Using python and dtale to analyze correlations

I can´t say this enough times, correlations matter and correlations are in deed a traders best friend.

Correlations are very useful but very hard to plot without some code knowledge. Fortunately the guys that made dtale are life savers.
https://github.com/man-group/dtale
dtatle is a library that allows you to manipulate data, you can re-order it, plot it, export it, etc.

Today I will share with you a simple way to plot ETF correlations.
For starters you should go to my shared content and download the spreadsheet with the ETF data, I will update this file at least monthly.
https://eod-notes.com/shared-content/ click on the “Reports” link and download the file.

I will assume you have python installed on your machine.

For starters you need to install dtale

pip install dtale

After dtale is installed you can copy paste this snippet.

import pandas as pd
import dtale

data = pd.read_excel("YOUR_FILE_PATH.xlsx") 
d= dtale.show(data)
d.open_browser()

Replace “YOUR_FILE_PATH.xlsx” with your file path and run it.
You will see something like this.

dtale start up

After this, go to the top left corner and click on the arrow. Select the correlation menu.

dtale correlation menu

A new window will pop up, now you are free to explore. search for specific correlations, change the Rolling Window for a smother data, have fun.

Find more stuff on my github:
https://github.com/tiagolvsantos/eod_notes

If you have any questions or want help to try some strategies up, feel free to drop me a message.

Have an awesome day,

Tiago

4 – 8 May 2020 Trading week preparation

The content is now separated between markets/folders I track. It´s easier for me and I hope it´s easier clear for you too.
https://eod-notes.com/shared-content/

From last week:
Last week I got a question from a friend that I thought I should share.
He asked me why some of my setups don’t happen on the week I talk about them. The answer is simple, I don’t trade daily. I look and weekly charts and monthly charts. I use daily charts for entries. Bigger timeframes give you clear perspectives, daily charts have “noise” from market news and events. That being said, I share assets and trades that I am willing to have open for weeks or months.
Talking trade, last week I didn’t made any trade. I didn’t pull the trigger on long USDCAD and my longs for MSFT and APPL failed the entries on last Thrusday´s dip and I didn’t chase.
CADJPY, AUDJPY and EURAUD are all in the radar since last week.

This week the reports and spreadsheets I usually share are a little different. They have more content and different formats. I have been redoing my frameworks and algos. Taking advantage of the free time and patience and breath I am giving the markets.

My macro opinions for long term:

  1. We are heading lower, much lower on stocks.
    SP500 started to turn red, even with big earnings we closed the week on the red. Maybe It´s a start for a bigger pullback
  2. US bond yields are going to zero.
    Yup, not much to say about this
  3. Gold and silver will go a little bit lower before acting as safe heavens.
    This week a lot of european countries will start to re-open. Let´s see how gold reacts
  4. Commodities will behave like gold, specially grains.
    It´s been a bloodbath lef and right. They will pose great opportunities to long for a patient investor.

Next Week:
Another action packed week of earnings

Earnings 4 May 2020

I will be looking at:
DIS – All parks are closed and I dont think streaming will save DIS this earnings. A big dip may provide a great long opportunity as quarentine is being eased and the return no normal will reopen the parks.
NEM & GOLD – Gold miners, their earnings might tell where gold´s heading next.
SHOP – Shopify earnings may mark the recently top for the stock.
STNG – tankers, Scorpio is a big company. I failed the entry to long tankers. I doubt I will get a nice entry post earnings but It´s on my radar.
UBER & LYFT – This will be bad, It´s just morbid curiosity
BKNG – Booking Holdings, Tourism being stalled everywhere the business for booking sites may be down substantially. Big drops may provide great entries for long term.

I am watching mining stocks for any pullback to key levels.
As said last week, XLE and XLF for any government bailouts.

CRUDE
The puppy is sick, despite of the recent pump, If you look to long term crude is trapped on a massive down turn. We are down 550% $65 in 581 days. This is a big trend. Supply is still greater than demand. Keep your eye on the ball and don’t fomo in. Despite all this, crude may trade to $25 the technicals are there but I think it will only provide a opportunity for shorts. This is the 4th week straight of massive inventory builds despite production cuts.

Oanda WTI CFD
TANOS CRUDE Dashboard

GOLD
Again, long term I am bullish as hell. Short term I fear It will have a pullback. Call it the return to normal pullback. Any touch on the orange box, I am buying.

