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Strategies & Market Trends : General market lab and commentary

SPY 670.92

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Nov 7 4:00 PM EST

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To: Robohogs who wrote (503)	6/15/2016 11:46:48 PM
From: Robohogs	of 668

The more liquid 3x products for XBI entered a sweet spot today. Up/Down volume rounding to 3x is highly positive in terms of returns and consistency of returns. Only 5-10 observations though (starts high and dwindles as many cases still working through end of the return period). Best ST returns highly correlated to extreme volume in the up product, with best long term returns in the middle area (2.5-7.5x bull volume over bear volume). All extreme volume events for bull products result in a good quick streak but all have very negative 13 week returns. Using 0.5 multiples as rounded figures, no rounded level 2.5 or lower has positive returns at 8 weeks and every higher rounded figure is positive at 8 weeks. At 13 weeks, rounded levels of 2 and lower are highly negative as are levels of 8 and higher. All rounded levels in those two groups are negative with several in the teens. As has been discussed in the past, bios are a weird group. They do best when on a roll. Trends tend to continue. So very bearish figures in this case, despite being extreme, tend to lead to more down and very bullish figures tend to lead to more up, though they reverse by 13 weeks. Jon

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