The 2011 Outlook
Mukul Pal, CMT
Market Technicians
Association, Inc.
61 Broadway, Suite 514.
New York, NY 10006
Web: www.mta.org
Phone: 646-652-3300
Fax: 646-652-3322
Idea
Who saw the curve?
Vilfredo Pareto
(1848-1923)
Father of Microeconomics
80-20 Price and Time
20% Time,
80% price
change
80% Time, 20% price change
Clustering
Exponentiality
Exponential
Symmetry
Sub divisions
Counting
Elliott did not know Fibonacci
5
3
e
1
4
c
2
e
c
e
c
a
b
d
a
b
d
d
a
b
Clustering in Time
80-20 Price and Time
20% Time,
80% price
change
80% Time, 20% price change
Who saw order in Time?
Tony Plummer’s Triad
Who saw the curve in Time?
Orpheus Time Hierarchy
Orpheus Time Hierarchy
Orpheus Time Hierarchy
Figure 1. Rate of change for SIF Oltenia
Analysis
When we look at time duration for the 23 stocks we find most distributions to have an exponential nature. Our results are based on
analyzing ≈ 5000 time duration data points representing rate of change inflexion around a mean value of 1 over the daily data ≈
50,000 price data points for the period January 2000—October 2010.
Figure 2 displays the ascending sequence of the time duration data. We observe that the distribution has an exponential form and
decay.
P(g) ~ e−βg
With β = 2.4 ± 0.037
Application
Market Influences
•
•
•
•
•
News
Fundamentals
Demand and Supply
Technical Analysis
Sentiment
Top 10 – 1D
Romania
0.0
-5.0
-10.0
-15.0
VIDEOCON INT
HCL INFOSYS
FINANCIAL TEC
INDIA VOLATILITY
RELIANCE POW
TECH MAHINDRA
ROLTA IND
ESSAR OIL
SUZLON ENERG
BSE-CD
BSE SMALL-CAP
NTPC
PATNI COM SY
POLARIS SOFT
AXIS BANK
TORRENT POW
TITAN INDUST
RAJESH EXPO-B
BSE POWER
CAIRN INDIA
BSE OIL & GAS
HCL TECHNO
BSE-PSU
MPHASIS
BSE-CG
NIFTY MIDCAP 50
BSE METALS
TULIP TELE
ICICI BANK
BAJAJ ELEC.-S
TATA CONSULT
UNION BANK
PUNJAB NAT BK
MAH & MAH
SENSEX
CUMMINS
ONGC
BANK NIFTY
BSE AUTO
BSE-FMCG
BHARAT FORGE
BANK OF INDIA
ADANI ENT
BSE-HC
BAJAJ AUTO
INFOSYS TECH
MINDTREE
EXIDE INDU
CMC LTD
Top 10 – 5 day
10.0
India
5.0
Pattern
•
•
•
•
Chance
Where is the pattern?
Is curve a pattern?
Is the curve mathematical?
Top 10 – 5 day
A week
•
•
•
•
•
Umm..
Ok I see it
It’s a curve
It looks similar on two degrees of time
Did any news came this week?
Top 10 – MTD
Few weeks
•
•
•
•
It’s repeating
A similar curve.
There was news, demand, supply
Technicals and fundamentals
Top 10 – 6M
Few months
•
•
•
•
wow
How is this happening?
Nothing changes it
News, demand, supply, technicals,
fundamentals
• Mysterious force
Top 10 – 1Y
Year
• Pattern continues despite all market
influences.
SIF’S
Region, Sector
• Pattern in the region
• Pattern in a sector
DOW30
Region, Sector, America
• Pattern in the region
• Pattern in a sector
• Pattern in America
AT&T
Region, Sector, America, in time
•
•
•
•
Pattern in the region
Pattern in a sector
Pattern in America
Across degrees of time
S&P500 – 1d
Southwestern Energy Company (SWN.N)
Citrix Systems, Inc. (CTXS.OQ)
S&P500 – 5d
Host Hotels & Resorts, Inc. (HST.N)
Coca-Cola Enterprises Inc. (CCE.N)
S&P500 – MTD
Marathon Oil Corporation (MRO.N)
Coca-Cola Enterprises Inc. (CCE.N)
S&P500 – 1M
Carnival Corporation (CCL.N)
Coca-Cola Enterprises Inc. (CCE.N)
S&P500 – 3M
Genzyme Corporation (GENZ.OQ)
Micron Technology, Inc. (MU.OQ)
S&P500 – 6M
Teradata Corporation (TDC.N)
Office Depot
S&P500 – YTD
Genzyme Corporation (GENZ.OQ)
H&R Block, Inc. (HRB.N)
S&P500 – 1Y
Dean Foods
What is this pattern?
