Alpha India – Bhel underperformance against Nifty begins

By Orpheus | Published: 7 March, 2010

BHEL starts to underperform. Short Bhel – Long Nifty begins. Long Nifty – Short TCS is at parity and edging up in positive zone. Maruti – M&M continues to hold and is positive 10% since 18 Jan 2010. On the negative side Grasim vs. Nifty is still 2% negative since 25 Feb initiation. Tata Motors vs. Nifty witnessed volatility as Tata Motors retest previous outperformance highs and has stopped out along with Tisco – Sterlite. We expect both the stopped out pairs to reversing coming trading sessions. We are expecting potential reversals in the second week of March in SUN, ACC (underperformance against Nifty). And despite all negative news we expect a positive DLF outperformance against Nifty.

Not many oscillators can explain why Tata Motors and Bhel should underperform Nifty. We reviewed the performance cycles again for the above stocks. TCS has a topping outperformance against Nifty since Aug 09, Tata Motors is outperforming Nifty since Apr 08, Maruti has underperformed M&M since Sep 09, DLF has been falling in a secular under performance trend against Nifty since Apr 08 and BHEL has been topping in performance against Nifty since Jun 09. All the stocks under study in this week’s alpha have more than 6 months trend behind them. Performance like anything else takes pauses, retracements and also reverses after a secular performance trend. The indications continue to point at a multi week reversals in the respective performance trends.

This week we have introduced Nifty Futures instead of Axis Bank in the rankings. After Grasim turns lower from top rankings we will also do the Nifty adjustment. The latest Alpha India carries numeric rankings, changes in rankings, long only – short only signals, pair tracker, pair cycles and performance cycles. The latest feature of time triads is dedicated to long Nifty Bees – Short Nifty futures. Enjoy the latest Alpha. India.

Numeric Ranking

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.

TIME ARBITRAGE portfolio has 18 pairs CNXIT-NIFTY, RELIANCE-NIFTY, TCS-NIFTY, ONGC-NIFTY, INFOSYS-CNXIT, ONGC-RELIANCE, HDBK-ICBK, BHEL-ACC, GRAS-LNT, HLL-ITC, SBI-HDFC, NIFTY-STERLITE, NIFTY-HDBK, SBI-NIFTY, BHEL-NIFTY, NIFTY-ACC, TCS-CNXIT and SBI-HDBK. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. CNXIT/INFOSYS +A-B means LONG CNXIT, SHORT INFOSYS. While CNXIT/INFOSYS –A+B means SHORT CNXIT, LONG INFOSYS.

LONG ONLY, SHORT ONLY portfolio covers NIFTY, CNXIT, NSEBANK, RELIANCE, INFOSYS, ONGC, CIPLA, ICICI BANK, HDFC BANK, TISCO, BHEL, ACC, GRASIM, L&T, HLL, ITC, SBI, HDFC, STERLITE

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.

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Posted in Indian Pairs and Assets | Leave a comment

Alpha.India – Stocks, strategy and sector update

By Orpheus | Published: 1 March, 2010

Grasim and Infosys remain the top potential underperformer stocks for the weeks ahead, meanwhile SBI and HDFC are the top potential outperformers. On the sector side, we have Metals and Banks as top potential underperformers and Oil as the top potential outperformer sector for the weeks ahead (which is in sync with our triangle scenario from Waves). The pair tracker carries running signals for Bharty – Nifty, Maruti – M&M, Tamo – Nifty, HDBK – ICBK, Grasim – Nifty, SBI – HDFC and BHEL – ACC, meanwhile our Long only – Short only tracker has fresh signals for ITC and Cipla. Our latest Alpha India report carries numeric rankings, strategy update, long only – short only signals and pairs tracker.

Numeric Ranking

Strategy update

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.

