Posts Tagged ‘moving average’

More Observations On HFT’s Tyranny Of Stock Markets

More Observations On HFT’s Tyranny Of Stock Markets

Courtesy of Tyler Durden of Zero Hedge

Anywhere one turns these days, bashing HFT is the new market normal. Having written 150 articles on the topic, beginning in April 2009, we are happy to have brought the world’s attention to this most dangerous of market aberrations. Yet until the SEC finally bans the practices of micro churning, quote stuffing, positive feedback loop chasing, flash trading, subpennying, DMA accessing, and all other aspects conceived merely to provide some market participants with an unfair advantage over everyone else, the fight against HFT must continue.

Which is why we draw your attention to two items: the first is a paper by Bluemont Capital "The Marginalizing of the Individual Investor" in which the authors question if HFT has distorted true market valuation (yes) and to what degree. Some relevant soundbites: "Unfortunately, high-frequency trader interaction with computerized algorithms of large-cap financial institutions is providing opportunities for high-speed, virtually undetectable market manipulation", "At a minimum, computerized high-frequency and algorithmic trading are undermining traditional value investing strategies. Short-term liquidity and data movements are distorting information on real business performance", "Essentially, high-frequency trading platforms function as positive feedback loops. Engineers treat positive feedback loops as inherently unstable, as each positive response generates stepped-up repetition of the same actions. Positive feedback loops result in an ever- expanding balloon, but like all balloons, the risk of bursting increases with the balloon’s size." It concludes that the "continuing advances in computerized trading pose challenges for regulators throughout the world—and leave individual investors marginalized… Regulators should not only seek to assure that markets are able to continue to function under stress, but they also need to devise remedial actions that protect individual investors who have fundamentally different objectives from the high-turnover objectives of high frequency traders and computerized algorithms."

The other notable item is the appearance of our friends at Nanex on ABC radio over in Australia, where firm founder Eric Hunsader discusses the previously highlighted concepts of latency arbitrage as a potential progenitor to the May 6 crash, as well as possible ways that the NBBO arbitrage could have provided for unfair and illegal mispricing opportunities for a select few.

Bluemont Capital "On the Marginalizing of the Individual Investor":

 

Full August 29 interview with Eric Hunsader on Latency Arbitrage
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Dark Horse Hedge 7/14/10

Dark Horse Hedge 7/14/10

Horses in corral

By Scott Brown of Sabrient and Ilene at PSW

Intel Corp (INTC) set the stage for what could have been a 7th consecutive bullish day for all 3 major indexes, but in the end the S&P closed just below the flat-line for the day, down 0.17 at 1095.2.  There were two apparent reasons the market struggled in the face of such an upbeat report from INTC. The first was that financial stocks slumped all day, finishing down 0.9% as a group.  STI, which we shorted in our last update, was down 2.75%.  JPMorgan (JPM) announces its quarterly report tomorrow morning and that could be contributing to overall weakness in the financial sector.  The second factor holding the market back today was the FOMC meeting minutes in which real GDP for 2010 was downgraded from 3.2-3.7% to 3.0-3.5%.

The S&P 500 is trading right along the 50 day Moving Average.  Our Dark Horse Hedge portfolio is tilted short, 2:1. That is, our positions are weighted 67% short and 33% long, so while DHH is largely hedged, it has a net short exposure.  We would change to a balanced Short/Long ratio, 1:1, if our models supported such a move.  So far, they have not, even though they’re close.   

In determining when a shift in "tilt" is appropriate, we apply a "hysteretic" model.  Hysteresis refers to systems that have memory, where the effects of the current input (or stimulus) to the system are experienced with a certain memory for the previous input and a certain delay in reaction time. Hysteresis is defined as "the phenomenon exhibited by a system in which the reaction of the system to changes is dependent upon its past reactions to change" and as "the lag in response exhibited by a body in reacting to changes in the forces." Using a hysteretic formula, we look for more confirmation of a breakout than just breaking across a Moving Average on a given day. 

