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文章时间: 2012-1-04 周三, 上午1:56    标题: PA:Market Sentiment 引用回复


Purified Sentiment Indicators For The Stock Market

http://www.scribd.com/doc/77044409/Purified-Sentiment-Indicators-Stock-Market-Aronson-Wolberg


Sentiment Indicators:


机构 ★ Investors Intelligence Advisor Sentiment Index, Bulls - Bears (INV):
http://www.investopedia.com/articles/trading/03/100103.asp#axzz1iTFBucpJ
January 4,1963 to October 31, 2008, published weekly by Investor’s Intelligence.


散户 ★ American Association Sentiment Survey of Individual Investors (AAII):
http://www.aaii.com/sentimentsurvey
July 27, 1987 to October 31, 2008, published weekly.
Source Ultra FinancialSystems (www.ultrafs.com)


★ Bank of America Merrill Lynch ★ “Sell Side Indicator”
(a contrarian gauge based on the average recommended equity allocation of Wall Street market strategists)
http://www.gaofamily.com/viewtopic.php?p=59693#59693


Hulbert Stock Newsletter Sentiment Index (HUL):
January 2, 1985 toOctober 31, 2008, published weekly, is the average recommended stockmarket exposure for a subset of short-term market timers tracked by theHulbert Financial Digest.
Source: Mark Hulbert.


CBOE Implied Volatility Index (VIX):
January 2, 1986 through October 31,2008. It is an indicator of the implied volatility of SP500 index options.Prior to 2003 it was based on S&P100 options.
Source: Ultra FinancialSystems (www.ultrafs.com)
http://stockcharts.com/def/servlet/Favorites.CServlet?obj=ID2393449&cmd=show[s122111957]&disp=P


CBOE Equity Put to Call Volume Ratio (PCR):
October 1, 1985 throughOctober 31, 2008. Series includes ETF options. Source: Luthold Group.
http://stockcharts.com/def/servlet/Favorites.CServlet?obj=ID2393449&cmd=show[s176209081]&disp=P

AAII comprehensive reading on the Put/Call Ratio:
http://www.aaii.com/computerized-investing/article/the-put-call-ratio



Abstract

We attempt to improve the stationarity and predictive power ofstock market sentiment indicators (SI) by removing the influence ofthe market’s recent price dynamics (velocity, acceleration &volatility). We call the result a purified sentiment indicator (PSI).PSI is derived with an adaptive regression model employing pricedynamics indicators to predict SI. PSI is the difference betweenobserved SI and predicted SI normalized by model error. Weproduce PSI for the following SI: CBOE Implied Volatility Index(VIX), CBOE Equity Put to Call Ratio (PCR), American Associationof Individual Investors Bulls minus Bears (AAII), InvestorsIntelligence Bulls minus and Bears (INV) and Hulbert’s StockNewsletter Sentiment Index (HUL). All SI series are predictablefrom price dynamics (r-squares range from .25 to .70). Using cross-validation we derive a signaling rule for each SI, PSI, and pricedynamics indicator and compare them with a random signal interms of their out-of-sample profit factor (PF) trading the SP500.Purification generally improves the stationarity of SI by reducingdrift and stabilizing variability. However, it generally reduces PFfor PCR, AAII, INV and HUL suggesting at least some of theirpredictive power stems from price dynamics. In contrast, PF of VIXis significantly enhanced by purification implying it containspredictive information above and beyond price dynamics but whichis masked by price dynamics. Purified VIX is superior to all otherindicators tested.

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上一次由纯属误会于2012-2-01 周三, 下午5:14修改,总共修改了7次
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文章时间: 2012-1-04 周三, 上午2:01    标题: 引用回复


Advisor Sentiment Rises with Market

December 28th at 7:40am by ETF Trends

http://www.etftrends.com/2011/12/etf-espresso-advisor-sentiment-rises-with-market/


Advisor sentiment improved in the latest week along with equities, Investors Intelligence reported Wednesday.

The number of bulls in the survey climbed to 50.5% from 48.4% the prior week — the highest level since early May.