TIME ARBITRAGE portfolio has 18 pairs CNXIT-NIFTY, RELIANCE-NIFTY, TCS-NIFTY, ONGC-NIFTY, INFOSYS-CNXIT, ONGC-RELIANCE, HDBK-ICBK, BHEL-ACC, GRAS-LNT, HLL-ITC, SBI-HDFC, NIFTY-STERLITE, NIFTY-HDBK, SBI-NIFTY, BHEL-NIFTY, NIFTY-ACC, TCS-CNXIT and SBI-HDBK. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. CNXIT/INFOSYS +A-B means LONG CNXIT, SHORT INFOSYS. While CNXIT/INFOSYS –A+B means SHORT CNXIT, LONG INFOSYS.

LONG ONLY, SHORT ONLY portfolio covers NIFTY, CNXIT, NSEBANK, RELIANCE, INFOSYS, ONGC, CIPLA, ICICI BANK, HDFC BANK, TISCO, BHEL, ACC, GRASIM, L&T, HLL, ITC, SBI, HDFC, STERLITE

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.

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

Alpha.Romania – Why is pharma underperforming?

By Orpheus | Published: 28 February, 2010

Did you know that for the last 200 days, you could have done better on your Romanian market portfolio if you would have not looked at Pharmaceutical stocks ATB and BIO? Both the stocks underperformed the BETXT index by more than 50%. Did you know that Alpha Numeric ranking and performance cycles positivity on TEL and TGN compared to BETXT since Dec has led to an outperformance of 30% and 19% against BETXT? Do you know why RRC, DAFORA and SNP are still running positive compared to BETXT?  Do you know whether SIF5 will outperform BETXT in the weeks ahead or not? Do you know what will happen to ATB and BIO performance compared to BETXT in the next 200 days? The latest Alpha Romania carries the numeric rankings, numeric ranking changes, performance cycles, strategy updates, pair tracker and long only – short only running signals.

Pair Tracker

Strategy Update

Numeric Ranking

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.

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 has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 2% per traded pair. SIF2/SIF5 +A-B means LONG SIF2, SHORT SIF5. While SIF2/SIF5 –A+B means SHORT SIF2, LONG SIF5.

Coverage: SIF2, SIF5, SIF4, BRD, ERSTE, TGN, BETI, BETFI, BETNG, BETXT, SNP, DAFORA, TERAPLAST, ATB, BIO, BCC

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

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<strong>Alpha</strong> 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.

<strong>Performance cycles</strong> 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.

<strong>Time Arbitrage</strong> portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 2% per traded pair. SIF2/SIF5 +A-B means LONG SIF2, SHORT SIF5. While SIF2/SIF5 –A+B means SHORT SIF2, LONG SIF5.

<strong>Coverage</strong>: SIF2, SIF5, SIF4, BRD, ERSTE, TGN, BETI, BETFI, BETNG, BETXT, SNP, DAFORA, TERAPLAST, ATB, BIO, BCC

<strong>Stop loss and Exits</strong> are activated at 4%

Please feel free to mail us for any clarifications. *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.

<strong>Time</strong> 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.

<strong>Econohistory</strong> 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.

<a href=”http://www.orpheus.asia/orpheus/login.php”>To login to the member’s area or access Orpheus estore click here.</a>

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Alpha.agro – grains, soyabean to outperform agro complex

By Orpheus | Published: 28 February, 2010

The running fresh pairs are long Grains (GRAF.L), long soyabean against short Agricultural Index (AIGA.L). On the other side we are expecting a reversal on sugar and cattle outperformance against the respective benchmark Index. The latest alpha.agro carries numeric rankings, performance cycles, strategy update and running pair trackers.

Strategy Update

Numeric Ranking

Performance Cycles

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: Wheat, Sugar, Coffee, Cocoa, Soyabean, Soyabean Oil, Cotton, Corn, Grains, Agro Indices

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.

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Posted in Agro Commodities | Leave a comment

The budget strategy (India)

By Orpheus | Published: 24 February, 2010

Performance cycles can harness event risk and offer an alternative

Strategy

What should be the budget strategy? A few investors asked to brainstorm on the above question thought like this. One thought of the Nifty contracting triangle and suggested staying away. Another suggested range bound Nifty was good between 4900 – 4700 and selling puts and calls and taking premium. A third talked about a March straddle 30 minutes before expiration.