•
•
•
•
•
•
•
It’s a curve
Exponentiality
Small Big gains
Small Big loss
Lot of sideways action
It’s a cycle
Show me the cycle?
Region, Sector, America, in time
all over
•
•
•
•
•
Pattern in the region
Pattern in a sector
Pattern in America
Across degrees of time
Across universe of stocks
What does the curve mean?
•
•
•
•
•
Performance is ordered
Performance is cyclical
Performance is cyclical across time frames
Stocks move up and down in performance
They outperform and underperform in an ordered
sequence
• The sequence is a pattern of Time
• Time is exponential
• Time is the real price
Rankings are shifting cyclically
Rieki
SVU.N
VXX
APOL.OQ
.VXO
PSQ
DXD
.VIX
PWND.O
.DJUBSCC
VMC.N
LERO.L
SH
RWM
NGAS.L
ZMH.N
SHLD.OQ
DOG
PTRI.BX
RSH.N
DV.N
ARMA.BX
ERTS.OQ
KSS.N
LO.N
NRG.N
SWY.N
CEPH.OQ
SJM.N
MDT.N
BMY.N
TLT
PEG.N
QLGC.OQ
PPL.N
SRE.N
BAX.N
CLX.N
PIN
AMSL.BX
WDC.N
FXB
DGX.N
LLY.N
GME.N
COMI.BX
ALL.N
.XEN
ABT.N
NEM.N
OIL
SUPERVALU INC/d
BCL IPTS&P500 /d
APOLLO GROUP/d
OEX MKT VOL ND/d
PRSH SHRT QQQ/d
PRSH ULTSH DOW/d
MKT VOLTLTY ND/d
PS GBL WND ENR/d
DJUBS Cocoa
VULCAN MATRLS/d
ETF L EUR S US/d
PRSH SHT S&P50/d
PRSH SH RUSL20/d
NATURAL GAS/d
ZIMMER HLDGS/d
SEARS HOLDING/d
PRSH SHRT DOW /d
ROMPETROL WELL
RADIOSHACK/d
DEVRY INC/d
ARMATURA
ELECTRONIC ART/d
KOHL'S CRP/d
LORILLARD INC/d
NRG ENERGY/d
SAFEWAY INC/d
CEPHALON INC/d
J M SMUCKER/d
MEDTRONIC INC/d
BRISTOL MYERS /d
ISHR BARC 20+ /d
PUBL SVC ENTER/d
QLOGIC CORP/d
PPL CORP/d
SEMPRA ENERGY/d
BAXTER INTL IN/d
CLOROX CO/d
POWERSHARE IND/d
AMONIL SLOBOZIA
WESTERN DIGITA/d
CURRSHS BRT PD/d
QUEST DIAG/d
ELI LILLY/d
GAMESTOP CL A/d
CONDMAG-BRASOV
ALLSTATE CP/d
Indian rupe spot
ABBOTT LABS/d
NEWMONT MINING/d
IPATH GS CRUDE/d
7TAP.N
15RSG.N
23K.N
33SIF1.BX
44AKS.N
50KR.N
50AIGE.L
52.DJUBLHTR
58WFR.N
72ICE.N
73GPS.N
73CPB.N
75SAI.N
78GIS.N
79ALUM.BX
81KMB.N
82STJ.N
83RRD.OQ
86INTC.OQ
89FXF
96BIG.N
99CYB
106CME.OQ
107CAG.N
110TGT.N
113NEE.N
114BSX.N
116ECL.N
118HSP.N
120CCE.N
120ROMP.BX
123.BGREIT
123DDP
125TRV.N
127.FVX
129SIF3.BX
131ETR.N
131VFC.N
136PGM
140.STOXX50E
140CFN.N
143.XEY
143SIF4.BX
145ISRG.OQ
146CSCO.OQ
146LJPY.L
147BBY.N
148.AORD
148LOW.N
149FRX.N
MOLSON COORS B/d
REPUBLIC SVCS/d
