Modified Chartmill Value Indicator (MCVI)

Posted on January 19, 2013 by

I read about this indicator in an article titled "The Chartmill Value Indicator," which appeared in the January 2013 issue of Technical Analysis of Stocks and Commodities.  The article was written by Dirk Vandycke.  In the article, Vandycke introduced an interesting oscillator called the Chartmill Value Indicator (CVI).  The following article explains the CVI formulas, proposes a modified version of the CVI (MCVI), and demonstrates the potential of the MCVI with a sample pullback strategy.  AMIBroker code for the MCVI is included at the end of the article.

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Posted in AmiBroker Code, In-Depth Article, Market Timing, Strategy Development, SWAMI Charts, Technical Analysis | Tagged , , , , , , , , , , , , , | 21 Comments

Q4 2012 Earnings Preview

Posted on January 13, 2013 by

Earnings season is here again, which provides a timely reminder that earnings are the ultimate driver of stock prices.  The following article explores the recent trend in equity prices and earnings estimates.

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Posted in Economic Indicators, Fundamental Analysis, Market Breadth, Market Commentary | Tagged , , , , , , , | 2 Comments

U.S. Recession Risk Drops Sharply in December

Posted on January 7, 2013 by

The following article updates the diffusion index, recession slack index, aggregate recession model, and aggregate peak-trough model through December 2012.

If you are new to Trader Edge and would like some additional background on the development of the Trader Edge recession models, I encourage you to read the following recession model articles in chronological order before continuing with the most recent update below.

  1. Forecasting Recessions is Easier than Modeling Asset Prices
  2. New Probit Models: U.S. Recession Risk is Currently Low
  3. Recession Models and the Fiscal Cliff
  4. Recession Model Improvements
  5. A New Recession Slack Indicator

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Posted in Economic Indicators, Market Commentary, Market Timing, Recession Forecasting Model | Tagged , , , , , , , , | 5 Comments

No Non-Farm Payroll Forecast for December

Posted on January 3, 2013 by

For the past few months I have used a systematic model to forecast an estimate of the monthly non-farm payroll data, which is one of the most influential economic data releases.  Unfortunately, the Briefing.com current week's economic data and consensus forecasts have been inaccessible all week due to technical problems on the Briefing.com website.  As a result, I will be unable to run and post the NFP model estimate before tomorrow's non-farm payroll release.

As I mentioned last month, I am exploring the feasibility of building a neural network model to forecast the monthly non-farm payroll data.  I am also exploring the addition of a new variable to the existing model.  I will update you on my progress next month - before the January NFP release date.

Brian Johnson

Copyright 2013 - Trading Insights, LLC - All Rights Reserved.

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A New Recession Slack Indicator

Posted on January 1, 2013 by

I introduced the topic of recession forecasting in late October.  I have since developed several recession forecasting tools that I created by applying probit, logit, and neural network models to a diffusion index of economic and market-related variables.  This article introduces a new recession slack indicator, which was inspired by James Picerno's latest business cycle research at The Capital Spectator.

If you are new to Trader Edge and would like some additional background on the development of the Trader Edge recession models, I encourage you to read the following recession model articles in chronological order.

  1. Forecasting Recessions is Easier than Modeling Asset Prices
  2. New Probit Models: U.S. Recession Risk is Currently Low
  3. Recession Models and the Fiscal Cliff
  4. Recession Model Improvements

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Posted in Economic Indicators, Fundamental Analysis, In-Depth Article, Market Commentary, Market Timing, Recession Forecasting Model | Tagged , , , , , , , | 31 Comments

Seasons Greetings from Trader Edge

Posted on December 24, 2012 by

I have enjoyed working on the blog this year and exchanging ideas with many of you.  I hope you have found some of the articles to be useful in your trading.  I look forward to exploring new tools, concepts, and insights with you when posts resume in January.

Best wishes for a happy holiday season and a prosperous 2013.

Brian Johnson

Copyright 2012 - Trading Insights, LLC - All Rights Reserved.

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Price-Volume Ratio Identifies Reversals

Posted on December 19, 2012 by

Sometimes the simplest ideas work the best.  Before market peaks, shares typically transition from strong (institutional) hands to weak (retail) hands.  Before market troughs, shares usually move from weak hands back into strong hands.  Both of these scenarios result in increased trading volume.

Given this premise, I created a simple indicator based on the ratio of price to average volume.  In this article, I will demonstrate how to use this Price-Volume (PV) indicator to identify potential reversals in broad market ETFs.  I also provide the AMIBroker code for this indicator at the end of the article.

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Posted in AmiBroker Code, COT Analysis, In-Depth Article, Market Timing, Technical Analysis | Tagged , , , , , , , , , | 4 Comments

Active Trader Article: Option Strategies for Bull-Market Reversals

Posted on December 13, 2012 by

I have a new article in the January 2013 issue of Active Trader magazine.  I received the January issue in the mail earlier this week, so it should also be available at Barnes and Noble bookstores.  If not, it should be on the shelves in the next week or so.

The article is titled "Option Strategies for Bull-Market Reversals." It evaluates a number of different option strategies for capitalizing on equity market pull-backs after sustained advances.

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Posted in Market Timing, Options, Strategy Development | Tagged , , , , , , , | 4 Comments