Coalescence Report 4th December - 11th December 2022
The Weekly Coalescence Sentiment Report: 04/12/2022 - 11/12/2022
This report covers the weekly market sentiment and positioning and any changes that have occurred which might present interesting configurations on different asset classes with a specific focus on currencies. The below shows the table of contents of the report:
The Artemis Indicator: A Tactical Reversal Tool on the S&P500
Introduction to the Artemis Indicator
S&P500
Historical Track Record
The White Index: The Bullish Continuation Indicator
Introduction to the White Index
S&P500
Historical Track Record
Vision: The Long Short Polyvalent Indicator
Introduction to Vision
S&P500
Historical Track Record
The Inverted VIX: Seeing Divergence from Another Angle
Introduction to the Inverted VIX Strategy
S&P500
Historical Track Record
Bitcoin Tactical Sentiment Index: A Short-Term Reversal Indicator on Bitcoin
Introduction to the Bitcoin Tactical Sentiment Index
Bitcoin.
Historical Track Record
The AAII: A New Comer to the Sentiment Indicators’ Party
Introduction to the AAII Strategy
S&P500
Historical Track Record
Important Legal Disclaimer
Main points:
The Artemis indicator, the star of the the forecasts lately, has predicted higher highs on the S&P500 once again last week but is now scanning for better opportunities.
The Bitcoin model is continuously scanning for new opportunities but considering the special volatility environment at the moment, the model is filtering the signals to get the best one.
No strong signals are shown from the AAII sentiment indicator.
The white Index is moving into blue territory which makes a bullish signal almost imminent.
1. The Artemis Indicator
The Artemis Indicator is born out of a transformation of the put-call ratio, a sentiment indicator published by the CBOE which can help with predicting the S&P500. It is a daily indicator.
The following Figure shows the recent signal chart.
The validity of signals is variable and depends on the appearance of a new signal.
Conclusion
The market keeps going up after printing successive bullish signals. At the moment, there is no new signal but the market looks more bullish than bearish. Opportunity-wise, nothing new to add from last week.
The next table shows the historical non-binding track record of the model using the back-testing rules described in the introductory post. Remember that past results are not representative of future results.
2. The White Index
Long-only traders who like to time the dips and follow the upside trend (during a bullish market) should monitor the White Index as it has been specifically designed for this purpose.
The following Figure shows the recent signal chart.
The validity of signals is 20 days and also depends on the appearance of a new signal.
Conclusion
Even though there are no bullish signals at the moment, the market regime is switching to blue which may imply a bullish state,
Historical Track Record
The next table shows the historical non-binding track record of the model using the back-testing rules described in the introductory post. Remember that past results are not representative of future results.
3. Vision
Vision uses insights from dealer markets to find statistical extremes on the S&P500. Rich with information, the indicator seems to outperform its peers in predictability.
The following Figure shows the recent signal chart.
The validity of signals is 20 days and also depends on the appearance of a new signal.
Conclusion
Since the invalidation of the last bearish signal, Vision is not showing any other trading opportunity.
Historical Track Record
The next table shows the historical non-binding track record of the model using the back-testing rules described in the introductory post. Remember that past results are not representative of future results.
4. The Inverted VIX
The CBOE’s Volatility Index is a continuously updated index that shows the market’s expectations for the strength of short-term changes of the S&P500. It is negatively correlated with the S&P500 and therefore, high extreme values are associated with a bottom of the stock market while low extreme values are somewhat associated with a correction on the stock market even though the bearish predictive ability of the VIX is not significant. The strategy used is to invert the VIX and apply a technical tool on it so that it outputs signals every once in a while.
The following Figure shows the recent signal chart.
The validity of signals is 5 days and also depends on the appearance of a new signal.
Conclusion
The bullish bias remains since printing a buy signal on the bottoms.
Historical Track Record
The next table shows the historical non-binding track record of the model using the back-testing rules described in the introductory post. Remember that past results are not representative of future results.
5. Bitcoin Tactical Sentiment Index
The Bitcoin Tactical Sentiment Index is a daily sentiment-based indicator which uses insights from volatility, direct surveys, open interest, and patterns to calculate a normalized value that shows where the inflection points are likely to be.
The following Figure shows the recent signal chart.
The validity of signals is 5 days and also depends on the appearance of a new signal.
Conclusion
The model is continuously scanning for a new opportunity. In case a signal is found, an update will be sent to the subscriber. The rare signals on this model may seem frustrating but it is important to know how powerful they are given the back-tests and the live performance.
Historical Track Record
The next table shows the historical non-binding track record of the model using the back-testing rules described in the introductory post. Remember that past results are not representative of future results.
6. The AAII Indicator
The AAII is an equity-based sentiment indicator published by the American Association of Individual Investors. The strategy used combines it with the RSI and a 100-Day moving average.
The following Figure shows the recent signal chart.
Conclusion
The model is continuously scanning for a new opportunity. In case a signal is found, an update will be sent to the subscriber.
Historical Track Record
The next table shows the historical non-binding track record of the model. Remember that past results are not representative of future results.
7. Important Legal Disclaimer
Every information contained in the report is solely for the purpose of showing another angle. Since it is NOT investment advice or trade recommendations, you must NOT use the report as the sole reason for your trading and investing activities.
Make sure you know how to include the above elements in your trading framework in a way that does not change your methodology but in a way that gives you conviction on your pre-existing ideas.
Data can have many representations and the information presented is but one side of the story which may be incomplete. All back-testing and forward testing results reflect their own time period and not the future as is the case in every research piece.
The information contained in the report are proprietary and only YOU are permitted to use it. If you have to share it, please state the source correctly by referring the page of Coalescence.