- NLY to bull phase.
- Phase changes resulting from the new analytical method:
- SPY, QQQQ, JNK, USO, EUR/USD, EEM to neutral (was bull).
- VIX to bear (was bull).
- EUR/USD, AUD/JPY to neutral (was bull).
- EUR/JPY to neutral (was bear).
- LRCX, TROW to neutral (was bull).
- Brazil, China to neutral (was bull) (EWZ, FXI).
- FNMA to neutral phase (was bear).
- Indicators:
- Forex:
- Earnings plays:
- Diversification plays:
- Zombies:
My holdings are marked with an asterisk (*). Signal dates are the first day of week in which the signal appeared. Slow trade holdings are listed separately, at the ending of this posting.
Indicators
Stocks and Rates
| phase | pfe | pps | trend | ||
|---|---|---|---|---|---|
| SPY | |||||
| QQQQ | |||||
| VIX | |||||
| TLT | |||||
| JNK |
Tangibles
| phase | pfe | pps | trend | ||
|---|---|---|---|---|---|
| USO | |||||
| GLD |
Global
| phase | pfe | pps | trend | ||
|---|---|---|---|---|---|
| EUR/USD | |||||
| USD/JPY | |||||
| EEM |
Forex
| phase | pfe | pps | trend | ||
|---|---|---|---|---|---|
| EUR/USD | |||||
| AUD/USD | |||||
| USD/CAD | |||||
| USD/JPY | |||||
| GBP/CHF | |||||
| GBP/USD | |||||
| EUR/JPY | |||||
| AUD/JPY | |||||
| USD/CHF | |||||
| NZD/USD | |||||
| USD/MXN |
Watchlists
Earnings
| phase | pfe | pps | trend | ||
|---|---|---|---|---|---|
| AAPL* | |||||
| CHRW | |||||
| CRUS | |||||
| CTSH | |||||
| DECK | |||||
| ENTR* | |||||
| GOOG* | |||||
| GRMN | |||||
| LRCX* | |||||
| TROW | |||||
| TSM | |||||
| VAR* |
Key to earnings plays
(sorted by earnings date)
| sym | roe | debt/ equity | div% | ex-div | earns |
|---|---|---|---|---|---|
| GOOG | 20.6% | 0.00x | jan21 | ||
| AAPL | 35.3% | 0.00x | jan24 | ||
| LRCX | 30.9% | 0.01x | jan24 | ||
| TROW | 21.8% | 0.00x | 1.7% | dec28 | jan24 |
| VAR | 28.4% | 0.03x | jan26 | ||
| CRUS | 33.6% | 0.00x | jan28 | ||
| TSM | 30.7% | 0.10x | 3.6% ? | N/A | jan28 |
| CHRW | 44.8% | 0.00x | 1.5% | dec16 | jan31 |
| ENTR | 21.3% | 0.00x | jan31 | ||
| CTSH | 23.1% | 0.00x | feb7 | ||
| DECK | 27.8% | 0.00x | feb23 | ||
| GRMN | 27.0% | 0.00x | 4.9% | apr13 | feb23 |
Other bull plays
| phase | pfe | pps | trend | ||
|---|---|---|---|---|---|
| AROW | |||||
| CVX | |||||
| GE* | |||||
| MCO* | |||||
| PAYX* | |||||
| SO |
Key to other bull plays
| sym | roe | debt/ equity | div% | ex-div | earns |
|---|---|---|---|---|---|
| AROW | 14.9% | 0.58 | 3.6% | mar | jan17 |
| CVX | 17.4% | 0.10 | 3.3% | feb | jan28 |
| FTR | 3.8% | 1.55 | 8.0% | mar | feb21 |
| GE | 9.8% | 4.28 | 12.0% | mar | jan21 |
| MCO | 1.5% | feb | feb4 | ||
| NLY | 8.2% | 6.42 | 15.0% | dec | jan |
| PAYX | 34.6% | 0.00x | 4.1% | jan | dec21 |
| SO | 13.5% | 1.18 | 4.8% | jan | jan24 |
Diversification plays
| phase | pfe | pps | trend | ||
|---|---|---|---|---|---|
| EPI | |||||
| EWZ* | |||||
| FXI* | |||||
| RSX | |||||
| VWO |
Key to diversification plays
| sym | underlying |
|---|---|
| EPI | India |
| EWZ | Brazil |
| FXI | China |
| RSX | Russia |
| VWO | Global |
Wounded birds
| phase | pfe | pps | trend | ||
|---|---|---|---|---|---|
| FTR | |||||
| MVO* | |||||
| NLY |
Key to wounded birds
| sym | roe | debt/ equity | div% | ex-div | earns |
|---|---|---|---|---|---|
| FTR | 3.8% | 1.55 | 8.0% | mar | feb21 |
| MVO | 81.6% | 0.00 | 7.0% | jan | |
| NLY | 8.2% | 6.42 | 15.0% | dec | jan |
Zombies
| phase | pfe | pps | trend | ||
|---|---|---|---|---|---|
| AOD* | |||||
| FNMA* |
Key to zombies
| sym | roe | debt/ equity | div% | ex-div | earns |
|---|---|---|---|---|---|
| AOD | (fund) | 11.3m% | dec22 | n/a | |
| FNMA | feb |
About the categories:
- Earnings plays: I think these are likely to rise sharply on a real or anticipated earnings surprise.