“Indexes were all higher then and that higher reading was a danger sign that new funds for further investors would be hard to find,” Investors Intelligence said. “Sentiment is now becoming a worry with
the bulls above 50%, although most tops show them near 55%. Many advisors now mention index tests of their 2011 highs. That could see even more optimism, and of course increase our concern.”

Meanwhile, bears fell to 29.5% from 30.5% last week.

“The difference between the bulls and bears was +21.0%, up from another week ago but not close to the spread near +30.0% in July and well above there last spring,” the newsletter service added.


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文章时间: 2012-1-04 周三, 上午2:12    标题: 引用回复

The AAII Investor Sentiment Survey measures the percentage of individual investors who are bullish, bearish, and neutral on the stock market for the next six months;
individuals are polled from the ranks of the AAII membership on a weekly basis. Only one vote per member is accepted in each weekly voting period.

Survey Results
Sentiment Survey
Results Week ending 12/28/2011
Data represents what direction members feel the stock market will be in the next 6 months.

Bullish 40.6%
up 6.9
Neutral 28.6%
down 9.4
Bearish 30.8%
up 2.6

Change from last week:

Bullish: +6.9
Neutral: -9.4
Bearish: +2.6

Long-Term Average:

Bullish: 39%
Neutral: 31%
Bearish: 30%

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文章时间: 2012-1-04 周三, 上午2:24    标题: 引用回复


2012: The Bear Market Watch Continues

January 3, 2012

http://seekingalpha.com/article/317214-2012-the-bear-market-watch-continues?source=feed


In the financial markets, you never get thunder from a clear sky.

We are at a critical market inflection point as 2012 begins. As I discussed in "How to Tell if We are in a Bear Market" and "A Profitable Trading Strategy for the S&P 500," our quarterly model continues to indicate that we have entered a new cyclical bear market.

This bear market was signaled by the 2 successive lower quarterly closes of Q2 2011 and Q3 2011. Although the S&P 500 (SPY) ended 2011 roughly flat, our model suggests that a quarterly close below 1131.42 may soon be on its way. This would be a drop of at least 10% (and probably more) from where the S&P 500 finished 2011.

Meanwhile, according to the latest reading from Investors Intelligence, over 50% of advisors are bullish and just 29.5% are bearish, suggesting that investors are about to be caught flat-footed again. The S&P 500 trades at a Shiller cyclically adjusted P/E of over 19, which is historically high, if not nose-bleed high.

This is a triumvirate of high valuation, over-bullish sentiment, and bearish technicals. Ignore it at your own risk.


Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.



Little enthusiasm for equities among advisers
By Bruce Kelly,January 1, 2012 6:01 am ET
http://www.investmentnews.com/article/20120101/REG/301019990

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文章时间: 2012-1-05 周四, 下午5:07    标题: 引用回复

纯属误会 写道:
Advisor Sentiment Rises with Market
December 28, 2011 at 7:40am by ETF Trends

The number of bulls in the survey climbed to 50.5% from 48.4% the prior week — the highest level since early May.

“Sentiment is now becoming a worry with the bulls above 50%, although most tops show them near 55%.

Meanwhile, bears fell to 29.5% from 30.5% last week.

“The difference between the bulls and bears was +21.0%, up from another week ago but not close to the spread near +30.0% in July and well above there last spring,” the newsletter service added.



Bull/Bear Spread sits at +31.7% now.
2011年5月初/7月初的暴跌行情会在近期重演吗???




Survey Results
Sentiment Survey
Results Week ending 1/4/2012
Data represents what direction members feel the stock market will be in the next 6 months.

Bullish 48.9%
up 8.3
Neutral 34.0%
up 5.4
Bearish 17.2%
down 13.7

Change from last week:

Bullish: +8.3
Neutral: +5.4
Bearish: -13.7

Long-Term Average:

Bullish: 39%
Neutral: 31%
Bearish: 30%

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文章时间: 2012-1-10 周二, 上午11:45    标题: 引用回复


Mass opinion is always wrong.



