XAO Technical Analysis

OmegaTrader · 24 December 2016

Kryzz said:
Hi SKC - do you have any stats on this?

I tried doing some numbers myself and wanted to see I was on the right track :1zhelp:

I couldn't see any notable difference in terms of performance between the first and second weeks of January. Looks like the first few weeks as a whole over the past 7 years aren't too promising (xjo stats).

Thanks

Interesting

So is the 'new year' seasonality effect actually there or not?

It looks like early January is negative seasonally from that image.

Recently positive market moves in December.

Quant · 25 December 2016

skc said:
Perhaps big don't revert means they are trending... take a bank or insurer and you have some pretty good trends. So trend following pays in the right space. On the other hand, what we seeing is mean reversion over longer timeframes... as SkyQ mentioned in the mid cap space, but also in goldies vs oilers.

The index tends to be quite strong over this Xmas / NY period. Apparently the day to get short is after first week of Jan.

The period from dec option expiry and NewYears is one of the strongest periods of year statistically

i have charts on this but cant upload from PC anymore , you will just have to trust me )))

Quant · 25 December 2016

Quant said:
The period from dec option expiry and NewYears is one of the strongest periods of year statistically

i have charts on this but cant upload from PC anymore , you will just have to trust me )))

Ok lets see if this works

OmegaTrader · 25 December 2016

Quant said:
Ok lets see if this works

My main interest is trying to time a volatility play using options straddle

IV is very low, was 10.5 down to 10.1 a few days ago.

If the market turns negative then IV spikes, so the strat is too expensive to use

However if the market keeps going up better to wait as IV will probably drop

Making options even cheaper..

okay

So looking a the first chart

Day 1-6 up , peaks at day 6
Day 6-11 down, lose all gains to break even
Day 11-21 up with a small petering out at the last 3 days

From that I would conclude that January is positive overall

From the second chart

I would conclude that it is mostly sideways with a small positive bias

But really the positive trend starts at the end of January even end of February,
as Feb is mostly sideways as well/a bit positive

March, April may, strongly positive

and up trend finishes at end of may

Down from may to October
Except august is pretty positive

and then positive again from end of october.

Looking at the second chart should wait until may for up trend to end.

I haven't done the seasonality for IV

Should probably do that.

Of course seasonality is also competing with the other factors, but interesting nevertheless.

As the basis of strategy or additional factor to add to a strategy.

Quant · 25 December 2016

OmegaTrader said:
My main interest is trying to time a volatility play using options straddle

IV is very low, was 10.5 down to 10.1 a few days ago.

If the market turns negative then IV spikes, so the strat is too expensive to use

However if the market keeps going up better to wait as IV will probably drop

Making options even cheaper..

okay

So looking a the first chart

Day 1-6 up , peaks at day 6
Day 6-11 down, lose all gains to break even
Day 11-21 up with a small petering out at the last 3 days

From that I would conclude that January is positive overall

From the second chart

I would conclude that it is mostly sideways with a small positive bias

But really the positive trend starts at the end of January even end of February,
as Feb is mostly sideways as well/a bit positive

March, April may, strongly positive

and up trend finishes at end of may

Down from may to October
Except august is pretty positive

and then positive again from end of october.

Looking at the second chart should wait until may for up trend to end.

I haven't done the seasonality for IV

Should probably do that.

Of course seasonality is also competing with the other factors, but interesting nevertheless.

As the basis of strategy or additional factor to add to a strategy.

US indices while a guide to asx seasonality are not totally in synch , many factors influence under and over performance between us and asx markets . this year US is basically flat since OPEX whereas XJO big overperformer

OmegaTrader · 26 December 2016

Quant said:
US indices while a guide to asx seasonality are not totally in synch , many factors influence under and over performance between us and asx markets . this year US is basically flat since OPEX whereas XJO big overperformer

Yeah that doesn't help much.....

That is like saying we have a fantastic, incredible fund great with risk and return

But past returns are no indicator of future returns.

Asx-SP are correlated?

Of course correlation is never 100% and neither is seasonality.

But in general, I don't see why as a rule of thumb it, idea, additional factor would not help

Do the charts look similar??

I reckon a bit there...

http://investingperspectives.com/seasonality/seasonality-in-the-australian-sharemarket/

cheers

Gringotts Bank · 10 January 2017

DJI 20,000 on the 20th? (Presidential inauguration).

Then will be hard to find support.

Quant · 19 January 2017

Just quick follow up on the santa rally theme , as i stated dec opex is always my point of entry . This year low to high opex till first trading day Jan was good for around 230 points , good coin in anyones language , anyone willing to research will find this strategy has rarely failed since 2000 , from memory 2011 was the last fail , this is one to put in the black book as this is the most reliable 10 day period of the year

Gringotts Bank · 3 March 2017

'Levels Jerry.... levels'.

Gringotts Bank · 7 March 2017

Heading towards a double bottom at 5676 (asx200).

Gringotts Bank · 7 March 2017

Alrighty then. Looking for a long entry.

Smurf1976 · 7 March 2017

Double bottom?

I think I'm missing something here! I'm no T/A guru but I can see a double top for the beginning of January 2017 and again in mid-February and that was about (within a couple of % for the XAO and a bit more on the XJO) the same level as the top reached two years prior, after which the market declined roughly 20% to a bottom in February 2016.

Where's the double bottom? What am I missing here?

barney · 7 March 2017

Smurf1976 said:
Double bottom?
Where's the double bottom? What am I missing here?

I think Gringo was looking much more short term Smurph ... If he played his call he likely picked up around 30 ticks but I will leave that up to him to disclose

Smurf1976 · 7 March 2017

barney said:
I think Gringo was looking much more short term Smurph ...

I see....

My trades (in anything) tend to run for months or years so I'm not in the habit of looking at charts on a short term basis.

On that subject though and looking at the XAO:

All time high 6873.20 back in October 2007.

High since then of 5963.50 on 13 April 2015.

Decline to a low of 4762.10 on 10 February 2016.

Back up to 5876.08 on 9 January 2017 and 5880.90 on 16 February 2017.

So I'm thinking that either we get through the high from 2015 or alternatively we've got a double top.

Also interesting that it's roughly evenly spaced from the post-GFC high to a bottom and back to about that high point. Top on 13 April 2015, bottom 10 months later, back roughly to the top 11 months after that so all pretty even in terms of the timing.

My investing is more based on fundamentals so I'm no chart guru that's for sure but that's my interpretation of it. We've come to a point where either we get through that post-GFC high or we fail and head back down.

Also an interesting divergence given that the S&P500 has very clearly taken out all previous highs and if you look at it on a long term chart then the recent rise is not far off being vertical.

Thoughts?

Gringotts Bank · 7 March 2017

I ended up going long at close. High flag on 5 min Aus200. High flag on the FTSE daily.

Logique · 26 May 2017

XAO not inspiring confidence so far in May.

Logique · 27 June 2017

A critical juncture for the XAO. Will it pivot on oversold technical momentum indicators? See MACD and RSI in the chart under. If not, the 200 daily EMA lays in wait, which has twice acted as support in recent months.

Gringotts Bank · 28 June 2017

A short video.
And a Diamond.

Gringotts Bank · 28 June 2017

Good video?

Every time you trade, your beliefs are trading you. A good system, sizing and set-up will fail without the crucial mind management.

smallwolf · 28 June 2017

Gringotts Bank said:
And a Diamond.

forgive my ignorance, but what does a diamond imply or point to? I can see it in your image, but the interpretation is beyond me. (I don't have time at the moment to watch the video, and from the title, do not think the answer is there.)

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