KELLOGG CO/d
SIF 1 BAN-CHRIS
AK STEEL HLDG/d
KROGER CO/d
ENERGY DJ UBSC/d
DJUBS LeanHogsTR
MEMC ELECTRONI/d
INTERCONTINENT/d
GAP INC/d
CAMPBELL SOUP /d
SAIC/d
GENERAL MILLS/d
ALUMIL ROM IND
KIMBERLY-CLARK/d
ST JUDE MEDICL/d
DONNELLEY & SO/d
INTEL CORP/d
CURRSHS SWS FR/d
BIG LOTS INC/d
WT DRYFS CHN Y/d
CME GROUP INC /d
CONAGRA FOODS/d
TARGET CORP/d
NEXTERA ENERGY/d
BOSTON SCIEN C/d
ECOLAB INC/d
HOSPIRA/d
COCA COLA ENT/d
ROMPETROL RAFINA
BGREIT
DB COMMODTY SH/d
THE TRAVELERS /d
5 YR TSY YLD N/d
SIF 3 TRANSLV
ENTERGY CP/d
VF CORP/d
BAR IPA UBS PL/d
ESTX 50 PR/d
CAREFUSION CP/d
Yuan Rnmbi spo/d
SIF 4 MUNTENIA
INTUITIVE SURG/d
CISCO SYSTEMS/d
ETF L JPY S US/d
BEST BUY CO IN/d
ALL ORDINARIES/d
LOWES COMPANIE/d
FOREST LABS/d
150
150
152
154
155
155
155
156
157
157
158
158
158
159
160
161
161
162
163
164
164
164
165
170
171
172
172
172
175
175
175
176
178
178
178
178
178
178
179
180
181
182
182
182
183
183
183
183
185
186
.DJT
.DJT
.DJT
UEC
AA.N
JO
IFF.N
SLV
NFX.N
PCAR.OQ
DHI.N
.TXX
.CSCSSITR
HUM.N
XME
WFMI.OQ
DOW.N
TGNM.BX
MET.N
NOV.N
PAL
ANF.N
DAFR.BX
NSC.N
SLM.N
BIIB.OQ
PCP.N
DFS.N
FCX.N
VIAb.N
TXT.N
MCO.N
TMK.N
MSI.N
UNH.N
AKAM.OQ
FLR.N
REE
COMPA.BX
DIS.N
EXPD.OQ
OMC.N
WPI.N
APA.N
AZOM.BX
MOOO.L
ESRX.OQ
CBS.N
PLL.N
.DJUBSCT
DJ TRANS AVERA/d
DJ TRANS AVERA/d
DJ TRANS AVERA/d
URANIUM ENRGY/d
ALCOA INC/d
BAR IPA UBS CO/d
INTL FLAV & FR/d
ISHR SILVER TR/d
NEWFIELD EXPL/d
PACCAR INC/d
D.R. HORTON IN/d
CBOE TECH NDX/d
CARES Silver
HUMANA INC/d
SPDR S&P MTL&M/d
WHOLE FOODS MK/d
DOW CHEMICAL C/d
TRANSGAZ MEDIAS
METLIFE INC/d
NTL OILWELL VA/d
N AMER PALLAD/d
ABERC FITCH A/d
DAFORA
NORFOLK SOUTHE/d
SLM CORPORATIO/d
BIOGEN IDEC/d
PRECISION CAST/d
DISCOVER FINAN/d
FRPRT-MCM GD/d
VIACOM CL B/d
TEXTRON INC/d
MOODY'S/d
TORCHMARK CORP/d
MOTOROLA SOL/d
UNITEDHEALTH G/d
AKAMAI TECH IN/d
FLUOR CORP/d
RARE ELEMENT R/d
COMPA SA
WALT DISNEY CO/d
EXPEDITORS/d
OMNICOM GP INC/d
WATSON PHARM/d
APACHE CORP/d
AZOMURES
S-NET AGRI USD/d
EXPRESS SCRIPT/d
CBS CL B/d
PALL CORP/d
DJUBS Cotton
456EMC.N
456CTXS.OQ
456TWC.N
457A.N
458THC.N
459CBG.N
459EL.N
460ELGS.BX
460PH.N
460TXN.N
460GR.N
461RHT.N
463CAT.N
463LUK.N
465HON.N
465HOT.N
465NVDA.OQ
466ROK.N
466BLL.N
466CMI.N
466MYL.OQ