2012前景如何:美国2/3民众乐观

2011-12-30


新年将至,最新民调显示,近七成美国人表示,即将过去的2011年是最差的一年,他们宁愿忘记。但将近三分之二美国民众相信,对他们的家庭和国家而言,明年情况将会改善。

民调发现,高达68%美国人认为,2011年实在很差,越快过去越好,这个比率是认为这一年情况不错者(29%)的两倍多。

大多数美国人认为,今年经济危机挥之不去,失业率高,或设法重新进入职场者发现,工作机会还是非常稀少,有空缺的职务,其薪资也比10年前低很多。

生活必需品(如健保、食物和燃料)的价格整年上涨,让上班族和失业者同受高物价挤压。股市投资亏损,投资与回收很难打平;大多数地区房屋价值继续下跌。许多情况太差的美国人计画热烈庆祝新年,恨不得立即把2011年马上送走。

在政治方面,民众认为2011年是总统与国会未能就解决重大问题达成共识的一年,像是提高国债债限及延长社安税减税。

展望明年则呈现明显对比。62%美国民众表示,他们对2012年的国家大势,感到乐观。78%表示,他们对新年将带给他们家庭的影响,感到乐观。

约37%民众表示,他们认为经济将在今后12个月改善;认为经济将恶化者占24%。36%表示,他们认为个人财务情况将会改善;11%认为将会恶化。

这项民调于本月8至12日进行,电话访问1000名成年人,误差率为正负四个百分点。

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文章时间: 2012-1-10 周二, 上午11:50    标题: 引用回复


3 BEARISH CHARTS

Jan. 10 2012, Surly Trader
http://pragcap.com/3-bearish-charts

Fact 2: The Institutional Investor survey (AAII Bull vs Bear) is putting the bull versus bear ratio at highs


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文章时间: 2012-1-10 周二, 上午11:58    标题: 引用回复

Monday, Jan 9 2012
Market Sentiment - A Contrarian View:


JANUARY BAROMETER:
http://mktsentiment.blogspot.com/2012/01/january-barometer.html


---------------------------------
AAII 74%: most bullish in a year! Jan 5 2012, 10:05 AM
http://www.traders-talk.com/mb2/index.php?showtopic=137045

I'd say it is a warning sign.

AAII Bull/Bull=Bear ratio is at 74% 49 v 17
Thrift Savings was at 79% 2 weeks ago.


---------------------------------
Google Search Monitor:

过去 24 小时内的 AAII Bull vs Bear

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文章时间: 2012-1-11 周三, 下午2:25    标题: 引用回复


又多了一个contrarian反指:Intrade Recession Odds

http://www.intrade.com/v4/markets/contract/?contractId=693075


Chart Of The Day
Intrade Recession Odds ARE PLUMMETING
11 January 2012 by Cullen Roche

The odds of recession are declining substantially. At least that’s the story Intrade is telling us. Intrade is an online market that trades mostly political events, but a range of other events as well. According to the latest Intrade market data the odds of recession in 2012 have fallen to 30% from a recent high of nearly 50%.

I’ve long been saying that odds of recession are very low in 2012 for various reasons and my opinion there hasn’t changed much. I still think the balance sheet recession is likely to end in the coming couple of years and that marginal improvement in the private sector de-leveraging situation combined with high federal deficits will bolster the economy this year. It’s not enough for a strong year, but muddle through is probably about right….



http://pragcap.com/recession-odds-are-plummeting



http://www.bespokeinvest.com/thinkbig/2012/1/10/intrade-recession-odds-plummet.html

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文章时间: 2012-1-13 周五, 下午12:38    标题: 引用回复


Survey Results

Sentiment Survey
Results Week ending 1/11/2012

Data represents what direction members feel the stock market will be in the next 6 months.

Bullish 49.1%
up 0.3
Neutral 33.7%
down 0.3
Bearish 17.2%
up 0

Change from last week:

Bullish: +0.3
Neutral: -0.3
Bearish: +0.0

Long-Term Average:

Bullish: 39%
Neutral: 31%
Bearish: 30%


Bull/Bear Spread sits at +31.9% now.
2011年5月初/7月初的暴跌行情会在近期重演吗???

