Orpheus Rieki (Performance Cycles) featured in Journal of Economic Policy (Sofia)

By Orpheus | Published: 31 August, 2010

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Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Central and East European Region, Global Pairs, Research Papers | Leave a comment

Alpha.India – Revisiting the CNXIT – BSE Metals case

By Orpheus | Published: 29 August, 2010

Three weeks ago we talked about two top potential outperformer sectors on the Indian market, CNXIT and BSE Metals. We said that although both should outperform, the CNXIT – Metals pair performance cycles suggests that Metals should outperform more than the Technology sector. Now let’s see what happened during these three weeks. At a first glance, the picture is similar in both cases: a nearly 5% fall in 18 days. However, if we look at the performance cycles, there is a noticeable difference: Metals are still up, while CNXIT has a flat performance cycle and the CNXIT – Metals cycle is still down in favor of Metals. As both price structures suggest further negativity, this means that in the following weeks Metals should fall less than CNXIT.

Our minor view on the Indian market is now down as Nifty broke minor trend channel supports. The Volatility Index remains the top potential outperformer, suggesting a rise in volatility soon. Tisco was dethroned by IDEA as a top potential underperformer.

Our pair trackers carries 4 running pairs: Nifty – Tata Power, Nifty – IDEA, Nifty – Tisco and Nifty – SBI. IDEA, Tisco, SBI and Tata Power are all top potential underperformers according to our Numeric Ranking and should underperform not only INR but also the broad market.

Our long only – short only tracker carries 9 positive and 6 negative signals, with Nifty as the best buy and Reliance Communications as the best sell. The top winner remains SBI.

The latest Alpha India carries pair tracker signals, numeric ranking, numeric ranking changes, performance cycles. For more information on Alpha India mail us at support@orpheus.asia

Performance Cycles

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

Alpha is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: BSE Health Care and components
Stop loss and exits are activated at 4%

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Indian Pairs and Assets | Tagged | Leave a comment

Alpha.India – The Tisco case

By Orpheus | Published: 22 August, 2010

We have been talking about the potential outperformance of Metals since mid July. We highlighted three metal stocks and the metals sector as potential outperformers. These three stocks were Sterlite, Tisco and Hindalco. Sterlite, Hindalco are still outperforming (somewhere in the middle of the numeric rankings), metals sector is still low in rankings suggesting further outperformance for the metals group, but Tisco has already reached the ranking top. This can indicate a few things. First, Tisco is indeed the sector leaders, topping before all it’s sector peers. Second, Tisco reversal could trigger the top for metals.

We have illustrated the price structure along with the respective performance cycles. The structure looks like a completed second corrective wave up. Prices are now retesting trend channel supports near key 520 levels. A clear break here would give us further negative confirmation. The cycle is still positive but is heading to an extreme, suggesting that any upmove now should be limited.

Our overall market view remains up but topping. Nifty is heading to our anticipated resistances at 5,600 levels. We will review and switch to an alternate positive view only if respective resistances are broken. For now, this remains a low probability scenario.

The Volatility Index remains at the bottom of the list, suggesting a potential increase in price fluctuation in the next weeks. Nifty VIX is preceded by ITC, Suzlon and Reliance. As we mentioned earlier, Tisco is the top potential underperformer, followed by Idea, Tata Power and SBI. On the sector side, Consumer Durables and BSE Metals remain at the two extremes.

Our long only – short only tracker along with the numeric ranking filter suggests Reliance Communications as the best sell and Infosys as the best buy. The top winner remains SBI with 16% gains, followed by Nsebank and ICBK with 12% and 10% gains respectively.

The latest Alpha India carries pair tracker signals, numeric ranking, numeric ranking changes, performance cycles. For more information on Alpha India mail us at support@orpheus.asia

Performance Cycles

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

Alpha is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: BSE Health Care and components
Stop loss and exits are activated at 4%

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Indian Pairs and Assets | Tagged | Leave a comment

Alpha.India – The Fear index is ready to push higher

By Orpheus | Published: 15 August, 2010

The Volatility index or, as it is often called, the “fear index” measures the expected fluctuations in stock prices. A high VIX can mean fear of volatility in either direction, downside or upside. This means that a rising VIX is not necessarily bearish for stocks, but it implies a potential important movement in the market. The Indian VIX along with INR is ready to break trend channel resistances. INR key levels lie at 47 levels after which the rupee should push higher to next key resistances at 49. The performance cycles are also heading to a bottom and suggest that VIX should outperform in the next weeks. In fact, Nifty VIX is the top potential outperformer according to the Numeric Ranking.