466UNP.N
467CMCSA.OQ
469VLO.N
469HST.N
469LEN.N
472C.N
472CVH.N
474HES.N
474SBUX.OQ
475DE.N
476FO.N
476MEE.N
480JNPR.N
481BRCM.OQ
483JBL.N
485ALTR.OQ
485ETN.N
486CCL.N
489CPWR.OQ
491HBAN.OQ
492IPG.N
492AAPL.OQ
494PXD.N
496CTSH.OQ
496CSX.N
498EMN.N
499CF.N
502AMZN.OQ
502CVC.N
EMC CORP/d
CITRIX SYSTEMS/d
TIME WARNER CA/d
AGILENT TECH/d
TENET HEALTHCR/d
CB RICHARD ELL/d
ESTEE LAUDER/d
ELECTROARGES
PARKER-HANNIFI/d
TEXAS INSTRUME/d
GOODRICH CORP/d
RED HAT INC/d
CATERPILLAR IN/d
LEUCADIA NATL /d
HONEYWELL INTL/d
STARWOOD HOTEL/d
NVIDIA CORP/d
ROCKWELL AUTOM/d
BALL CORP/d
CUMMINS INC/d
MYLAN INC/d
UNION PACIFIC /d
COMCAST CORP A/d
VALERO ENERGY/d
HOST HOTL&RES/d
LENNAR CP CL A/d
CITIGROUP/d
COVENT HLTH CR/d
HESS CORP/d
STARBUCKS CORP/d
DEERE & CO/d
FORTUNE BRANDS/d
MASSEY ENERGY/d
JUNIPER NETWRK/d
BROADCOM CORP/d
JABIL CIRCUIT/d
ALTERA CORP/d
EATON/d
CARNIVAL CORP/d
COMPUWARE CORP/d
HUNTGTN BKSHR/d
INTERPUBLIC GR/d
APPLE INC/d
PIONEER NAT/d
COGNIZANT TECH/d
CSX CORP/d
EASTMAN CHEM/d
CF INDUSTRIES/d
AMAZON COM/d
CABLEVISION SY/d
504SNDK.OQ
504NFLX.OQ
505PCS.N
510PCX.N
510TSO.N
511WY.N
511HOG.N
513TSEL.BX
514TDC.N
515NTAP.OQ
515JCI.N
517AMP.N
518CLF.N
518ADSK.OQ
520F.N
521CRM.N
522WYNN.OQ
524AIG.N
525FFIV.OQ
528JDSU.OQ
531PCLN.OQ
534
536
536
537
538
538
538
539
539
544
544
545
546
547
553
554
556
556
557
559
562
565
565
567
567
568
571
572
575
SANDISK CORP/d
NETFLIX INC/d
METROPCS COMMU/d
PATRIOT COAL/d
TESORO CORP/d
WEYERHAEUSER C/d
HARLEY-DAVIDSO/d
TRANSELECTRICA
TERADATA CORP/d
NETAPP INC/d
JOHNSON CONTRO/d
AMERIPRISE FIN/d
CLIFFS NATRL R/d
AUTODESK INC/d
FORD MOTOR CO/d
SALESFORCE COM/d
WYNN RESORTS/d
AMER INTL GROU/d
F5 NETWORKS IN/d
JDS UNIPHASE/d
PRICELINE COM/d
576
576
580
586
587
589
591
592
594
597
597
598
615
633
638
642
644
644
646
649
654
DOW
Romania vs. Global
BET VS DOW COMPOSITE
SIF5 RIEKI
USD Libor. 1 YR. Monthly
• XXXXXXXXX
Character of Oscillators
Case of Bond Market Secular Exhaustion
Clarity in extremity
Cyclical Indications
Leading nature of Bonds vs. Libor
• XXXXX
Gold
Quarterly Momentum
Gold adjusts cost of money (fear)
Even despite extremity
Trading risk vs. investment risk
Markets approach to Problem solving
Dollar Index.