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文章时间: 2012-1-13 周五, 下午2:07    标题: 引用回复


投资者调查告诉我们反向交易



今天我向大家介绍一篇刊登在《华尔街日报》的文章,讲述美国个人投资者协会的市场情绪调查,指出它的不足和作为反向指标的效果,希望对您有帮助。

Investor Survey Says: Bet Oppositely, DECEMBER 9, 2010
http://online.wsj.com/article/SB10001424052748704447604576007920154277428.html


重要段落中文翻译:


美国个人投资者协会每周通过互联网调查其会员对股市的观点,包括看涨、看跌、还是持平,然后在周四公布调查结果。在过去二十年间,这项调查成为一个引人注目的反向指标:例如,如果调查结果非常悲观,这通常预示着股市即将上涨。

但是很少有人知道,这个调查的样本人数非常少,而且统计方法有很多漏洞,使得它在统计学上几乎毫无价值。

据该协会透露,每星期只有两百到三百人参加这项调查,不足该协会15万会员的千分之二,而且参与调查的多数是退休人士。

哥伦比亚大学统计学系教授和系主任David Madigan指出,从严格的统计学角度看,美国个人投资者协会的这项调查基本上是毫无价值的。特别令人困扰的是该调查依赖人们志愿性的向上汇报。

Madigan教授说,“你不得不担心这些志愿参加调查的人是否有偏见。为什么这些人决定参加调查?你不能认为这项调查结果代表所有会员的感受,但也许这两百个参与者的观点能够预示股市的方向。”

事实的确如此。尽管它在统计学上有很大的局限性,这项调查在标注市场转折点的时候出奇的有效,特别是在股市的底部。

Birinyi公司已经跟踪这项调查多年,用乐观人数和悲观人数的差异作为判断市场方向的指标,特别是使用四周移动平均线,其效果非常显著:自90 年代初开始,在16次不同的场合,每当悲观人数超过乐观人数至少10%的时候,S&P 500指数在随后的六个月内出现平均6.2%的涨幅。当乐观情绪变得过于泡沫,乐观人数超过悲观人数至少30%的时候,S&P 500指数通常在随后的六个月内出现下跌。

除了美国个人投资者协会的调查之外,华尔街的交易员还有其它分析市场情绪的方法,包括期权看涨看跌比率 http://www.cboe.com/data/IntradayVol.aspx、投资基金的资金流动数据、CBOE市场波动指数等。此外,还有一项由Investors Intelligence主持的投资通讯作者的情绪调查。

美国个人投资者协会的副主席Rotblut先生提醒大家,该协会的调查确实有缺陷。“你必须多看一些市场指标,不能仅仅依赖一项调查。有时候在消费者信心调查中,受访者说他们担心经济前景,但随后就去买了一台平板电视。”


译后记:


小股民的极端情绪是股市的反向指标,这一点我在《三维趋势投资法》 中做过阐述。美国个人投资者协会每周一次的情绪调查很受关注,这是因为市面上针对小股民的情绪调查很少。一些机构正在研究用其它渠道了解股民的情绪,例如 记录Twitter上出现的股票讨论,统计乐观词汇和悲观词汇出现的频论。华尔街有很多机构总结出独特的市场情绪指标,但是不会透露给外人。我们普通百姓 能够做到的就是多看一些相关的指标,综合判断各种市场情绪和资金流动的数据。如果大多数指标都得出同一个结论,这个结论的正确率就大大增加。

此外,仅仅研究别人的情绪还不够,自己的心理状态对炒股是否成功有很大影响。控制自己的情绪,保持平和的心态,这比什么信号系统都重要。大家可以寻找一些方法训练自己的心理素质和情绪控制,例如看一些心理学和自助方面的书籍。我的个人经验是通过学佛和禅定来练习平静的心态,它不仅是对炒股有帮助,对整个人生的看法都有建树,您也不妨试试看。


(作者:三维预测 Raymond Wang)

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文章时间: 2012-1-20 周五, 下午6:04    标题: 引用回复

Jason's sentiment indicators are getting pretty stretched toward bullish extremes--both near term and long term.

When sentiment gets lopsided, then a trend reversal often approaches.


Current Jason's Investor Sentiment Indicators

Bullish sentiment approaching extremes


http://sentimentrader.com/



Demark indicators signifying major stock indices uptrend exhaustion on multiple timeframes.