Nifty continues to hold key resistances at 5,500 levels and our preferred minor view remains up but topping. We are expecting a minor and intermediate reversal anytime now.

Barring Nifty VIX, we have ITC, Suzlon and Reliance at the lowest rankings, meanwhile IDEA, Reliance Communications and Bharti are most likely to underperform in the next few weeks. On the sector side, Metals and BSE Oil remain at low rankings while Consumer Durables and BSE Auto are the highest ranked, followed by the Banking Index.

Our long only – short only tracker carries 14 positive and 8 negative signals. We have a fresh sell signal on Reliance Communications which is also the best sell according to the Numeric Ranking filter. The best buy remains Hindalco, meanwhile our top winner, SBI pushed to 19% gains followed by CAIL with 12%.

The latest Alpha India carries pair tracker signals, numeric ranking, numeric ranking changes, performance cycles. For more information on Alpha India mail us at support@orpheus.asia

Performance Cycles

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

Alpha is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: BSE Health Care and components
Stop loss and exits are activated at 4%

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Indian Pairs and Assets | Tagged | Leave a comment

Alpha.India – Technology sector versus Metals

By Orpheus | Published: 9 August, 2010

Nifty made a Key Reversal bar near our anticipated resistances at 5,500 levels. The daily RSI is non-confirming and continues to suggest an exhausting upmove. Our minor view on the Indian market remains up but topping and we are not looking higher than 5,500-5,600 levels at this stage.

The technology and the metals sector were two of the top potential outperformers according to our Numeric Ranking. Now that metals started to outperform as anticipated, it should be interesting to analyze how these two sectors’ performances are behaving. Both performances show bottoming structures against INR. However, as we see on the first chart illustrated here, the CNXIT – BSEMETALS performance cycles suggests that Metals should outperform more than IT. Despite the fact that CNXIT received more attention in the media, it seems that now Metals is the true leading sector in terms of performance.This is also in sync with our view on metals stocks which are outperforming as anticipated. Nifty – Tisco and Nifty – Sterlite are up 6% and still running.

We added five new pairs to our pair tracker: Nifty – Ranbaxy, M&M – Jaiprakash, Nifty – Jaiprakash, Nifty – Suzlon and Nifty – ACC. Ranbaxy, Jaiprakash, Suzlon and ACC are potential outperformers (at low rankings) and should outperform not just rupee (absolute performance), but also the broad market (Nifty – relative performance). M&M is one of the top potential underperformers and should underperform Jaiprakash in the weeks ahead. We are also expecting new entry signals on the Nifty – ONGC, Nifty – Reliance Communications, Nifty – L&T and Nifty – Suzlon pairs.

Our long only – short only tracker carries 14 positive and 2 negative signals. We have a fresh buy signal on Unitech. The best buy remains Hindalco and the best sell is GAIL according to the Numeric Ranking filter. The top winners are two early economic stocks, SBI and TCS with 9% gains.

The latest Alpha India carries pair tracker signals, numeric ranking, numeric ranking changes, performance cycles. For more information on Alpha India mail us at support@orpheus.asia

Performance Cycles

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

Alpha is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: BSE Health Care and components
Stop loss and exits are activated at 4%

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Indian Pairs and Assets | Leave a comment

The skyrocket crackle

By Orpheus | Published: 7 August, 2010

First it was Armajaro buying 7% of cocoa market, then it was Bloomberg news about rallying Sugar as ships clogged Brazil ports and then we had wheat surge backed by worst 100 year drought.