Oanda GOLD CFD – Weekly
Oanda GOLD CFD – Daily

SP500
Last week earnings pumped SP500 to 2959 in the cash session, to revert south on huge earnings at the en of the week. This was weird, maybe people are catching up to the narrative It´s not only the virus, It´s the impact on the economy. 66% of SP500 are still below the 250 DMA. The 2800 level is heavily disputed. SPX cash rejected 0.38 fib perfectly. This is very important because it rejected it two days in a row.

Oanda SP500 CFD – Daily
TANOS SPX Dashboard
CME QuickStrike
SPX Cash session

YEN
YEN is poised for a massive breakout. I see some vulnerabilities on AUD and CAD vs the YEN. Bare in mind this is long term plays, have patience. This Tuesday RBA will decide rates an acceleration on RBA might help this trade.

JXY Weekly chart
Oanda AUDJPY Weekly
Oanda CADJPY Daily

Another Notes
Insiders are not buying the fed printer again.

Insiders Sentiment

Sentiment still mixed

TANOS Dashbaord Market Sentiment

Safe Havens are starting to gain strength again

TANOS Safe Havens Dashboard

Huge drop on the Weekly Economic Index

Weekly Economic Index – Fred

Articles:
Barrick dispute with Papua New Guinea

A Quantitative Approach to Tactical Asset Allocation – Meb Faber

The Original Quant (guest: Rob Hanna) – Market Huddle Ep.78

Events:
Monday
EUR – MAN. PMI / Sentix Investor Confidence
CHF – MAN. PMI
USD -. Factory orders
AUD – AIG Construction Index

Tuesday
AUD – Rates Decision
USD –Services PMI / ISM NON. MAN PMI
CHF – SECO Climate
GBP – Services PMI

Wednesday
EUR – German factory orders / Services PMI / retail sales
GBP – Construction PMI
AUD – AIG Services Index

Thursday
CNY – Caixin Services PMI
EUR – German Industrial production
USD – Unemployment Claims
CAD – IVEY PMI

Friday
USD – Jobs data
CAD – Jobs data




27 Apr – 1 May 2020 Trading week preparation

The content is now separated between markets/folders I track. It´s easier for me and I hope it´s easier clear for you too.
https://eod-notes.com/shared-content/

From last week:
I been trading less and risking less.
I closed my position on $GOLD (Barrick Gold) for + ~36% the last Thursdays candle looked toppy. I will look to go back in on a pullback.
I also closed my USDCAD short, when price failed to close above 1.42489 it was my hint. USDCAD will go higher but profits are profits. I am looking to take another long on a new retest of 1.40062.

Positions on $AG, $XAUUSD (longs) are still open.
I have been using a lot of time refactoring and creating new frameworks for my algos. Despite not being trading much, I am using this time to learn new strategies, code, backtest and study macro.
Maybe next week I will have more free content to share.

My macro opinions for long term:

  1. We are heading lower, much lower on stocks.
    This is being hard to digest, market rumors and the Fed are pumping this market up. I stand by my opinion, patience is a virtue.
  2. US bond yields are going to zero.
    Yup, not much to say about this
  3. Gold and silver will go a little bit lower before acting as safe heavens.
    This is a curve ball, Gold is pumping, JPY is setting up nicely for a pump too but Silver and CHF and looking really weak.
  4. Commodities will behave like gold, specially grains.
    CRB Index reached a new ATH low
CRB Commodity Index

Next Week:
Another action packed week of earnings

Earnings Week 27 April 2020

So far earnings have been very disappointing.

Earnings beating consensus – https://themarketear.com/posts/c84QLsijZo

I will be looking into MSFT, APPL, V, FB ,BA, LUV and AMD.
Two special notes for this week:
1- Airlines, earnings should be very, very bad. They will probably be subject to government bailouts. For the long term this downside should be excellent buying opportunities.
2- Oil companies. Mnuchin already said that the US is looking into taking a stake on oil companies as a bailout mechanism. XLE biggest companies as % are XOM and CVX. When this pumps be ready and don´t miss the boat.
As oil is being bailed out, XLF and banks will ride that wave too because they are the most exposed to debt (HYG and JNK), be aware to surf that wave too.