As intelligent as the above debate might sound, never short a naked option before an event risk. Budget is an event risk. Don’t try to be a hero. Shorting a naked options offer the classic tradeoff between premium and risk. Too much focus on premium is a strategy of being wiped out. I don’t have to tell you how much a naked option can move against you and how much it can make you feel the king of good times.

Ok, I am sounding like Taleb here. There are great ideas in his work though I strongly disagree with the one with randomness. The reason I am talking about avoiding the short side is because as a retail investor you don’t understand the risk not because a black crow might appear during the budget event cursing your portfolio.

Learning Risk

There is a difference between being a forecasting service and running an advisory. As we transform Orpheus, moving from the former to the latter, it’s risk containment that takes most our attention.

I remember receiving a mail from Dr. C K Narayan (Guru), who did not like the tone of my article in 2002. He told me that I needed to increase my respect for the market. This was valuable advice that stuck to me. Then there was my business school batch mate Harsh Gupta, an Indian banker based out of Dubai. In my early years in 1999 he used to give me an occasional feedback on my work. He told me to always have an exit door in a forecast or strategy. At first I did not like it. It sounded like an escape door. But his idea was that even if I was sure, the exit door was prudence. Well I stopped using the phrase ‘will happen’ and replaced it with ’should happen’

Even if time is certain our interpretation of it will always be uncertain. Like it or not, there is nothing like 100% probability, a forecast or a strategy even if you knew the budget speech. That was an old investment world where early news was total. Markets are more complex than access to information.

Betting on volatility and theta

Yes agreed that events do bring volatility. But how much do you understand the Nifty Vix. IV’s (Implied Volatility) have moved up from sub 20 levels to 31 now, which means the costs of playing on volatility has already gone up. So your classic straddles are already expensive.

“Ok fine” you may say, I get the idea of riskiness of shorts, costliness of straddles and complexity of IV, “I will play beyond the budget and carry my exposure well into March”. This is where you should not forget that option premiums decay with every passing second. The idea is that a retail investor strategy should reflect more than his belief in his stars, his broker’s stars and of course the event excitement.

The performance cycle strategy

Grasim was at the top of rankings last week. And according to performance cycles the top ranked stock will underperform. The Orpheus strategy is to buy the Nifty Bees and short an equivalent value of Grasim futures against it. This way we carry the strategy well into march without option premium decay. We neutralize statistical volatility a bit and we assume that any trend, up or down will hurt Grasim outperformance against Nifty. Our best wishes are with the FM to bring in solid, structural changes for the Indian economy. However, irrespective of what he does, technology, banks, and capital good should underperform the Sensex and BSEOIL, metals and small cap is where one should be for relative outperformance.

Posted in Indian Pairs and Assets | 2 Comments

Alpha.metals – Long performance silver signals begin

By Orpheus | Published: 22 February, 2010

We have been anticipating a turnaround in silver performance signal for a few updates now. Now that the silver (PHAG.L) has underperformed Copper (COPA.L), Platinum (PHPT.L) and precious metals index (AIGP.L) by 9% (since 6 Jan), 19% (since 6 Nov) and 6% (since 29 Oct) respectively, the reversals are here. We have three running pairs now, 1: Long Silver – Short Copper; 2: Long Silver – Short Platinum and 3: long silver – short Precious metal Index (AIGP.L).

The latest Alpha metals carry the numeric ranking for the metals complex, performance cycles and strategy update. The top metal in the complex is Platinum and the worst is Silver. This also confirms that long silver – short platinum is a workable pair, because selling the best and buying the worst is what performance is about.

Strategy Update

Numeric Ranking

Performance Cycles

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.

METALS: STEEL, ZINC, NICKEL, TIN, ALUMINIUM, URANIUM, GOLD, SILVER, LEAD

STOP LOSS AND EXITS are activated at 2%

Please feel free to mail us for any clarifications. *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.

