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 publishes 300 research reports internationally on Reuters and Thomson platforms every month. The research coverage includes Indian, Romanian and other Global equity and Indices. Orpheus Research also covers other asset classes like Metals, Forex, Agro, Energy, Bonds and Green assets. The forecasts cover asset classes across time frames. 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