Australian (ASX) Stock Market Forum

Trading The SPI - NON-Gann Techniques

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hi neo,
In the trading the spi thread, freddo gives a brief explanation on working out fair value(post#1214) and also has a calculator he used as well(post#1216).
No idea if his way was 100% correct or not(haven't looked into calculating it myself), but it could be a good place to start :)

edit: to anyone else reading this, would the STW(asx200 ETF) yield be an accurate way of getting the yield for the market or not?
 
professor_frink said:
The SPI(Share Price Index) is the futures contract over the XJO, which is the S&P ASX 200 index. The XJO is slightly different to the XAO(the all ordinaries), the exact details of the differences-I'm not 100% sure of. There are more companies included in the XAO compared with the XJO, but dunno the exact differences.
At 2:55pm, the spi was at 5445.
You can get a delayed chart from futuresource if you want
Click to expand...

From what little I know about these things the XJO (S&P/ASX200) only includes the top 200 stocks by market capitalisation listed on the Australian Stock Exchange, it is a recently created index, only a few years old.

The XAO is the All Ordinaries Index, it only includes the top 500 stocks by market cap, it has been around for years.

My understanding is that foreign domiciled companies are not included, regardless of liquidity (Eg NWS was removed from the local index but I hear the rules may be changed).

There are other threads on this topic, including references to info pages on the ASX and S&P sites. See here for detailed descriptions (the S&P site): http://www2.standardandpoors.com/servlet/Satellite?pagename=sp/Page/IndicesMainPg&r=7
 
Can anyone comment on how closely the XJO and the SPI follow each other intraday? So far have been focused on the SPI, and haven't done a comparison. This may be a weekend project, but am interested in others' views. For example do you find the XJO leads the SPI or vice versa; does one try and come to meet the other; if so, when does it do this; if you have a system that trades the XJO can you use it {"blindly"} to trade the SPI {... that's not saying you take your eyes off the SPI action and not manage a position}.
 
Thanks Prof,
Might need to check again but freddo didn't seem to use average yield in his calculations?????
Prof what is STW(asx200etf)?
The formula I quoted above for fair value was obtained from the ASX website....but that average yield thing has got me stumped!!!!

By the way did anyone get todays move?
I'm bummed out..... short trailing stop hit at 5465 ( market traded there for about 10 seconds) at about 1:15 then market falls another 40 odd points..gotta hate that!!!
 
Euler said:
Can anyone comment on how closely the XJO and the SPI follow each other intraday? So far have been focused on the SPI, and haven't done a comparison. This may be a weekend project, but am interested in others' views. For example do you find the XJO leads the SPI or vice versa; does one try and come to meet the other; if so, when does it do this; if you have a system that trades the XJO can you use it {"blindly"} to trade the SPI {... that's not saying you take your eyes off the SPI action and not manage a position}.
Click to expand...
The charts are normally very similar intraday, although I've found that when you look back at the charts of the 2 and look at the turning points in hindsight, the spi seems to be leading...just.
It's something I'm working on presently, so I don't have too much info on it at the moment.
Thanks Prof,
Might need to check again but freddo didn't seem to use average yield in his calculations?????
Prof what is STW(asx200etf)?
The formula I quoted above for fair value was obtained from the ASX website....but that average yield thing has got me stumped!!!!

By the way did anyone get todays move?
I'm bummed out..... short trailing stop hit at 5465 ( market traded there for about 10 seconds) at about 1:15 then market falls another 40 odd points..gotta hate that!!!
Click to expand...
STW is the ticker code for the exchange traded fund that follows the ASX 200(XJO). I think there is some element of speculation to it from what I've read-I think they will do some hedging with options and futures to try and improve the returns slightly, so it's probably not a true index tracking fund. You would be able to find info on it pretty easily from most online brokers.

Not quite sure what freddo was calculating :confused:
If the STW div yield isn't accurate enough, it might be a case of building a bloody huge spreadsheet and manually calculating it. Have fun with that :) When your finished, I'll buy the spreadsheet off you for 50 bucks :D
Didn't get any of yesterday's move- I took the day off. Yes, my timing is pretty woeful, isn't it :D

Unfortunately, I'm all to aware of the feeling you have when you get stopped out on the high of a countertrand move :(
 
thanks guys for the comments & SPI for the advice re: threads - have some experience with unusual personalities on UK BB's, best avoided. more than happy to hang out here for a bit & add my 2p worth from time to time - helpful for me that you all don't mind the occasional question :)

having just watched the price action this week the ASX200 looks as tho it should fit in quite nicely for the 'day-job'. shows some nice swings.
 
professor_frink said:
The charts are normally very similar intraday, although I've found that when you look back at the charts of the 2 and look at the turning points in hindsight, the spi seems to be leading...just.
It's something I'm working on presently, so I don't have too much info on it at the moment.
Click to expand...
Prof thanks for your feedback. It's something that I've wondered about without getting to involved in the analysis. But started looking at it this w/e and doing a prelim comparison. As I get my head around it I'll throw a question or three!!
 