CRUDE
I wouldn’t touch crude directly with a two foot pole, the volatility and uncertainty will eat your trade alive.
It´s rumored that new OPEC + talks will happen and Trump is committed to stop the oil bleeding too.
Crude spreads are going nuts, and Brent shines as more stable than WTI.
If you want to play long/short crude be aware of volatility or use correlated assets with lower volatility.

TANOS WTI

GOLD
Not much to say, I still believe in a short term pullback but long term I am very bullish. Some people are seeing a IH&S being formed, but without a breakout my bias maintains.

Daily XAUUSD chart

SP500
Probably this earnings week will decide the fate of SP500.
It´s been trading in a range and the technical setup supports a bearish bias.
Some of the index constituents are starting to turn red. SPY outflows YTD continue.

SP500 Daily chart
TANOS SPX
SPY Outflows

YEN/ CAD
Yen is position to pump hard, on the monthly chart is already squeezing a screaming buy. On the other hand, CAD looks ready to die. Great way to play this is CADJPY.

Monthly YEN
Monthly CAD

Another Notes
Insiders are not buying the fed printer trigger, and buybacks are at the lows. If execs are reaching for life boats, they should know what´s what.

Insiders transactions
Insiders selling by index

Sentiment is mixed, confusion reigns in the market

TANOS Sentiment

Safe Havens are also mixed

TANOS Safe Havens

Articles:
WSJ Article on crude storage
Visual Capitalist info chart about dividend investing on volatile markets

Events:
Monday
EUR – German Retail Sales m/m

Tuesday
JPY – Unemployment rate / Core CPI
USD – Consumer Confidence / Richmond Man. Index

Wednesday
USD – Advaned GDP / FOMC
AUD – CPI

Thursday
JPY – Retail sales / Consumer Confidence
CNY – MAN. PMI / NON MAN. PMI
CHF – KOF Economic Sentiment
EUR – German Unemployment / CPI / Core CPI / EUR Unemployment Rate
USD – Unemployment Claims / Chicago PMI

Friday
JPY – Man. PMI
CHF – Man. PMI
GBP – Man. PMI
CAD – Man. PMI
USD – Man. PMI
EUR – Bank Holiday




19 – 24 Apr 2020 Trading week preparation

The content is now separated between markets/folders I track. It´s easier for me and I hope it´s easier clear for you too.
https://eod-notes.com/shared-content/

From last week:
Last week I only took a trade. Short USDCAD.
Here is my thesis. USDCAD correlates negatively with WTI. I am bearish crude but I will explain why on the Crude section.

Correlations between USDCAD and WTI

CAD technically and fundamentally looks very weak. Canada´s economy is falling into shambles and the CAD relies on crude prices to be stable.

CAD Currency Weekly chart

It was a crazy week overall, sadly the corona virus situation isn’t improving.
Markets are still rallying acting as everything is fine. This is insane.

My macro opinions for long term:

  1. We are heading lower, much lower on stocks.
    This week bulls swing for the fences, the SP500 rallying but is inside a rising wedge, maybe a retest of ~2900 is possible because Its the YTD mean reversion.
    Still believe we are heading much lower.
  2. US bond yields are going to zero.
    Shorter terms are already negative.
US Gov Bond Yields

3. Gold and silver will go a little bit lower before acting as safe heavens.
Gold corrected lower last Friday. News on stability and GILD treatment relived market sentiment. When everything stabilizes for good, old will correct much lower.
4. Commodities will behave like gold, specially grains.
Grains started to suffer, corn is already reaching 52W low price per bushel.

Next Week:
I don´t believe It´s time to go long.I am mostly in cash with four trades open, long gold, long $GOLD(Barrick Gold), long $AG and short USDCAD.
At the same time, I don’t believe It´s time to short the market, SP500 is showing a lot of power. We need to have a reversal event in order to trigger shorts.
I will keep watching the FX market for plays. Special note to grains and natgas, Corn is almost at a 52W low price per bushel, It might be worth a shot. Natgas ripped but is still inside a falling wedge, pay attention to a possible breakout.

Earnings season is steaming up ahead. Online companies will do good, home delivery services will do OK, everything else will do poorly. If you play earnings, be safe out there. It´s going to be a roller coaster.

Earnings week 19 April 2020

CRUDE
Oil markets are absolutely insane. Futures curve are in a super contango.

Oil futures contango – https://themarketear.com/

This is not enough to drive oil prices up. The supply is much bigger than the demand and while this doesn’t change, the price should go down. Even with massive OPEC+ cuts and Trump saying he will pay producers to not produce, the oil prices are driven by supply / demand laws.
Last Friday crude closed below the trend line and below support,It looks bad.