- Other bull plays: I think these are more likely to rise than fall; excludes earnings plays.
- Bear plays: I think these are more likely to fall than rise.
- Diversification plays: These don’t closely track the U.S. markets or are based on currencies other than the U.S. dollar.
- Zombies: These are failed leftovers from what seemed to be good ideas at the time. They stalk the Watchlist like zombies, tying up resources and frightening small children.
Table Abbreviations:
- pfe - Location of the polarized fractal efficiency line.
- pps - Person's Proprietary Signal mode.
- trend - Trend of the polarized fractal efficiency line.
Key to the PPS/PFE tables
| column | color | meaning |
|---|---|---|
| phase | bull phase | |
| bear phase | ||
| pfe | +100 and above | |
| +50 to below 100 | ||
| 0 to below +50 | ||
| below 0 to above -50 | ||
| -50 to above -100 | ||
| below -100 | ||
| pps | bull confirmation | |
| bear confirmation | ||
| trend | uptrend | |
| no trend | ||
| downtrend |
PFE/PPS Analytical Tools
The analysis uses an indicator called the polarized fractal efficiency (pfe) technical tool. It employs the fractal math of Benoit Mandelbrot to measure how efficiently move between levels. The higher the efficiency, the more directional the price trend.
The math for the pfe is public knowledge, but it is well above my math knowledge, and so to me is also a black-box signal.
This is a relatively new technical tool, based on fractal math. Investopedia has only a cursory explanation. Wikipedia is silent on the subject. ThinkOrSwim has a fuller explanation.
For confirmation, the analysis uses the daily Person's Proprietary Signal (pps), developed by John Person.
This is a black box signals -- the "proprietary" means that Mr. Person knows how it works under the hood, and I don't. But it has shown a fair degree of success in identifying good entry and exit points, and I find it useful.
PFE/PPS Trading Rules
The polarized fractal efficiency line (pfe) provides the phase change signals (bull or bear), and the Person’s Proprietary Signal (pps) either confirms the change or not.
The pfe trend shows which direction the pfe line is moving and so suggests the likelihood of phase change in the near term.
For this analysis the pfe chart is divided into three sections: Above +50 is bull territory, below -50 is bear territory, and anything in between is neutrality.
Confirmed bull phase means the pfe has risen beyond the +50 line and the pps is in bull mode. The phase ends when the pfe crosses the +50 line into neutrality and the pps moves to bear mode.
Confirmed bear phase means the pfe has fallen beyond the -50 line and the pps is in bear mode. The phase ends when the pfe rises crosses the -50 line into neutrality.
On occasion the pfe will move to 100 or slightly above and flatline for extended periods. Although I code the 100+ extremes in my presentation charts, they have no significance for determining the phase or entering/exiting positions.
The trading rules are to open a long position on confirmed bull phase and close when the phase ends, open a short position on confirmed bear have and close when the phase ends, and have no position when the phase is neutral.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
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