Saturday, February 16, 2013

Hunting ghosts of bifurcation in S&P500

Some two weeks ago I wrote about my bad feelings about S&P500.

Since then the index has risen by 1.44%, mostly thanks to a 1% jump on February 1st.

Maybe I'm just suborn but my bad feelings didn't go away... yet.

Through the previous month, S&P500 levitated between two other major indexes: British FTSE and German DAX:

Source: Stooq

In the coming week one of these directions - FTSE's positive momentum or DAX's negative - will most probably win.

In addition, S&P500 (together with DJIA)'s momentum has recently noticeably surpassed that of NASDAQ:

Source: Stooq

Therefore I have decided to take a closer look at the intraday structure of the S&P500 dynamics.

It is still impossible to find definitive answer there, but a number of very weak signals suggests S&P500 may have peaked last week:

  • in the last 3 days we can notice a negative drift with lower lows and peaks
  • the frequency of local extremes increased
  • the amplitudes of the down moves has been increasing
  • the volatility is slightly increasing

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