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Archive for November 17th, 2008

Bespoke has note up this morning about the Yield curve (the separation between the 10y yield and the 3m yield).  So I realized that I hadn’t really looked at it in a while, and pulled it up.

yieldcurve

While we’ve reached an interesting upside point on the curve, it is important to notice that even having reached that point in 2001, there was still a lot of downside before we started to see the markets move up again.

Mike over at MarketSci has an interesting short term strategy for trading the SP-500 based on the yield curve.  I’ve replicated some of it although I haven’t been able to match his results.

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Momentum Top Signals

And the Lion created the oceans..(The last pho...

Image by Kelly Denker via Flickr

I wanted to follow-up on a post over at Big Picture that had to deal with momentum tops and bottoms.  Looking over the post, I don’t quite have the programming skill to look at exactly what is being discussed, but I did think it would be interesting to take a look a simple indicator – the number of stocks, for a given index (in this case the SP-500) that are below $10.  Why $10?  Totally arbitrary.  But it produced an interesting graph that I’ve reproduced below:

below10

The first graph is raw count with some moving averages thrown on them.  The second graph is a percentage of the total stocks in the index – and the S&P 500 is at the bottom with a 200 day MA thrown on it.

I don’t have a lot of comments on this at the moment – I’d just comment that we have now approached the same percent of stocks below $10 as near the market low in 2002.  I’m working on figuring out how it might be used in a system.

Geek note: There is survivorship bias in this chart as the SP-500 has obviously changed in terms of its members and I’m using a fixed version of the index.  Man, I wish one of the software developers would create the idea of a dynamic index that can change as the members of the index change.

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