Bloombergs Global Technical Strategy Featuring TAS Professional.pdf

8/11/2019 Bloombergs Global Technical Strategy Featuring TAS Professional.pdf

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Trading the LATAM CurrenciesUsing MMR to Generate Trade IdeasRelative Strength with Point and Figure

Chart Enhancement: TECH

New Study: Spearman Indicator

Please visit CHART option 65 for the archivedpresentations from Bloomberg Chart Day in BogotaColombia and Sao Paulo Brazil!

Market Recap in Excel: Click here

(Click a title to jump to page)

Contributor Corner

NA: East Coast

Paul Ciana, [email protected]

Josh Rosen, [email protected]

Jonathan Lin, [email protected]

Greg Bender, [email protected]

Bill [email protected]

NA: West CoastGeoff [email protected]

South AmericaAndre [email protected]

EuropePhilip Sexton, [email protected]

Middle EastAkshay [email protected]

Asia/PacTerry [email protected]

Sheba [email protected]

Bloomberg L.P.Global Technical Strategy

Issue 132

June 6, 2011

Key LevelsEvents

LATAM Chart Day

Archives are now

available!

CHART

option 65

TAS Professional discusses thefuture of the SPY

TASP

This Week: A look at LATAM

Ticker Support Resistance

DXY 72.696 76.065

CL1 94.63 104.60

UKX 5829 6103

IBOV 61658 64978

NKY 9317 9770

Click here for more


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Trading the Brazilian Realin the last four weeks, onecould notice through the help of the weekly pivot points,that the currency didn't expand much beyond its 1stsup-port/resistance levels (blue shadow). Last week, the pivotbreakdown at 1.6253 was the main signal for a bigger cor-rection. This week, opposed to the previous one, pricestested the weekly 1

stsupport at 1.5791, and went up to test

several resistances (daily pivot levels).

The Peso Colombianohas shown a more disperse be-havior, as one could notice through the weekly pivot (blueshadow). The prices have moved away of this range mostof the weeks. This week, prices started already breakingthe weekly 1

st support at 1808, then they break the 2nd

support, and now, they came back to test it again as a re-

sistance (pull-back) at 1792.

The Chilean Pesohas been more predictable according tothe weekly pivot (blue shadow), like the Brazilian Real.Even though, the prices penetrated the weekly 1st supportlevel, on May/13th by 1 bar only (60 min.), and on May/17thand 18th partially, the weekly 1st resistance. This week

prices are testing its weekly 1st support at 464, and areclose to test resistance the weekly pivot at 469

Mexican Peso showed the less dispersion among the cur-rencies, when looking at weekly pivot (1st support/resistance). The behavior of the last 2 weeks is very similarof the other currencies, with the weekly pivot breakdownlast week at 11.68, a test of weekly 1st pivot support at11.55 in this week, and testing now the resistance of theweekly pivot 11.65. If prices can break this resistance, itcould suggest a similar movement (depreciation of theother Latam currencies), as they seems to lag the MexicanPeso.

Chart of the Week: LATAM FX and PivotsBloomberg L.P.

Global Technical Strategy

Andre [email protected]


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Sometimes, the best way to find attractive stock charts does not start with a chart. This week we will take a look at theMember Ranked Returns (MRR ) function, and how it can help one find attractive stocks within an index.

Although the Brazilian Bovespa index (not shown) has been under pressure since late 2010, tracing out lower highs andlower lows in price, several constituents within the 68-member index have remained quite buoyant. With IBOV MRR 10 (top left figure), one finds the strongest year-to-date performers among the Bovespa members. Addition-ally, dragging and dropping each stock name into a chart offers a quick and convenient way to examine these stockstechnical profiles. Such an exercise revealed that, for example, Vivo-Pref and Braskem-Pref A (not shown) have ad-vanced to five- and four-year highs, respectively, even as the Bovespa has failed to overtake its 2008 peak.

With MRR 4 (top right figure) and some drag-and-drop maneuvers, one will soon find that Souza Cruz (see below)

not only performed well over the past three months, but has maintained an impressive 16-year uptrend.