Quantitative analysis involves a graduate level economics course to thoroughly explain, but that isn’t necessary for our purposes. The important thing to understand is that we take into consideration the direction of the movement across a Moving Average, and the support from other indicators such as…
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Kimble Charting Solutions

Global Stock Market Indexes Flash Bearish "Look Alike" Patterns?

Courtesy of Chris Kimble.

Over the past several weeks, I’ve shared several examples of key stock market indexes and indicators hitting long-term resistance. Today, we’ll do the same… but with a much wider lens. We’ll look at 9 different stock market indexes in the developed markets that look concerning.

When a stock or market index hits resistance, it has three possibilities: 1) to break out above resistance  2) to move sideways / consolidate near resistance  3) to turn lower and pullback or correct.

In the 9-pack of charts below, we are seeing bearish “look-alike” patterns emerging. And in each case, it looks like the given markets are turning lower (point 1).

The markets considered include 6 U.S. indexes and 3 European, including the S&P 500(NYSEARCA: SPY), ...



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Zero Hedge

Is The Greatest Bull Market Ever Finally Ending?

Courtesy of ZeroHedge. View original post here.

Authored by Charles Hugh Smith via OfTwoMinds blog,

The key here is the gains generated by owning US-denominated assets as the USD appreciates.

Is the Greatest Bull Market Ever finally ending? One straightforward approach to is to follow the money, i.e. global capital flows: assets that attract positive global capital flows will continue rising if demand for the assets exceeds supply, and assets that are being liquidated as capital flees the asset class (i.e. ...



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Phil's Favorites

Jamal Khashoggi disappearance a defining moment for Saudi Arabia's relations with the West

 

Embed from Getty Images

 

Jamal Khashoggi disappearance a defining moment for Saudi Arabia's relations with the West

Armida L. M. van Rij, King's College London

On October 2, Saudi Arabian journalist Jamal Khashoggi entered his country’s consulate in Istanbul to obtain the documents he needed to marry his fiancée. She was waiting outside. He never came out.

Following days of report...



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Insider Scoop

10 Stocks To Watch For October 18, 2018

Courtesy of Benzinga.

Some of the stocks that may grab investor focus today are:

  • Wall Street expects Philip Morris International Inc. (NYSE: PM) to report quarterly earnings at $1.27 per share on revenue of $7.15 billion before the opening bell. Philip Morris shares fell 0.07 percent to $84.50 in after-hours trading.
  • Analysts expect PayPal Holdings, Inc. (NASDAQ: ...


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Digital Currencies

Tether Tumbles Below Critical $1 Threshold As Dollar-Pegged Crypto Doubts Soar

Courtesy of ZeroHedge. View original post here.

Update: Careful to quickly assuage any potential loss of the narrative and 'full faith and credit' of the 'stablecoin', Tether released a statement on USDT drop:

"We would like to reiterate that although markets have shown temporary fluctuations in price, all USDT in circulation are sufficiently backed by U.S. dollars (USD) and that assets have always exceeded liabilities."

See, nothing to panic about.

*  *  *

The only cryptocurrency not rallying right now is the one pegged to the U.S. dolla...



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Chart School

Weekly Market Recap Oct 14, 2018

Courtesy of Blain.

Wednesday and Thursday finally brought some fireworks to a very complacent market.   The S&P 500 had not had a 1% move in 74 days until Wednesday’s drawdown.

Rising yields were nailed as the culprit but months of rallying eventually require some sort of shake out – whatever the catalyst.  Wednesday’s sell off was the worst day for the S&P 500 since February and the worst for the NASDAQ since June 2016.

The market losses are “a reaction from investors finally realizing we are in a higher interest-rate environment, and given the elevated level of stocks, market participants were likely looking for a reason to sell,” said Charlie Ripley, senior investment strategist for Allianz Investment Management. “Higher interest rates typically bring on tighter ...



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ValueWalk

Vilas Fund Up 55% In Q3; 3Q18 Letter: A Bull Market In Bearish Forecasts

By Jacob Wolinsky. Originally published at ValueWalk.

