swing trading works well in a bull market. The strategy will outperform simple buy and hold because it gets in very early on up-swing continuations. It swings from one stock to the next as new highs were formed.
Daily Market Analysis for 16 Dec 2011 Close
December 17, 2011 in Daily Market Analysis
Welcome to Objectively Defined Non-Ambiguous Market Timing Analysis.
Market Timing Direction: NEUTRAL since Dec 14, 2011 Close.
| Analysis | Direction | Timely Note |
| Market Breadth Pattern | Neutral | On Friday, both market indexes and breadth numbers were neutral. The market opened with an up gap which was quickly closed. This was not a sign of strength.
For the past two months, the market has been wildly volatile with sharp up swings and down swings with multiple huge opening gaps on both side. This is not a sign of sustained accumulation or distribution on either side. The market has whipsawed trend followers, perhaps unless profit taking mechanism is put in place. The market is still in a Weak market state. |
| Primary Breadth Trend | Bearish | The primary market breadth has turned bearish. |
| Monetary Conditions | Bullish | Monetary base started to decline. However, short-term interest is still much lower than longer term interest rate. Thus, Interest Rate Pump factor continues to rise. Monetary policy is still extra easy. |
Note: Any change from previous day summary is highlighted in blue.
Below is the forward-looking market timing track record since the blog started. Next day opening price of SPY is used to calculate gain/loss so that we can take advantage of it in a realistic setting. SPY is used for reference only. You can use other instrument of your liking, e.g. TNA, options, futures. For historical back-testing results, please read the last section of Market Breadth Pattern guide.
| Date | Action | SPY Next Day Open | Gain/Loss | In Percent |
| 2011-Apr-20 | BUY (Long) | 133.79 | ||
| 2011-May-09 | exit | 135.17 | 1.38 | 1.0% |
| 2011-May-11 | SELL (Short) | 135.67 | ||
| 2011-May-26 | exit | 133.00 | 2.67 | 2.0% |
| 2011-May-31 | BUY (Long) | 134.51 | ||
| 2011-Jun-01 | exit | 131.96 | -2.55 | -1.9% |
| 2011-Jun-01 | SELL (Short) | 131.96 | ||
| 2011-Jun-23 | exit | 128.27 | 3.69 | 2.8% |
| 2011-Jun-23 | BUY (Long) | 128.27 | ||
| 2011-Jul-13 | exit | 132.09 | 3.82 | 3.0% |
| 2011-Jul-21 | BUY (Long) | 134.52 | ||
| 2011-Jul-26 | exit | 132.59 | -1.93 | -1.4% |
| 2011-Jul-27 | SELL (Short) | 130.60 | ||
| 2011-Aug-09 | exit | 115.26 | 15.34 | 11.7% |
| 2011-Aug-18 | SELL (Short) | 112.96 | ||
| 2011-Oct-04 | exit | 112.62 | 0.34 | 0.3% |
| 2011-Oct-04 | BUY (Long) | 112.62 | ||
| 2011-Oct-17 | exit | 120.14 | 7.52 | 6.7% |
| 2011-Oct-17 | SELL (Short) | 120.14 | ||
| 2011-Oct-21 | exit | 124.17 | -4.03 | -3.4% |
| 2011-Oct-27 | BUY (Long) | 128.00 | ||
| 2011-Nov-09 | exit | 124.79 | -3.21 | -2.5% |
| 2011-Nov-09 | SELL (Short) | 124.79 | ||
| 2011-Nov-30 | exit | 124.85 | -0.06 | -0.0% |
| 2011-Dec-05 | BUY (Long) | 126.21 | ||
| 2011-Dec-14 | exit | 123.03 | -3.18 | -2.5% |
| Winning % | 53.8% | 53.8% | ||
| Win/Loss Ratio | 2.0 | 2.0 | ||
| Profit Factor | 2.3 | 2.3 | ||
| Count | 13 | 13 | ||
| SPY Point | Compounded | Trade End | ||
| Return | Max Drawdown | |||
| Market Timing | since Apr 2011 | 19.80 | 15.75% | 8.20% |
| Buy & Hold SPY | since Apr 2011 | -12.20 | -9.12% |
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