We at Orpheus are looking at Inflationary era ahead and disagree with the idea that low interest rate era is here to stay. Inflationary times are about rising Agro prices. But as an investor or money manager you are concerned about a month, a quarter or a year or maybe few years. If you have deep pockets like Anthony Ward, we agree agro is a good bet to hold. But if you concerned about how your portfolio looks end of Q3, you really can’t trade on such news. The world is coming to an end since 1999 and there are people still waiting for more than a decade for it to all end. You have a choice to really go spiritual and stop worrying about markets, but if you are in the markets you can’t really trade on news that does not come with an expiration or validity on them.

Coffee, Sugar, Wheat are the top ranking assets in the Alpha Global. Price extremes attract attention and hence are widely cited. It is tough to find three buy stories on Gold in 1999-2000. Now we don’t even have to count ‘buy gold’ stories from 2008 till date. The world gold council CEO Aram Shishmanian was interviewed by economist. He talked about supply and demand of gold and how gold remained positive. Aram how much patience are you expecting from the gold bulls? The precious metal delivered 20% in 30 months. We talked about ‘Fools gold’ and ‘The gold short’ while remaining in minority. News accountability was always low and supply demand is tough to quantify with time.  If you don’t want to keep holding something uncomfortably for a long time, you should better look at news with a pinch of numeric ranking reality.

The coffee excitement did not pan out as expected. As anticipated the worst performer (no news generator) Zinc outperformed Coffee (the news generator). The Coffee-Zinc Rieki continues to point to a multi week Zinc outperformance against Coffee. Our long Euro – short dollar pair delivered 16% against dollar (the news generator).

To read more on Dow ranking, new running pairs, Gold vs, Oil, Sensex vs. Dow, Energy Rieki, Agro Reiki, Best buys, Best sells, outlook for Q3, broad market view and volatility perspective download the report from the Orpheus Store, Reuters Knowledge links below or mail us for subscription to Alpha Global.

The latest Alpha Global carries the running trackers, performance cycles for asset groups, top 54 global assets and strategy updates. Enjoy the report and remember that skyrocket crackle comes at end of the show, not in the beginning.

Alpha Pair Tracker

Numeric Ranking

Strategy Update

Asset Cycles

Performance Cycles I

Performance Cycles II

ALPHA is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Coverage: Forex (EUR USD, AUD USD, GBP USD, CAD USD, JPY USD, CHF USD, Yuan Rnmbi, Indian rupee, NZD USD), Energy (Crude, Natural Gas, Gasoline, Heating Oil, Petroleum, Carbon Emissions, Brent, WTM, Energy Index), Metals (Precious Metals, Tin, Zinc, Nickel, Copper, Platinum, Silver, Industrial Metals Index, Gold), Agro (Coffee, Corn, Grains, Livestock, Sugar, Wheat, Soybeans, Cotton), Thematic and Global Equity (Coal Mining Fund, Shipping Fund, Dow Industrials, Sense, Agricultural Equity, Water, Nuclear, Russell 2000, Russell 1000 USD), Bonds (US 30, US 5Y,  US 10Y, US 2Y, INR Bond Index, China Bond Index, Australian Bond Fund, Global Bond Index, Sweden Bond Index).

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Aggregate | Leave a comment

The Portfolio Rieki

By Orpheus | Published: 6 August, 2010

What if there was a tool which could illustrate the performance cyclicality of your portfolio? How would it help? Could this change how investments are done?

A portfolio like an asset has a performance cycle. There is an optimum peak performance for a given holding period for a certain portfolio, after which the portfolio performance reverses course. If you could see this portfolio Rieki (performance cycle) you could allocate, reallocate, hedge your portfolio, and generate higher alpha.

For example let’s take the pairs we are running. We are long Industrial Metals (AIGI), AIGE (Energy Index) and AIGA (Agricultural Index. On the short side we have Natural Gas, Coffee and Gold. We just summarized the numeric ranking values to get the long portfolio Rieki (performance cycle) and short portfolio Rieki. Net portfolio Rieki is another additive function (long Rieki minus short Rieki). All the three Rieki’s indicate how the portfolio is doing and when the optimum performance might peak and reverse. We have taken an intermediate holding period in this case.

Orpheus Time Analytics offer portfolio Rieki services.