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文章时间: 2012-1-26 周四, 上午12:59    标题: 引用回复


S&P 500 Next Stop -- 1,200 or 1,400?

Wednesday, January 18, 2012 at 10:19AM

http://www.bespokeinvest.com/thinkbig/?currentPage=2


When the S&P 500 traded to 1,300 yesterday, we asked readers which level the index would next go on to reach first -- 1,200 or 1,400. As shown below,
52% were bearish and said 1,200, while 48% were bullish and said 1,400. At least based on these results, investors don't appear to be overly optimistic.



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文章时间: 2012-1-26 周四, 上午1:04    标题: 引用回复


How many bears are now done?

Poll runs till Thu Jan 26, 2012 4:54 pm

http://bbs.cobrasmarketview.com/viewtopic.php?f=9&t=437


That's it, I give up. Never ever I want to be a bear anymore!
17
20%

I still believe this crazy rally will end up in tears!
47
54%

Told you! Follow the trend, trade what you see! A happy bull passing by...
23
26%


Total votes : 87


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文章时间: 2012-1-26 周四, 上午1:18    标题: 引用回复


The Alarm Bells Are Ringing




The Benefit of the Doubt Market
John Thomas in Daily Commentary, Jan 25th, 2012

http://wealthinsideralliance.com/free-daily-commentary/the-benefit-of-the-doubt-market/


It is already January 24, and the S&P 500 has seen a grand total of two down days so far in 2012. Are we on the eve of one of the great bull markets of all time? Is it off to the races once again?

I follow dozens of fundamental and trading research services and the number that are flashing warning lights right now is close to an all-time high. For example, the AAII sentiment survey now shows that 46% of investors believe that the stock market will be high in six months, well above the 39% historic average. It has only been higher than this 11% of the time since 1990. The put/call ratio has collapsed, indicating that traders no longer see the need for expensive downside protection. It has not been this low since 1998.

A number of surprises have conspired to create this warm and fuzzy feeling. The ECB has engineered a stealth quantitative easing that is helping support asset prices worldwide, as the Federal Reserve did a year ago. The recent spate of European bond auctions has gone well. China surprised many (but not me) with a Q4 GDP of 8.9%.

It is not unusual to see a strong January, which is the most bullish month of the year by a large margin. Since 1928, the average January gain has been 1.69%, compared to 0.51% for all other months. As of this writing, we are up 4.8% month to date and it is definitely appearing overcooked. With the (SPX) up 22.8% in less than four months, it is normal to see data as sizzling as these. The last time traders were this positive was back in April, just ahead of a 25% swoon.

I think we are seeing the same “benefit of the doubt” market that we saw 12 months ago. Many of the most conservatively run institutions, like pension funds, only change asset allocations once a year, usually in January. With the ten year Treasury bond yielding a pitiful 1.80% at the end of 2011, it forced a natural one time only reweighting out of bonds and into stocks. Much of that new money for stocks gets spent in January.

In additional, with S&P multiples at 12.3, close to a historic lows, many institutions are willing to raise market weightings from underweight to neutral. If the economy improves they will add to positions. If it doesn’t, they will dump what they just bought. I am betting on the latter.

I am looking to see how I could be wrong in this assertion and I am hard pressed to find out how. This morning, the International Monetary Fund predicted that a Europe falling into recession could chop as much as 2% off of world economic growth this year. Is there any way they can avoid a recession? Not with long term interest rates at 6%-14%, the ECB engineering a slow motion decline in short term rates, and the interbank lending rates in a catatonic state. And that is ignoring Greek bond rates at 35%.

Will China’s economy suddenly rebound to double digit growth rates once again? Not if Beijing has anything to say about it, which has been pouring cold water on the economy to extinguish the inflationary fires.

Calling the top in these speculative mini bubbles is always an impossible exercise. But it is safe to say that we are far closer to the top of this move than the bottom, and the next trade alert is far more likely to be a sell than a buy. If you don’t believe me, then take a look at the Elliot wave analysis by my friends at stockcharts.com. It predicts an (SPX) top on this move of 1345 to be followed by a sell off to the trendline at 1,280 at the least, to a complete breakdown of the move at the worst.





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