Oanda CFD WTI weekly chart
TANOS Market Gauge Crude

This is not all bad, in shore storage is reaching it´s capacity limit, so off shore storage is being contracted. BDI index is starting to turn positive and some tanker stocks are printing big green candles. I am not playing this, I arrived late to the party. If a new pullback happens I will look into it.

Baltic Dry Index

GOLD
Long term, I am very bullish gold, that´s why I am long from the base ~13xx level. This being said, Short term I believe gold prices will catch up with reality once the supply chain issues are resolved.

Gold monthly chart

The orange box on this chart is the level I am looking into adding to my gold bags.

Gold Daily chart
TANOS Market Gauge – Gold

SP500
Still inside a rising wedge. A new leg up to test the YTD mean reversion at ~2900 is still possible before rolling over. There´s the space and momentum for a last push higher.

Oanda SP500 Daily chart
Oanda SP500 Cloud chart
TANOS Market Gauge SP500

Another Notes
Insiders are not buying the fed printer trigger, and buybacks are at the lows.

Insiders transactions
https://themarketear.com/
https://themarketear.com/

Sentiment is still mostly bearish but the market keeps rallying, some people call it a bear market rally, others are saying the bottom is in. Pick a side.

TANOS Market Gauge Sentiment

Nasdaq is being the top performer, Tech is ripping on this bounce. When and If a sell off happens this stocks may provide great buying opportunities.

TANOS Market Gauge NASDAQ Perfs

Events:
Monday
EUR – German PPI
CAD – Wholesales m/m

Tuesday
GBP – Avg. Earnings Index / Unemployment rate
EUR – German ZEW Economic Sentiment / ZEW Economic Sentiment
CAD – Core retail sales / Retail sales
USD – Existing home sales

Wednesday
GBP – CPI / CORE CPI / PPI
CAD – CPI
CNY – CB Leading Index
EUR – Consumer Confidence

Thursday
AUD – Flash PMIs
JPY – Flash Man. PMI
EUR – Flash PMIs / German GFK Consumer Sentiment
GBP – Flash PMIs
USD – Flash PMIs / Unemployment claims

Friday
GBP – GFK Consumer Confidence / Retail Sales
EUR – German IFO
USD – Durable Goods / UoM Consumer Sentiment




13 – 17 Apr 2020 Trading week preparation

The content is now separated between markets/folders I track. It´s easier for me and I hope it´s easier clear for you too.
https://www.dropbox.com/sh/42emkdzpvw867i0/AAAHA9ljhEBgHkX63xNnWtesa?dl=0

From last week:
What a crappy week.
I had to cut my short on AUDJPY for a small profit.
My risk management parameters made me cut it. Rules are there for protecting you from yourself. My instincts and opinion may be correct about AUDJPY but the market is telling me I am wrong.
Trade with rules and a plan.
My decision to trade less and watch the markets It´s working out for me, I am being able to learn and understand the market swings and news.
Trading in this environment feels more like gambling.


My macro opinions for long term:

  1. We are heading lower, much lower on stocks.
    Despite this huge pump, I don’t believe we saw the bottom. Economic numbers are horrible and earnings season is starting. When those big airlines report, it may bring everything down.
  2. US bond yields are going to zero.
    It´s happening, Powell went on full “brrrrrrrr” the FED printer is working 24/7.
  3. Gold and silver will go a little bit lower before acting as safe heavens.
    Huge rally this week. I maintain my opinion. When this supply chain disruption ends. Gold will correct lower, providing a good buying opportunity . I already have gold on my portfolio, a test to the 1500 level is a buying opportunity for long term
  4. Commodities will behave like gold, specially grains.
    Not doing much as everything is on freeze. Corn is approaching some lows.
    Copper rebounded and oil is in a no mans land.

Next Week:
It´s going to be another crazy week.
I will keep my plan, I will trade small positions or not trading at all. I will use my time to study market movements and improve my systems.
That being said, this is what is catching my attention.
Earnings season is starting:

April 13 earnings week

FED balance sheet is full steaming head, Powell is printing 24×7. This looks like a crypto chart

FED Balance Sheet

CRUDE
OPEC+ decided to cut production, 9.7M bd per day let´s see how futures open. Demand is driving the price. Crude is in a no mans land and I think this wont do much for price while demand remains this low.