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

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Alpha India – Reading the signals

By Orpheus | Published: 21 February, 2010

Alpha is designed from price performance. This is why all signals whether they come from numeric ranking, numeric ranking changes, performance cycles, strategy update should converge and not diverge. Executing the signals for passive investments should be easier than on active derivatives strategies. However, using mini Nifty futures, Nifty bees or spot stocks as one of the trading legs could reduce overall strategy risk. There are of course chances that a certain performance cycle may not work (not deliver anticipated profit), but this is more owing to intermediate cycles (multi week and higher), which may take time to turn.

Short Tisco – long Sterlite moved against us during the week and turned back. Now it is running at a marginal loss. We continue to run the pair expecting Tisco to underperform Sterlite. Other running pairs are Long Maruti – short M&M. We have a fresh signal in the case of Tata Motors. The long Nifty – short Tata Motors pair started on 2 Feb and has delivered gains over 3% so far. Other running pairs are HDFC Bank – ICICI Bank, Bhel-Acc, Sbi – Hdfc. We have closed the Dlf – Nifty, Bhel – Nifty and Acc – Nifty pairs at a profit. ACC, DLF have reached the top of the numeric rankings and confirms the action. Grasim  pushed higher to the top of the NR list and is the top potential underperformer stock for the weeks ahead, followed by the Hdbk and Itc. Sterlite, Icbk and M&M remain the top three potential outperformers.

The latest Alpha India carries numeric rankings, ranking changes, strategy update, long only – short only signals and pairs tracker.

Numeric Ranking

Performance Cycles – I

Strategy Update

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.

TIME ARBITRAGE portfolio has 18 pairs CNXIT-NIFTY, RELIANCE-NIFTY, TCS-NIFTY, ONGC-NIFTY, INFOSYS-CNXIT, ONGC-RELIANCE, HDBK-ICBK, BHEL-ACC, GRAS-LNT, HLL-ITC, SBI-HDFC, NIFTY-STERLITE, NIFTY-HDBK, SBI-NIFTY, BHEL-NIFTY, NIFTY-ACC, TCS-CNXIT and SBI-HDBK. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. CNXIT/INFOSYS +A-B means LONG CNXIT, SHORT INFOSYS. While CNXIT/INFOSYS –A+B means SHORT CNXIT, LONG INFOSYS.

LONG ONLY, SHORT ONLY portfolio covers NIFTY, CNXIT, NSEBANK, RELIANCE, INFOSYS, ONGC, CIPLA, ICICI BANK, HDFC BANK, TISCO, BHEL, ACC, GRASIM, L&T, HLL, ITC, SBI, HDFC, STERLITE

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 – USA

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Alpha.Romania – Impact delivers 69% against BETXT

By Orpheus | Published: 21 February, 2010

Impact outperformed BETXT (from 17 Sep) by 69%, SIF5 outperformed BETXT by 18% (13 Nov), TEL outperformed BETXT by 20% (since 30 Nov), SIF2 outperformed BETXT by 11%(since 24 Dec), TGN outperformed BETXT by 13%(since 24 Dec). Now all the above blue chips have a topping performance cycle suggesting a reversal in polarity against BETXT. Short Impact – Long BETXT signal has started (Impact underperformance compared to BETXT). Rest of the signals (SIF2, SIF5, TGN, TEL underperformance against BETXT) should follow in the coming trading sessions.

On the other side BRD and TLV underperformance against BETXT continues to run. BRD-BETXT and TLV-BETXT delivered 4% and 18% respectively. cycles turned in favor of TGN on 30 Nov last year when the pair performance cycles between BETXT and TGN turned up. The respective pair performance cycles has delivered 18% since then. The other running pairs are Long TGN – Short BETXT and Long SIF5 – Short BETXT. On the long only, short only side we have no short signals yet. A pair we carried in Aug 2009, long BETXT- short SNP is running at 29%.  On the long only, short only portfolio we have no short signals yet.