ALPHA is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Coverage: Forex (EUR USD, AUD USD, GBP USD, CAD USD, JPY USD, CHF USD, Yuan Rnmbi, Indian rupee, NZD USD), Energy (Crude, Natural Gas, Gasoline, Heating Oil, Petroleum, Carbon Emissions, Brent, WTM, Energy Index), Metals (Precious Metals, Tin, Zinc, Nickel, Copper, Platinum, Silver, Industrial Metals Index, Gold), Agro (Coffee, Corn, Grains, Livestock, Sugar, Wheat, Soybeans, Cotton), Thematic and Global Equity (Coal Mining Fund, Shipping Fund, Dow Industrials, Sense, Agricultural Equity, Water, Nuclear, Russell 2000, Russell 1000 USD), Bonds (US 30, US 5Y,  US 10Y, US 2Y, INR Bond Index, China Bond Index, Australian Bond Fund, Global Bond Index, Sweden Bond Index).

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Primers | Leave a comment

Long zinc, short coffee delivers 9% (7 days)

By Orpheus | Published: 3 August, 2010

Despite starting counterparty odds, long zinc -  short coffee was up 9% and long AIGI (industrial metals) – short gold was up 14%. This week we are doing another pair rollover. We are closing the short heating oil leg and plugging the long AIGE (Energy Index) leg with Natural Gas. The Natgas Rieki is turning against dollar and also against Brent and AIGE. Our global asset rankings are benchmarked to dollar, so as natural gas moves up to top three, we don’t want to hold it as a naked asset anymore.

Alpha Pair Tracker


The other running pairs like short carbon emissions ETF and Crude, Short Carbon Emission and AIGI (industrial metals) delivered 1.6% and 8% since 15 July respectively. Long Euro – Short dollar is up 16% and still running. GBP USD and JPY gave first signals of exhaustion against dollar.

During an internal brainstorming session, the question which emerged was “Why should be just look at extreme divergence to short the best and long the worst?” and “Why can’t we say keeps the low divergence pair running, say between wheat and grains (No. 4 and 10)?”

The whole idea of playing extreme divergence is about accepting that one can try understanding that assets have diverged more than normal and the path of least resistance is to low or neutral divergence when for example coffee and zinc reduce the gap from worst and best to somewhere mid way. Working with low divergence pairs or non extreme pairs is like guessing how a backwardation will resolve, very tough.

On a final note, our top ranking coffee was number 2 this week. Sugar assumed the top ranking spot. What a better time to talk about sugar but now. Sugar was in the news and the majority is made to believe that there is no asset better than sugar today. For us at Orpheus, Sugar should not only underperform dollar, but also more than a few global assets over the next few weeks. The latest Alpha carries the pair tracker with updated signals and global asset rankings.

Numeric Ranking

Strategy Update

Sector Cycles

Performance Cycles I

Performance Cycles II

ALPHA is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Coverage: Forex (EUR USD, AUD USD, GBP USD, CAD USD, JPY USD, CHF USD, Yuan Rnmbi, Indian rupee, NZD USD), Energy (Crude, Natural Gas, Gasoline, Heating Oil, Petroleum, Carbon Emissions, Brent, WTM, Energy Index), Metals (Precious Metals, Tin, Zinc, Nickel, Copper, Platinum, Silver, Industrial Metals Index, Gold), Agro (Coffee, Corn, Grains, Livestock, Sugar, Wheat, Soybeans, Cotton), Thematic and Global Equity (Coal Mining Fund, Shipping Fund, Dow Industrials, Sense, Agricultural Equity, Water, Nuclear, Russell 2000, Russell 1000 USD), Bonds (US 30, US 5Y,  US 10Y, US 2Y, INR Bond Index, China Bond Index, Australian Bond Fund, Global Bond Index, Sweden Bond Index).

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Aggregate, Agro Commodities, Bonds, Cross Pairs, Energy Pairs and Assets, Forex, Global Pairs, Ideas, Soft Pairs | Leave a comment

Alpha.India – Weak INR could exacerbate coming week

By Orpheus | Published: 1 August, 2010

Our minor view on the Indian market is now down as Nifty continued to push lower from the Evening Star we highlighted last week and also broke key supports at 5,360 levels. We could witness further minor or even intermediate negativity right ahead. Now that the market is turning bearish, the top potential underperformers to watch (the ones which should fall more) are ONGC, L&T and M&M. On the sector side, Consumer Durables and Capital Goods remain at the top of the list as potential underperformers. Meanwhile metal stocks should continue to outperform the broad market. This means even if metals reverse the absolute trend, they should still fall less than the broad market or not fall at all.