An observation on market depth just now .... 252 contracts ask @ 5461 ... have not seen that many at one level before ... ever! I had gone short @ 65 before i noticed that.
 
Euler said:
An observation on market depth just now .... 252 contracts ask @ 5461 ... have not seen that many at one level before ... ever! I had gone short @ 65 before i noticed that.
Click to expand...

That's an awful lot for this market!
I generally try to ignore what the depth is doing- so many orders get pulled before they get hit that it just distracts me from what could be going on.

Getting a lot of action around 52 the last 2 days- you still short Euler?
 
professor_frink said:
That's an awful lot for this market!
I generally try to ignore what the depth is doing- so many orders get pulled before they get hit that it just distracts me from what could be going on.

Getting a lot of action around 52 the last 2 days- you still short Euler?
Click to expand...

I was watching it and it didn't get pulled as they approached it, and a few taken out. When SPI fell below 58 I couldn't see it or anything above it in the queue.
52 was my POC for today with a very tight bracket 45-61.
Covered short @ 56 ... am in very short term trading/scalping mode .... 2 trades today so far ... will check again after lunch break.
 
Euler said:
I was watching it and it didn't get pulled as they approached it, and a few taken out. When SPI fell below 58 I couldn't see it or anything above it in the queue.
52 was my POC for today with a very tight bracket 45-61.
Covered short @ 56 ... am in very short term trading/scalping mode .... 2 trades today so far ... will check again after lunch break.
Click to expand...
These MP levels seem to line up with pivots an awful lot of the time. Today's pivot was at 53. R1 at 71 today, so that one didn't quite line up.
Picked up less than half the move up from PP to R1 this morning, which was hardly ideal, but considering the amount of nurofen I had to take to kill of the headache I had this morning, it prob wasn't a bad result :)
It definately looks like it'll be range bound for a fair while today- long lunches are called for me thinks.
 
MP gave me a very tight range with POC 5454 and bracket 5450-64.
Scalping is my current mode so 2 in-profit small trades already and am currently short 54. So far can only see very quick small trades.
 
We're at a critical juncture. If 5410-15 doesn't hold we are in for a slippery ride down to test previous major lows.
Will take a glance or two at the US markets with interest tonight in between a beer or 3!!

Cheers SPI and PROF ... have a few cold ones too ok!!
 
Did you all go long this am?
Well .... am inclined to let the trailing stop do its job now and short this pm!
No signal yet ... but am watching.
 
Hi Folks,
Back on the SPI fair value thing........
I realised that comsec publishes on their website the yield for each sector of the asx 200(I presume). They are:
financials 4.6%
materials 3.2%
telcos 3.5%
energy 2.9%
software/services 3.8%
comsumer services/supplies 3.2%
pharm/biotech 1.3%
media 4.0%
consumer staples 2.9%
transport 3.6%
food/bev/tobacco 3.4%
real estate 6.2%

The average yield of the above is 3.55%.

So SPI fair value is: (from todays close)
asx200 + [asx200x(IR x av. yield) x days to maturity/365]

5469.7 + [5496.7 x 0.0625 x 3.55 x 10/365]
=5303.1

Anyone care to comment?
Does this sound correct?
Have I missed any sectors/ or used the wrong ones?
 
neo said:
The average yield of the above is 3.55%.
Click to expand...
Don't have enough knowledge to help much but a thought to consider. Rather than doing an average mean of the sector yields should you not do a weighted average, which will take into account the weighting of each sector in the asx200? I may be wrong ... so discount it if you have considered it.
 
Thanks Euler,
After contemplating all the shortcuts I thought I may as well do an excell spreadsheet of all asx200 stocks and their dividend yield and work it out that way..... it took a while but I worked out that the average yield af all stocks in the asx200 at present is 3.575.

Fair value for the SPI based on todays XJO close (using the above formula) should be 5503.

I also noted that fair value for the SPI can only ever be at a premium to the XJO????????
 
oops... made a mistake in my fair value formula.
It should be:
FV= asx200 + [asx200 x (IR - av yld) x days to maturity/365]
Current FV = 5469.7 + [5469.7 x (0.0625-0.03575) x 10/365]
= 5473.7
Any thoughts?
Is this useful?
 

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