The latest ALPHA.ROM carries the latest Numeric Ranking on BETXT stocks, numeric ranking changes, long only – short only signals, performance and pair cycles and strategy updates.  TGN, TEL and SIF5 are the top ranked stocks while ATB, TLV, BRD are the worst.

Strategy Update

Numeric Ranking


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.

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 has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 2% per traded pair. SIF2/SIF5 +A-B means LONG SIF2, SHORT SIF5. While SIF2/SIF5 –A+B means SHORT SIF2, LONG SIF5.

Coverage: SIF2, SIF5, SIF4, BRD, ERSTE, TGN, BETI, BETFI, BETNG, BETXT, SNP, DAFORA, TERAPLAST, ATB, BIO, BCC

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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 – USA

<strong>Alpha</strong> 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.

<strong>Performance cycles</strong> 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.

<strong>Time Arbitrage</strong> portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 2% per traded pair. SIF2/SIF5 +A-B means LONG SIF2, SHORT SIF5. While SIF2/SIF5 –A+B means SHORT SIF2, LONG SIF5.

<strong>Coverage</strong>: SIF2, SIF5, SIF4, BRD, ERSTE, TGN, BETI, BETFI, BETNG, BETXT, SNP, DAFORA, TERAPLAST, ATB, BIO, BCC

<strong>Stop loss and Exits</strong> are activated at 4%

Please feel free to mail us for any clarifications. *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.

<strong>Time</strong> 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.

<strong>Econohistory</strong> 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.

<a href=”http://www.orpheus.asia/orpheus/login.php”>To login to the member’s area or access Orpheus estore click here.</a>

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Alpha.global.Indices – Short Hong Kong, long Dow delivers 17%

By Orpheus | Published: 21 February, 2010

The Dow performance cycles have turned lower. The Dow is set to underperform the S&P 500 and many other global benchmarks like Indian Sensex and Hong Kong Hang Seng. This is not very surprising as HSI and Sensex share a high correlation. Moreover Hang Seng has been underperforming DOW since May 2009. The Long Dow – short Hang Seng pair delivered 17% for the period. The polarity has reversed now and the running pair is Long Hang Seng – Short DOW.

There are more potential underperformers now. Maybe the net number of topping cycles compared to bottoming cycles might have some forecasting cues. Barring Sensex and Hang Seng most other global indices have falling performance cycles. The latest alpha carries numeric rankings, numeric ranking changes, alpha tracker, performance and pair cycles.

Alpha Tracker – Week over Week, Month over Month, Year to Date

Strategy Update

Numeric Ranking

Performace Cycles


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: BVSP (Brazil), IRTS (Russia), Sensex (India), DOW (US), DAX (Germany), CAC (France), Nikkei (Japan), Hang Seng (Hong Kong) .

*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 – USA

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Alpha.Energy – Nobel (6.5%), Gazprom(17%), Anadarko (16%) outperform Brent

By Orpheus | Published: 18 February, 2010

This is what we said on 10 Jan. “Gazprom should outperform Brent Oil”. Numeric rankings and performance cycles also suggested Noble Energy and Anadarko as potential outperformers. What Happened? Nobel Energy (6.5%), Gazprom (17%), Anadarko (16%) outperformed Brent. The latest Alpha.energy carries strategy update, Numeric Ranking, numeric ranking changes, performance and pair cycles for top 30 energy assets.

Strategy Update

Numeric Ranking

Performance Cycles

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.

Assets Covered : IPNG – Nat Gas Index, XLE Spdr, Schlumberger, Conoco Phillips, Occidental Petroleum, Chevron, Exxon, Apache Corporation, Anadarko petroleum, Gazprom, Nat Gas Spot, Devon Energy, Halliburton, XTO Energy, Transocean, Marathon Oil, EOG Resources, National Oilwell, Hess, Chesapeake, South Western, Diamond Offshore, Baker Hughes, Weatherford, Noble Energy, The William Companies, First Solar, Noble Corporation, Murphy Oil

*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 – USA

Posted in Energy Pairs and Assets | Leave a comment