Sunday, March 14, 2010

Update on The Ultimate Momentum Signal

  The Breakout - Day10
  Loss of momentum...?
The Nifty futures opened at 5133 last Monday. It traded sideways for most of the week and closed at 5148 with weekly gain of 61 points. The implied volatility of the Nifty options have shrunk to below 20. The weekly ATR has reached 1.59 %, which is very near the post bear market lows. Even though the market may trend upwards with low volatility for some more time, it seems that the time has come to tighten the stops on all long positions. The weekly chart of the futures showing the price, moving averages, and ATR panels is given below.
Nifty Futures - Weekly Chart - Price, Moving Averages & ATR
The US markets also rallied further during the week and were trading near their January 2010 post bear market highs. S&P 500 index options were exhibiting the low implied volatility as indicated by the CBOE VIX. The following chart shows the DJIA, S&P 500 and CBOE VIX.

US Markets - Daily Chart - DJIA, S&P 500 & CBOE VIX

The Updated Momentum Signal Spreadsheet 

The updated spreadsheet showing the Momentum Signal as on the close of   12th March 2010, is given below.
You can click on the table to enlarge. For more info on the above table,  please click here.

The Momentum Signal has returned the maximum value of +100 for the tenth consecutive day.

 Projected Momentum Signal Close Values

The projected levels of closing values required for momentum shift / neutrality / continuation as on the close  of trading  on 15th March 2010 are given in the table below. The table also include the projected closing values of BSE Sensex required for momentum shift / neutrality / continuation.

  You can click on the table to enlarge. For more info on the above table,  please click here.

Please note that the closing values required for a positive momentum have significantly moved  upwards to 5119 and 5122 points for the Nifty Futures and the index respectively. Stop loss for all long positions may be tightened.

Cheers and Prosperous Investing and Trading!!!

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