WTI Daily

GOLD
Went full on rocket man. FED printing press and supply chain disturbances in the gold physical delivery market are pumping the price higher. When the dust settles, a correction will happen, fast and furious.

Gold Daily

SP500
Last week the TTM triggered a long signal on the daily chart. A retest on the ytd mean reversion of ~2900 is possible. It also broke out the rising wedge, invalidating the pattern.

SP500 Daily

Another Notes
Insiders started selling the pump.

Insiders transactions chart

Sentiment is in a what I call weird mood. Bearish on the economy, bullish on the FED printer.

Market Sentiment

Safe Havens are going up, such is the market. Correlations don’t matter.

Safe Havens


St. Louis FED Financial Stress Index, well that spike sure does means something.

St. Louis FED Financial Stress Index

Events:
Monday

Tuesday
CNY – Foreign direct inevstiment ytd/y / USD denominated trade balance

Wednesday
AUD – Westpac consumer sentiment
USD – Core Retail Sales / Retail Sales / Empire state manufacturing Index / Industrial production / NAHB Housing Market Index
CAD – Rates decision

Thursday
AUD – Employment
EUR – German WPI / CPI / Industrial Production
USD – Unemployment claims / Philly Fed man. Index / Building Permits

Friday
CNY – Industrial Production / Retail Sales / Unemployment Claims
JPY -Tertiary Industry Activity
EUR – CPI / CORE CPI
USD – CB Leading Index



6 – 10 Apr 2020 Trading week preparation

The content is now separated between markets/folders I track. It´s easier for me and I hope it´s easier clear for you too.
https://eod-notes.com/shared-content/

From last week:
I feel I am repeating myself. Another hell of a week. Markets went up and down with mad swings.
For me It´s being very hard and challenging keeping it up with all this news and activity. So I decided to mainly focus on SP500, FX, Gold and crude. No stocks at all.
The AUDJPY trade is going well, short since 66.508 it´s in profit for ~163 pips. I will keep it open, I think it will go lower.
In midst of all this, I have been reducing the amount of trade I do per week, I am adapting my trades in a way I can be more “comfortable” with them.

My macro opinions for long term:

  1. We are heading lower, much lower on stocks.
    It´s still a long way to bottom
  2. US bond yields are going to zero.
    Short term US bonds are already negative and going into more negative territory
  3. Gold and silver will go a little bit lower before acting as safe heavens.
    Gold had a nice rally but I think it will go down before going much higher (I do own gold)
  4. Commodities will behave like gold, specially grains.
    Commodities battle and swing according dollar prices, if the dollar is strong commodities prices go down and vice versa. DXY is looking strong

Next Week:
AUD
I could throw a bunch of ideas of shorts but it would not be any different from your own analysis. I try to do this to share a different perspective on the market.
That being said, my “main” play at the moment is short AUDJPY. Things do look dire for the AUD and versus the Yen seems to be the best way to play it.
Yen looks very strong, it´s a safe haven and due to AUDJPY correlation with the SP500 It validates the price prediction.

AUD Weekly chart
JPY Weekly chart

CRUDE
This is a though one, I really like to trade WTI, It´s one of the main things I usually trade but this is starting to be insane. On last Thursday Trump tweeted that Saudis and Russians were talking and the WTI jumped almost 25% spot.
Common sense says to me that WTI is a no trade asset for the moment.
I do belive WTI will head lower before starting to gain up momentum.
Nonetheless here is my chart.

WTI Weekly chart

This will complicate things for crude prices.

CAD
This is a weird one. It looks ready to fall in oblivion.
It´s high correlation to crude prices makes it one asset to be watching.
Ways to play will be CADJPY/ USDCAD / EURCAD
A close below the yellow box will be a trigger for a short

CAD Weekly chart

GOLD
It is forming a massive cup and handle. Long term I am very bullish on gold, short term I am aware that the downside is more plausible. Maybe a retest of the 1500 lvl or lower.

Gold Weekly chart

SP500
Things are bad, market is bouncing but I feel it´s a dead cat bounce. There are still a lot of dip buyers but people are starting to see the bigger picture. Economic data is deteriorating by the day and this corona virus pandemic is affecting business throughout the world.
I still see SP500 reaching ~2000.

