Le mani forti nell'ultima mezzora ? - gz
By: GZ on Mercoledì 30 Ottobre 2002 13:16
C'è gente che occupa il proprio tempo in modo utile anche in borsa, ad es oggi c'è Goepfert di sentimentrader che mostra come funziona il grafico della prima mezzora e dell'ultima mezzora della borsa.
Questo per provare la teoria che : " le mani forti comprano/vendono nell'ultima mezzora e gli operatori più emotivi e meno esperti nella prima mezzora" (in prevalenza). In sostanza è un modo semplice per misurare l'accumulazione/distribuzione delle cosiddette Mani Forti S.p.A.
Non lo riassumo perchè è lungo, ma sono dati che non ho visto da nessuna parte.
Guardate anche solo il grafico qui alla fine del post se non avete tempo di leggere.
Qualcuno lo vuole fare per il Mibtel ???
DAILY COMMENTARY - Jason Goepfert
Tuesday, October 29, 2002 8:40 PM EST
A subscriber asked me to look at market performance near the open versus near the close to check on the well-worn market axioms "strong markets close well, while weak markets close poorly" and "dumb money buys the open, while smart money buys the close". The following series of charts looks at the actual close-to-close performance of the S&P 500 (black line) versus the performance during the opening (red line) and the performance during the closing (green line). For example, the red line shows the performance of the S&P in the first 30 minutes of trading only. Anything that occurred after those 30 minutes is deleted. The green line shows how the S&P 500 did during the last 1/2 hour only and takes no other time of day into consideration. On any given day, if the S&P rallied 20 points up until 3:30, then dropped 7 points going into the close, the green line would show a drop of 7 points.
Here are the same charts, showing only the past year of trading:
I think the period from 1998 - early 2000 could be considered a strong market, while obviously 2000 - current could be considered weak, so we have a good sample to work with here. Here are my observations:
1. STRONG OPENS AND STRONG CLOSES ARE GOOD. The period from late '98 - late '99 was incredibly strong, and it was characterized not only by strong closes, but also strong opens. In fact, the S&P (close-to-close) gained about 33% in that time frame. The "close-only" S&P gained 14% while the "open-only" S&P gained 21%.
2. WEAK OPENS AND WEAK CLOSES ARE BAD. When the market both opens and closes poorly, it tends to coincide with a very weak overall market. While this is a kind of a "duh" observation, one interesting aspect is that the market does not seem to be able to muster much of a rally at all when both ends of the trading day move together.
3. DIVERGENCES BETWEEN THE OPEN AND CLOSE PRECEDE VOLATILITY. The best example of this is the topping process in 2000. The open-only S&P kept making higher highs while the close-only began making a series of lower highs, causing a divergence between the two. The result was a series of violent swings in both directions until the ultimate breakdown occurred and the open-only S&P started to make lower highs.
4. NEITHER OPENS NOR CLOSES SEEMS TO HAVE A PARTICULARLY GOOD FORECASTING ABILITY. While both at times can give a heads-up to future moves in the actual index, it does not seem to be consistent enough to provide a base for solid decisions.
5. DIVERGENCES BETWEEN THE CLOSE AND ACTUAL CAN PROVIDE CLUES. When the actual index makes higher highs or lower lows but the close-only index does not confirm, it often leads to a short-term contra-trend correction. One example of this is the October 2001 - January 2002 period which saw the S&P make higher highs, but the close-only S&P make a series of lower highs. This lead to the swoon into late February.
So where are we now? Actually, it looks pretty positive. Although the open-only S&P has taken a bit of a breather during this consolidation, the close-only has continued to march higher. This may be the beginning of a divergence between the two, and as I stated above, divergences tend to precede a period of extreme volatility. While it is still early to declare a solid divergence, it is something to keep our eyes on.
I stated in the intraday update that most of our shortest-term measures had cycled back down to oversold (or nearly so), so there was some support for those looking for an upside trade. We got that upside in the afternoon, and it was enough to relieve the oversold condition in each of the indicators. We enter tomorrow with a mixed bag on short-term indicators.
Longer-term, there are a couple of signs that urge caution. I mentioned the Rydex asset flows last night, and continue to believe that that complex is showing too much optimism to suggest a large upside move is imminent. The composite chart of the asset flows on the site (which I pointed out this weekend) continues to get more extreme by the day, and it has not boded well for the market during this bear. Also, the 10-day averages of the equity and total put/call ratios are beginning to approach their lower standard deviation bands. It is very clear from the charts on the site that during this bear market, whenever these ratios approached that band, a short- to intermediate-term high was close at hand. While we're not quite at a point that I would consider dangerous, we're getting very close.
I mentioned the apparent optimism shown by institutional investors in the OEX and S&P 500 options yesterday, and that "trend" continued today. The OEX put/call ratio registered a relatively low reading of .91 today, while the S&P 500 put/call bid/ask bias ratio came in at 2.36. Both of these are on the bullish end of neutral, and suggest that there will be a solid upside attempt sometime this week.
There are a lot of crosscurrents at the moment, and I don't see a solid edge in either direction. The positives I mentioned over the past couple of days are still with us, but now we have broken some trend lines that may embolden short sellers, at the same time that we remain somewhat overbought in the intermediate-term. This is the kind of environment where I trade very lightly no matter the direction until I see sentiment tipping too far to one side. We saw that this morning, and it lead to a decent move higher in the afternoon (for very short-term traders, anyway). Until we see an extended trend in either direction, I'm afraid we will not see a solid edge emerge for more than a short-term trade.
Edited by - gz on 10/30/2002 12:23:8