Quarterly momentum
• XXXXXXXXX
• XXXXX
“Dollar needs an interest rate confirmation”
Trading opportunities.
S&P 500
Quarterly momentum
“Trading range”
“Absence of price confirmation
“May test previous highs”
1984
Tracker
SIGNALS
DATA
ACTIUNEA
PRIMA ZI
STATUS
LONG/SHORT
PRET DESCHIDERE
PRET
PROFIT
31-Dec-10
CEE INDEX
31-Dec-10
DESCHIS
SHORT
1309.69
1309.69
0.0%
30-Dec-10
TLV
21-Dec-10
CONTINUU
SHORT
1.22
1.23
-0.6%
30-Dec-10
COMI
23-Nov-10
CONTINUU
SHORT
0.46
0.46
0.2%
30-Dec-10
SIF1
19-Nov-10
CONTINUU
SHORT
1.05
1.01
3.6%
30-Dec-10
SIF5
17-Nov-10
CONTINUU
SHORT
1.33
1.26
5.6%
30-Dec-10
TERPLAST
22-Dec-10
CONTINUU
SHORT
0.42
0.42
-1.2%
30-Dec-10
ALUMIL
14-Dec-10
CONTINUU
SHORT
1.47
1.45
1.4%
30-Dec-10
AMO
9-Dec-10
CONTINUU
SHORT
0.01
0.01
2.1%
30-Dec-10
ARMATURA
15-Dec-10
CONTINUU
SHORT
0.13
0.13
0.2%
30-Dec-10
CEON
1-Nov-10
CONTINUU
SHORT
0.13
0.11
21.2%
30-Dec-10
OIL TERMINAL
15-Dec-10
CONTINUU
SHORT
0.23
0.22
1.8%
30-Dec-10
PREFAB
28-Dec-10
CONTINUU
SHORT
1.91
1.90
0.5%
30-Dec-10
BIO
9-Dec-10
CONTINUU
LONG
0.20
0.21
1.5%
30-Dec-10
TGN
15-Dec-10
CONTINUU
LONG
264.30
280.00
5.9%
30-Dec-10
ATB
27-Dec-10
CONTINUU
LONG
0.61
0.62
1.6%
31-Dec-10
DOW INDUSTRIALS
3-Dec-10
CONTINUU
LONG
11382.09
11577.51
1.7%
31-Dec-10
GOLD/SILVER
28-Dec-10
CONTINUU
LONG
224.89
226.58
0.8%
31-Dec-10
BRENT
30-Nov-10
CONTINUU
LONG
86.60
94.23
8.8%
31-Dec-10
POLISH WIG
7-Dec-10
CONTINUU
LONG
47516.57
47489.90
-0.1%
RIEKI INDIAN RUPEE PORTFOLIO
What do we see?
H1
• Volatility
• Negativity on Gold and CRB
• Sector Specific Negativity
• Neutral Dow
H2
• Relative Positive Romania
• Commodity Bull
• Equity Bull
Source: Prognosis.ro
What do we do?
•
•
•
•
•
Timing
Stock Selection
Risk Management
Forecasting
Benchmarking
Orpheus CAPITALS, The Global Alternative research company is based out of Romania. Alternative Research includes Price fractals, time cycles, sentiment and
statistical research. The research startup is headed by full time members of Market Technicians Association and members of Foundation of Cycles. The outfit
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Global equity and Indices. Orpheus Research also covers other asset classes like Metals, Forex, Agro, Energy, Bonds and Green assets. The forecasts cover asset
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Introducing Alpha. Orpheus Capitals. Global Alternative Research Company
2011