SP500 Weekly Chart

Another Notes
If on mid march, insiders were buying like crazy, last week, insiders were selling a ton.

http://www.openinsider.com/charts

SPY is still seeing a lot of inflows, month-to-month inflows are still positive.

Track Insight SPY Flows

I am taking this time to read and learn new things. I would like to share a few links:
Blogs:
https://advisor.visualcapitalist.com/black-swan-events/
https://e-markets.nordea.com/#!/article/56742/global-once-we-are-out-of-this-mess-the-usd-could-be-hammered

Podcasts:
Macro voices 213 Josh Crumb: Deciphering the Gold market
https://bit.ly/2V02hxM
hmmminars from Grant Williams
https://ttmygh.com/hmmminars/

Events:
Monday
EUR – German factory orders m_m /Sentix Investor confidence
GBP – Construction PMI
OPEC Meetings

Tuesday
AUD – Rates Decision
JPY – CB leading Index
EUR – German Industrial Production m_m
CAD – IVEY PMI
USD – Jolts Jobs Openings

Wednesday
JPY – Core machinery orders m_m / Economic Watchers Sentiment
CHF – Unemployment rate
USD – FOMC

Thursday
JPY – Consumer Confidence / Prelim Machinery orders m_m
GBP – GDP /Industrial production / Manufacturing Production / Index of Services
CAD – Jobs Data
USD – Unemployment claims / Core PPI / PPI /Prelim UoM consumer sentiment

Friday (Bank Holiday)
JPY PPI
CNY – CPI / PPI/ New loans
USD – CPI / Core CPI


30 Mar – 3 Apr 2020 Trading week preparation

The content is now separated between markets/folders I track. It´s easier for me and I hope it´s easier clear for you too.
https://www.dropbox.com/sh/42emkdzpvw867i0/AAAHA9ljhEBgHkX63xNnWtesa?dl=0

From last week:
Another crazy week, markets were up and down all over the place.
US unemployment claims reached a all time high, bigger than 2008.
Tensions between Saudis and Russians got worse.
Boris (BOJO) tested positive for covid19.
Europe is in turmoil because of the corona bonds.
If on the previous week insiders were buying like crazy, this week they are not buying this rally.

Insiders Buys/Sells

The market is officially broken Several ETFs are trading below their NAV. Last week I shared a list. Here is an updated one.
https://www.dropbox.com/s/ihir2nvcgs8rybt/ETFvsNAV.xls?dl=0

In midst of all this, I have been reducing the amount of trade I do per week, I am adapting my trades in a way I can be more “comfortable” with them.

On last week prep post, I said the market I am watching is the FX market,
the action will be here for the future months.
I shorted EURGBP @0.9156 and closed it @0.90138 ~134 pips.
I also shorted AUDJPY @66.508 which is a little bit under water but is still open, my target is 65.213 at least.

My macro opinions for long term:
Lets review this.

  1. We are heading lower, much lower on stocks.
    SPX had a nice rally but wasn’t able to breach a key level.
  2. US bond yields are going to zero.
    Short term US bonds are already negative
  3. Gold and silver will go a little bit lower before acting as safe heavens.
    Gold rebounded nicely, It surfed the market green mood. I think when the next sell off happens, gold will sell too
  4. Commodities will behave like gold, specially grains.
    CRB Index is off the lows but still “dead inside”

Next Week:

Sentiment:
Bearish sentiment is starting to rattle the markets. Although this week, after a Dow rally WSJ announced that a new Bull market started.
In my opinion we haven´t even properly started a bear market.

US Market Sentiment AAII Survey & NAIIM Survey | Euro Zone Sentix & ZEW

Market safe havens started to rebound and closed strong on Friday

Market Safe Havens JPY, CHF, GOLD & US10Y Note

SP500
Technically SP500 is setting up a perfect bear setup:
Weekly chart, rejected the 0.5 fib level and key resistance zone. A bear MACD cross is in play.
On the Daily chart, look for a clean break off the trend line. Friday closed with a bearish Harami candle.

SP500 Weekly Chart
SP500 – Daily Chart
SP500 – 4h chart
SP500 – Daily cloud & candles chart

Another important note on SP500 clearly rejected the mean/ geomean lines.

SP500 – Mean and Geomean lines

CRUDE
The charts look really bad. The Geopolitical chaos is killing the price.
The rivalries between producers crushed the price and covid19 the demand.
The good trades are all on the spreads.

