Monday, March 5, 2012

Coppock, MACD and Dashboard Update

The month end summary is:

1. Coppock says not yet for All Ords
2. Coppock now says BUY for Nikkei 225 in Yen
3. MACD says BUY for All Ords
4. Modified Turtle says not yet for All Ords
5. Virtually all moving averages say BUY for All Ords
6. 2 Month growth SMA's say pause or fall likely for All Ords

My interpretation is that for a medium term investor, don't buy more until the All Ords breaks 4470 and at present there is a significant risk of a fall of 10% as 2 month growth rates reached rarely sustainable levels (84th percentile at daily peak) and the 10 day and 30 days SMA's of 2 month growth have rolled/are rolling over.

Here are the tables:

Coppock and MACD (some Major International Markets):

Note that only the Nikkei has a positive BUY (for Yen or hedged international investors). All other Coppocks lost ground and the early March figures already show another fall other than for Nikkei, so the end of month figures weren't mere window dressing. The falls for S&P, Nasdaq and FTSE are technically meaningless as the only true Coppock signal is turning up from bleow zero and these indices had Coppocks aboev zero at 29 Feb.

The other major note is that all long term MACD's have already shown buys, but this is a slightly more volatile indicator. Will Coppock follow? Time will tell.

All Ords Dashboard:

The SMA's are generally indicating an uptrend has commenced both on direction of their trend and on most crosses.

Growth percentiles indicate the market is not likely to be overpriced. The 3 year growth and percentile is an artifact of the 2009 bottom and will shortly start to revert as we move more than 3 years from the 2009 bottom, but the 4 year figures will start to look higher as the 3 year figures fall.

2 month growth is slightly elevated above median but is falling from recent highs. It's cycle could indicate a fall of around/near/more than 10% as it's 10 and 30 day SMAs have/are rolled/rolling over.

1 and 2 year performance continue to indicate we are near a median bottom (at Sept 2011) based on data since 1984.

Performance against  GDP also suggest that the market is not overvalued.

Earnings Yield against 10 year Bond Yields indicates the market is cheap compared to most of the modern (post 1960) period, but it should be noted that in the US the Dow (DJIA) went for very long periods where investors demanded higher yields on shares than bonds out of fear of losses based on recent experience, uncertainty and patriotism.


The pattern of recoveries since 1984 also indicates we may well be in a continuing major up trend but there is one major fly in the ointment. The recovery from the bottom in 1987 was terminated by a loos of almost all the gains as we moved to 1991. The 1987 fall takes some relevance as it was the last fall of 50% in the All Ords prior to 2008/9.

The range of possibilities for the future is wide (less so if reindexed to the current day past the bottom and most recoveries continued largely positive from this point, other than the 1987 descent to 1991.

Modified Turtle
My modified Turtle breakout indicator has not yet been broken. I have modified the rules and numbers to reduce chance of being whipsawn, but it comes at a cost of likely lower returns for having missed a section of upturns and selling later in any major fall. The chart above shows the sideways pattern for the last few months and that the All Ords faces stiff resistance around the 40% above the bottom mark which as the following chart shows is at around 4400.From my dashboard above you can see that my modified Turtle says I should have been out for months and not get back in until 4470 (based on being interested in medium term cycles, not trading.)

As volatility has decreased so has the distance between the buy and sell lines. The upturn in various SMA's of the All Ords can also be seen in the chart below.

Being loss sensitive because I am in drawdown phase I am waiting to see if the current peaking of the 2 month cycle leads to declines, waiting for a Coppock BUY signal and waiting for a modified Turtle break out.

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