We would like to reiterate the fact that the 54 assets that we are tracking in our alpha portfolio are benchmarked against INR (New alpha). This means assuming INR remains range bound or with limited price action, the relative ranking performance against Rupee would give an absolute indication of price direction.

INR is stagnating at near 46.6 levels and performance cycles benchmarked against dollar index (Alpha Global) suggest that INR is still weak. We continue to look at 47 and 47.7 for the rupee against the dollar. So if Rupee is weakening against the dollar, then negativity on Indian equity could exacerbate. Coming week could witness heavier selling pressure.

On the pair side our two running pairs, Nifty – Tisco and Nifty – Sterlite continue to deliver gains above 6%. We have illustrated here the performance cycles for the two stocks. As you can see, Tisco has already started to outperform, meanwhile Sterlite is barely coming out of the bottoming structure and promises further outperformance ahead. Our long only – short only tracker carries 14 positive signals with ICBK (ICICI Bank) as the best buy (or hold) according to the Numeric Ranking filter. The top winners are TCS and CAIL with 6% gains. Regarding LOSO (long only – short only), the system is trending and will not reverse till price confirms negativity.

The latest Alpha India carries pair tracker signals, numeric ranking, numeric ranking changes, performance cycles. For more information on Alpha India mail us at support@orpheus.asia

Performance Cycles

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

Alpha is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: BSE Health Care and components
Stop loss and exits are activated at 4%

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Indian Pairs and Assets | Tagged | Leave a comment

The Hunt brothers – II

By Orpheus | Published: 28 July, 2010

The historical case of silver Thursday suggests cornering of assets is a cyclical event with probable consequences.

Cornering markets may have come off age, but even today traders dare to take large bets. How safe is it? What do historical cases suggest? Are there any signatures linked with such trades? What does numeric ranking of global portfolio suggest? Time does not differentiate between assets. If coffee is the best in a quarter compared to 54 global assets and Zinc is the worst, it’s easy to make a cross asset case, where we go long Zinc and short Coffee. We initiate the pair today.

To read more about…

Anthony Ward’s 658 million pound cocoa trade and how softs are under extreme buy pressure?
How Hunt brothers cornered the silver market?
How cornering is more about tops than bottoms?
Why there are few attempts to corner gold?
What’s the update on our gold undeperformance case?
What about crude and brent performance cycles?

Read the complete article at Alrroya

..download the latest Alpha Global report from the links below.

The latest Alpha Global carries pair tracker signals, numeric ranking, numeric ranking changes, performance cycles. For more information on Alpha Global mail us at support@orpheus.asia

Performance Cycles – Aggregate Assets

Numeric Ranking Sectors

Performance Cycles – I


Performance Cycles II


ALPHA is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Coverage: Forex (EUR USD, AUD USD, GBP USD, CAD USD, JPY USD, CHF USD, Yuan Rnmbi, Indian rupee, NZD USD), Energy (Crude, Natural Gas, Gasoline, Heating Oil, Petroleum, Carbon Emissions, Brent, WTM, Energy Index), Metals (Precious Metals, Tin, Zinc, Nickel, Copper, Platinum, Silver, Industrial Metals Index, Gold), Agro (Coffee, Corn, Grains, Livestock, Sugar, Wheat, Soybeans, Cotton), Thematic and Global Equity (Coal Mining Fund, Shipping Fund, Dow Industrials, Sense, Agricultural Equity, Water, Nuclear, Russell 2000, Russell 1000 USD), Bonds (US 30, US 5Y,  US 10Y, US 2Y, INR Bond Index, China Bond Index, Australian Bond Fund, Global Bond Index, Sweden Bond Index).

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Agro Commodities, Bonds, Cross Pairs, Energy Pairs and Assets, Forex, Global Pairs, Metal Pairs | Leave a comment