Crude Prices WTI / BRENT / OPEC oil basket
https://themarketear.com/posts/c9ridVDcjt
WTI Monthly Chart

Another Notes

Stocks / Commodities ratio chart looks like a rocket ship. I will be watching this chart every day for the next months, a break of the trend line can start a commodities bull market.

SPX = Cyan | Stocks/Commodities ratio = Pink

US10Y-US2Y spread correlation with SP500 is uncanny. be aware of the gap closing.

US10Y-US2Y spread correlation with SP500

EUR has been the biggest bad boy in town. the amount of negative correlations are increasing, maybe is acting like a new safe haven.

Correlation table

Events:
Monday
CHF – KOF Economic Sentiment
GBP – Net Lending to Individuals / GFK Consumer Confidence
JPY – Unemployment Rate / Prelim. Industrial Production / Retail Sales

Tuesday
CNY – Manufacturing PMI / Non Manufacturing PMI
GBP – Final GDP
EUR – Flash CPI
CAD – GDP
USD – Chicago PMI / CB Consumer Confidence
AUD – AIG Manufacturing Index
JPY – Tanken Man. Index Tankan Non Man. Index

Wednesday
JPY – Manufacturing PMI
CNY – CAIXIN Manufacturing PMI
EUR – German Retail Sales / Manufacturing PMIs / Unemployment rate
GBP – Manufacturing PMI
USD – Manufacturing PMI / ADP – Non Farm Employment Change / ISM Manufacturing PMI
CAD – Manufacturing PMI

Thursday
EUR – PPIs
USD – Unemployment claims / Factory orders

Friday
CNY – CAIXIN Services PMI
EUR – Services PMIs / Retail Sales
GBP – Services PMI
USD – Services PMI / Avg. Hourly Earnings / Non farm Employment change/Unemployment rate / ISM Non Manufacturing Index

US most traded ETFs vs NAV

I will try to provide a little bit more data that I use on my day to day.
Starting with a list of the US most traded ETFs vs NAV.
NAV (Net asset value) is a ratio that represents a fund’s per share market value.

This recent market sell off created a unique opportunity in the market, some ETFs are trading below their NAV. Creating opportunities to buy ETF units below their underlying assets.
If you are a value investor this is gold to you.

This list shows the most traded ETFs and their rates.

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23 -27 Mar 2020 Trading week preparation

The content is now separated between markets/folders I track. It´s easier for me and I hope it´s easier clear for you too.
https://www.dropbox.com/sh/42emkdzpvw867i0/AAAHA9ljhEBgHkX63xNnWtesa?dl=0

From last week:
Not trading was the right decision for me. The market is a roller coast with huge swings up and down. Despite my macro ideas are working, I feel I would be straight up gambling if I was trading.
I like to think I am a confident trader, although this market conditions are making me uncomfortable to leave positions open at night. so I prefer not to trade my capital at the time and keep trading on paper.
Part of being a trader is to know your edge, I am working on it.

Last week despite not trading it was a very busy week. If you use my data / reports you will see I remade the Market Gauge dashboard entirely and added a new correlation Dashboard.
I also made a few paper trades on SP500. I think I am learning a lot in this market environment. Things are happening super fast and Central Banks(CBs) are trying to save everyone my making cash injections.
Reading about CBs policies I started to brush up my knowledge on CDSs (Credit Default Swaps) and this crises is looking more and more like a huge Junk debt explosion. (iTraxx Crossover Credit)
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Junk bonds are collapsing, CDSs are rising, Government bond Yields are all going to zero or negative and people are talking about MMT, a lot.

This are indeed scary times, I have no doubt that together we will beat Corona Virus but the aftermath will be another battle.

SP500
SP500 broke the yellow box, this is bad. We closed below 2018 Christmas correction. The volume on this sells are insane, this is historical volume levels.
More than 90% of the SP500 stocks are below any reference Moving Average.
Things are bad, I am eyeing the 2000 level.

SENTIMENT
Overall sentiment is bearish, some people cleaver then me are saying this will be worse than 2008. There are no safe harbors, all Safe Havens are diving too.

CRUDE
Well that’s a poo.
I love to trade crude futures but the amount of uncertainty in this market is insane. Supply is increasing by the day,demand is decreasing , Geopolitics and relations between OPEC, Russia and US are deteriorating. It´s chaos and mayhem.
That $10 crude idea is looking more real by the day. Spreads between Crude and Brent are really high which validates the uncertainty of the market.

