We’re taking a break from this blogging game for a spell and will not be maintaining the free State of the Market report. In the meantime, we invite you to check out MarketSci’s proprietary trading strategies.

The State of the Market Report is NOT one of the MarketSci proprietary strategies. The State is simply a snapshot of what some of the simple free strategies that we’ve talked about on this blog are saying about the market right now. Happy trading.

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Subscribe to this special RSS or Email feed to be notified when the SOTM is updated each day. Note: these are NOT the same as our blog feeds.

Individual strategies tracked (click to zoom):

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The State of the Market Report is a daily snapshot of what some of the strategies that I’ve shared on this blog are predicting for the US stock market the following trading day. Layered on top of these predictions are two very powerful concepts: confidence and adaptation (more on these later). This report will be updated daily.

The studies included in this report are:

Daily Follow-Through and Weekend Follow-Through, SOXX Leadership, VIX Spread, Treasury Yield Momentum, 50/200-day EMA Crossovers, OEX Put/Call Ratio, Small vs Large-Cap Performance, TED Spread Strength, Extreme RSI(2), unbounded DV(2), the Day-after Options Expiration, and Options Expiration Week and Turn of the Month seasonality.

Additionally, I’ve included modified versions of two proprietary overbought/oversold indicators that I use often, as well as the Abnormal Market Filter that we use to reduce position sizing when the market becomes particularly abnormal.

How to read this report:

Each indicator is categorized by the amount of historical data it is analyzing: 1 day to 1 week (short-term), 1 week to 1 month (intermediate), or more than 1 month (long-term). In the 5 and 20 year confidence columns, each strategy is making a long (green) or short (red) prediction for the following day.

The light/darkness of the shading in each box (and the number inside) is determined by how confident the strategy is in that day’s analysis based on how the strategy has performed over the last 5 and 20 years. Generally speaking I think the 5 year confidence is more appropriate for today’s markets, but I’ve included the 20 year to give some historical perspective on how each indicator is “supposed” to work.

Note that even a confidence of more than 100% is in no way a guarantee of things to come. No matter how hard we try to wrangle these unruly markets, they are for the most part unpredictable. This confidence number just serves as a way to compare how each strategy has performed over the lookback period relative to the others.

These confidence figures change as additional data is added (and the oldest observations are dropped). This is a very simple example of an adaptive system that will change with a changing market. A stronger number (be it positive or negative) in the 5 than the 20-year column is an indication that this strategy has been more effective in recent than distant history, while a weaker number is an indication that the strategy might be losing some effectiveness.

One additional note: I’ve attempted to “de-trend” all predictions. In other words, these predictions make a market-neutral assumption that does not consider the broader bias of the market (except perhaps the long-term indicators which are inherently trying to capture that broader bias).

MOST IMPORTANTLY:

None of this should ever (and by “ever”, I mean EVER) be construed as investment advice…ever. Please make sure that you’ve read our disclaimer.