The Vilas Fund, LP letter for the third quarter ended September 30, 2018; titled, “A Bull Market in Bearish Forecasts.”

Ever since the financial crisis, there has been a huge fascination with predictions of the next “big crash” right around the next corner. Whether it is Greece, Italy, Chinese debt, the “overvalued” stock market, the Shiller Ratio, Puerto Rico, underfunded pensions in Illinois and New Jersey, the Fed (both for QE a few years ago and now for removing QE), rising interest rates, Federal budget deficits, peaking profit margins, etc...



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Members' Corner

Why obvious lies still make good propaganda

 

This is very good; it's about "firehosing", a type of propaganda, and how it works.

Why obvious lies still make good propaganda

A 2016 report described Russian propaganda as:
• high in volume
• rapid, continuous and repetitive
• having no commitment to objective reality
• lacking consistency

...

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Biotech

Gene-editing technique CRISPR identifies dangerous breast cancer mutations

Reminder: Pharmboy is available to chat with Members, comments are found below each post.

 

Gene-editing technique CRISPR identifies dangerous breast cancer mutations

Breast cancer type 1 (BRCA1) is a human tumor suppressor gene, found in all humans. Its protein, also called by the synonym BRCA1, is responsible for repairing DNA. ibreakstock/Shutterstock.com

By Jay Shendure, University of Washington; Greg Findlay, ...



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Mapping The Market

Mistakes were Made. (And, Yes, by Me.)

Via Jean-Luc:

Famed investor reflecting on his mistakes:

Mistakes were Made. (And, Yes, by Me.)

One that stands out for me:

Instead of focusing on how value factors in general did in identifying attractive stocks, I rushed to proclaim price-to-sales the winner. That was, until it wasn’t. I guess there’s a reason for the proclamation “The king is dead, long live the king” when a monarchy changes hands. As we continued to update the book, price-to-sales was no longer the “best” single value factor, replaced by others, depending upon the time frames examined. I had also become a lot more sophisticated in my analysis—thanks to criticism of my earlier work—and realized that everything, including factors, moves in and out of favor, depending upon the market environment. I also realized...



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OpTrader

Swing trading portfolio - week of September 11th, 2017

Reminder: OpTrader is available to chat with Members, comments are found below each post.

 

This post is for all our live virtual trade ideas and daily comments. Please click on "comments" below to follow our live discussion. All of our current  trades are listed in the spreadsheet below, with entry price (1/2 in and All in), and exit prices (1/3 out, 2/3 out, and All out).

We also indicate our stop, which is most of the time the "5 day moving average". All trades, unless indicated, are front-month ATM options. 

Please feel free to participate in the discussion and ask any questions you might have about this virtual portfolio, by clicking on the "comments" link right below.

To learn more about the swing trading virtual portfolio (strategy, performance, FAQ, etc.), please click here ...



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Promotions

Free eBook - "My Top Strategies for 2017"

 

 

Here's a free ebook for you to check out! 

Phil has a chapter in a newly-released eBook that we think you’ll enjoy.

In My Top Strategies for 2017, Phil's chapter is Secret Santa’s Inflation Hedges for 2017.

This chapter isn’t about risk or leverage. Phil present a few smart, practical ideas you can use as a hedge against inflation as well as hedging strategies designed to assist you in staying ahead of the markets.

Some other great content in this free eBook includes:

 

·       How 2017 Will Affect Oil, the US Dollar and the European Union

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All About Trends

Mid-Day Update

Reminder: Harlan is available to chat with Members, comments are found below each post.

Click here for the full report.




To learn more, sign up for David's free newsletter and receive the free report from All About Trends - "How To Outperform 90% Of Wall Street With Just $500 A Week." Tell David PSW sent you. - Ilene...

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About Phil:

Philip R. Davis is a founder Phil's Stock World, a stock and options trading site that teaches the art of options trading to newcomers and devises advanced strategies for expert traders...

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About Ilene:

Ilene is editor and affiliate program coordinator for PSW. She manages the site market shadows, archives, more. Contact Ilene to learn about our affiliate and content sharing programs.

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