10 July 2012

Death or Gold

Moving Average 1 crosses Moving Average 2.  Death or Golden Cross.  Depending.  Almost always whatever was happening then had started a while ago. If you wait for the crossover you'll miss a chunk of what was probably obvious in hindsight.

Here's Soybean Meal with 50 and 200-day MAVGs.

Clearly the crossover signal is slow especially when using longer periods.  The middle line on the chart below shows when the crossover goes from positive to negative. It doesn't work well in faster markets as in 2009.

Instead of looking at the crossovers it's often more useful to look at the rate of change for the crossover i.e. is the crossover turning positive of negative.  The change in colors above shows when the rate of change for the crossover is positive or negative.  Using 50/200-day MAVGs this doesn't generate too many signals -- essentially only seven directional changes since 2008 here.  Of course there are fake-outs and dead markets but not too many.  How does it backtest?  Go to the full version at futures.transmatch.com and pick your commodity and MAVGs and see for yourself.

05 July 2012

Curve Flatter

This rather busy chart shows the move for the various Treasury futures and the SPX in the last year.  To my eyes, it's fairly obvious that the enormous gains of the Bond vs the rest of the curve have been caused by repeated moves away from equities in a flight to safety rather than any special insight into inflation or US government deficit funding plans.  The steeper curve was caused by fear.  A flattening one will come from greed. 

You can see for yourself back to 2005 at futures.transmatch.com

03 July 2012

Time to buy heating oil and sell gasoline?

No.  That was back in May but don't ask me as I live in NYC and don't have a car or have to pay to heat my luxury coop on Manhattan's tony Middle Eastside. But it's still not too late.  Long HO short RB still looks good until at least September if past seasonal patterns hold.  And who are you going to trust if you can't trust Mother Nature?  BTW the journal Nature says sea levels will continue to rise for several hundred more years no matter what Obama tries to do or Romney doesn't do.  It's baked in the cake.  So if you are interested in beachfront property in Manhattan, call me in about 60 years.

Want to play with these charts?  futures.transmatch.com

02 July 2012

Does Gold have a future?

Obviously every hedge fund in the world was buying gold $GC_F day in day out until last autumn and then they stopped.  Gold isn't overbought anymore but clearly there's no enthusiasm.  It's relationship to the economic shocks of the last 6 months (err 6 years) has been tenuous i.e. uninteresting.  Gold was simply the default go to trade for knee-jerk funds who didn't have anyplace better to put their bets.  Now they've opened their eyes to lots of other opportunities. Long and short.  See them here at futures.transmatch.com.  Gold is a source of funds.