July 28, 2017

Short-Term High-Probability, Mean Reversion Indicator. Back In a Short-Term Neutral State.

Some say that the news of a bailout in Ireland and the better-than-expected Philly Fed report were the reasons behind the surge today. Well, I do find it interesting that the sharp bounce came off of “very oversold” readings (as stated in my post yesterday) in the major market indexes. Also, interestingly enough, for some odd reason the indices managed to stop moving higher once the gaps were closed from 11/16. Sorry for the sarcasm, but this happens more often than not when we see these types of readings and yet, the talking heads mention nothing of the short-term extremes in the market. It amazes me! Oh well, I guess it is to our benefit right?

The gap higher at the open eventually led to a close of the 11/16 gap in the S&P 500 (SPY). Moreover, the bounce led to a neutral reading in all of the ETFs I follow for my High-Probability, Mean-Reversion Strategy.

The gap higher today in SPY has left a gap that would take a move down to $118.71 to close the huge hole that was left in the SPY chart. Most of the ETFs that I follow were left with similar gaps which typically means that a fill should occur sooner than later.

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Short-Term High-Probability, Mean-Reversion Indicator – as of close 11/18/10

Benchmark ETFs

* S&P 500 (SPY) – 51.0 (neutral)
* Dow Jones (DIA) – 52.0 (neutral)
* Russell 2000 (IWM) – 54.9 (neutral)
* NASDAQ 100 (QQQQ) – 50.1 (neutral)

Sector ETFs

* Biotech (IBB) – 60.3 (neutral)
* Consumer Discretionary (XLY) – 56.3 (neutral)
* Health Care (XLV) – 51.1 (neutral)
* Financial (XLF) – 45.6  (neutral)
* Energy (XLE) – 63.7 (neutral)
* Gold Miners (GDX) – 49.2 (neutral)
* Industrial (XLI) – 56.5 (neutral)
* Materials (XLB) – 47.6 (neutral)
* Real Estate (IYR) – 34.5 (neutral)
* Retail (RTH) – 54.3 (neutral)
* Semiconductor (SMH) – 60.1 (neutral)
* United States Oil Fund (USO) – 38.6 (neutral) / RSI (2) – 2.8
* Utilities (XLU) – 39.0 (neutral)

International ETFs

* Brazil (EWZ) – 51.0 (neutral)
* China 25 (FXI) – 41.5 (neutral)
* EAFE (EFA) – 56.6 (neutral)
* South Korea (EWY) – 55.3 (neutral)

Commodity ETFs

* Gold (GLD) – 42.7 (neutral)

Ultra Extremes

* Small Cap Bear 3x (TZA) – 42.9 (neutral)
* Small-Cap Bull 3x (TNA) – 53.7 (neutral)
* UltraLong QQQQ (QLD) – 49.9 (neutral)
* Ultra Long S&P 500 (SSO) – 50.9 (neutral) / RSI (2) – 2.9
* Ultra Short S&P 500 (SDS) – 47.4 (neutral) / RSI (2) – 96.1
* UltraShort 20+ Treasury (TBT) – 54.0 (neutral)

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Kindest,

Andy