My macro opinions for long term:

  1. We are heading lower, much lower on stocks.
    SPX made a new low, and the weekend trading is pointing for a bad futures open, maybe a limit down.
  2. US bond yields are going to zero.
    Short term bonds like 1/3 month are already at zero.
  3. Gold and silver will go a little bit lower before acting as safe heavens.
    Unfortunately this is still heading lower, the panic haven’t peaked yet, precious metals will only bottom when panic peaks.
  4. Commodities will behave like gold, specially grains.
    CRB Commodity Index is almost at a historical lows
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  5. EM, AUD, CAD fx will get destroyed vs USD and YEN.
    Major movements down on last week open and through last week, I expect this week to be the same.

For the trading week:
It will be another crazy week.
The only plays I see and I am willing to take are on the FX market.
AUD,CAD and EM currencies are weakening against de USD and JPY.
They are a very oversold and DXY are a bit extended so I expect DXY to retrace a little providing a better shorting opportunities. I am eying specially CADJPY, AUDJPY,USDCAD.

Special note for GBP, this week we have a BOE rate decision on Thursday. A new cut and with DXY strengh it could take 1985 lows of 1.10

Events:
Monday
CNY – CB Leading Index
EUR – Consumer Confidence
AUD – Flash PMIs

Tuesday
JPY – Flash PMIs / CPI
EUR – Flash PMIs
GBP – Flash PMIs / CB Industrial Expcectations
USD – Flash PMIs / Richmond Man. Index

Wednesday
CHF – Credit Suisse Economic Expecations
EUR – German Final IFO Climate
GBP – CPI/PPI
USD – Core durable goods / Durable goods orders

Thursday
EUR – Gfk Consumer Climate
GBP – Retail Sales / Rates
USD – Unemplyment Claims / Final GDP
JPY – Tokyo core CPI

Friday
USD – Core PCE Price Index / UoM data

16 -20 Mar 2020 Trading week preparation

The content is now separated between markets/folders I track. It´s easier for me and I hope it´s easier clear for you too.
https://www.dropbox.com/sh/42emkdzpvw867i0/AAAHA9ljhEBgHkX63xNnWtesa?dl=0

What I am looking at:
From last week:
I had to cut my longs on gold. The position was making me uncomfortable and I think gold is heading lower. I was wrong on my assessment the market wouldn’t do the same as 2008.
I shorted CADJPY again on Tuesday pump and closed on 74.883 retest.

For this week, I have to be completely honest. I feel disconnected with the market.
I can´t figure out the movements, this is the first “recession” on my trading journey and I am trying to figure out whats what and its not easy.
I don’t trade on instinct and this market conditions are making me uncomfortable, so I am opting out not to trade(real capital) and study market movements and behavior.
This being said, It´s an easy way to practice and learn without loosing capital.

This isn’t taking the week of, I am still working on my trading journey. Sometimes embodying the “You don’t know what you don’t know” is the best thing you can do. Apart from paper trading, I will re-watch this:
https://bloomberg.github.io/foml/#about
Brushing up on my macro indicators and studying on how to correlate them.
https://www.assetmacro.com/

My macro opinions for long term:
We are heading lower, much lower on stocks.
US bond yields are going to zero.
Gold and silver will go a little bit lower before acting as safe heavens.
Commodities will behave like gold, specially grins.
EM, AUD, CAD fx will get destroyed vs USD and YEN.

I will update my opinions on the next trading week prep

Events:
Monday
CNY – Industrial production y_y / Fixed Asset Investiment ytd_y /Retail sales / Unemployment rate
USD – Empire State Man. Index

Tuesday
CHF – Seco Economic forecast
GBP – Avg. Earnings index 3m_y /Unemployment rate
EUR – ZEW German Economic Sentiment/ ZEW Economic Sentiment
USD – Core retail sales / Retail sales /Industrial production / Business Inventories / Jolts Job openings NAHB Housing Index

Wednesday
EUR – Final CPI / Final core CPI
CAD – CPI / Core CPI
USD – Building Permits / FOMC

Thursday
AUD – Jobs data
JPY – Rates
CHF – Rates
USD – Fed Philly Man. Index / Unemployment claims / CB Leading Index

Friday
EUR – German PPI
CAD – Core Retail Sales