Chart of the Week: Member Ranked ReturnsBloomberg L.P.


Jonathan T. Lin, CMT, [email protected]


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Point and figure is one of the oldest methods of charting. Point and figure charts offer a unique look at the supply anddemand of any security. Columns of Xs depict demand and columns of Os depict supply. Each X or O is drawn basedon a predetermined box size. Columns of Xs and Os alternate based on a reversal amount. The reversal amount isusually either one or three boxes. These rules create a filter than is by default biased in the direction of the currenttrend, At its simplest level, if price is in a column of Xs then at that point in time buyers are beating sellers and the trendis up (opposite for columns of Os). Notice that the chart moves to the right based on the alternation between up anddown trends and not on the passage of time.

Above is a chart of a Custom Index Expression {CIX } which is the ratio of Brazils Bovespa Index {IBOV Index} tothe Standard and Poor's 500 Index {SPX Index}. This ratio can also be created under the settings tab in G. Using stan-dard point & figure rules the relative strength of the Bovespa can be analyzed. A major relative strength low was madein October 2008. When the overall trend turns bullish an objective 45 degree trend line is drawn from the pivot low(green line). This line was broken in January 2011 increasing the odds that the horizontal resistance at the 62 level (red

line) was significant. An objective 45 degree bearish trend line, which remains unbroken, was drawn from the right sideof the congestion area.

Objective targets are another benefit of point & figure charts. The blue arrow highlights the congestion area used to cal-culate a horizontal target of 29.50. The orange arrow highlights the column used to create the vertical target of 38.5.The formula for each target is (# of rows in congestion area or boxes in column * box size * reversal size) +/- top/bottomof column or congestion area. Based on the point & figure analysis above the trend of the Bovespa relative to the S&P500 is down and the next downside target is 38.5.

Chart of the Week: IBOV/SPX RatioBloomberg L.P.


Greg Bender, [email protected]

Bovespa / S&P500 Ratio


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With over 100 Technical studies at your disposal, the Bloomberg charting package really does satisfy most require-ments. This is before exploring the possibilities of creating custom studies. As this number continues to rise, Bloomberg

has created a new function to help find and understand what these tools can achieve for you.

The function TECH will load the new browser for all Technical Studies. Initially, you have a list of study categories,

found on the left hand side. Once a group is selected, the middle section will show those technicals matching the cate-

gory criteria. Then, click on a specific study to view an illustration of this tool, accompanied by a short paragraph to ex-

plain its key features. This can be launched on a historical or intraday chart by clicking on the relevant gray tab.

The browser also allows you to run study searches, be it by keyword or study title. Simply begin typing in the orange field

Find a Study, at the top of the page, and let the system work for you. This option is ideal when searching for studies

with similar characteristics. Alternatively, the New category will show what has been recently added to Bloombergs

ever growing catalogue of Technical Analysis capabilities.

TECH = Technical Study Browser

Chart Enhancement: TECHBloomberg L.P.


Phil Sexton, [email protected]


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The Spearman Indicator, also known as the Spearman rank correlation coefficient, was developed by Charles Spearman, a British psy-chologist and mathematician just after the turn of the twentieth century. Spearman took a data series, in this case closing prices and com-pared the original sequence of these values with a sorted sequence of the same values. He then computed correlation between the ranksof the two groups using the following formula:

Where: number of values in each data group (must be the same for both groups)

difference between the ranks - of corresponding values and

The coefficient will vary between values of -1 and +1. Positive values near +1 indicate a strong positive correlation. For the purpose of anindicator, we multiply by 100 to create a traditional oscillator showing values between -100 and +100. The Period, or number of data

points back to analyze can be defined by the user and is defaulted to 10.

The second line shown is a moving average of the Spearman indicator, and is generally set to 3 periods. The crossing of the Spearmanindicator and its moving average, like other oscillators, may portend or confirm a change of direction in the market.

While there are many oscillators to choose from when analyzing price charts, the Spearman indicator is generally regarded as asmoother, less reactive oscillator that can be an excellent tool for analyzing longer term trend strength, particularly when applied weeklycharts.

Spearman Indicator

New Study: Spearman Indicator Bloomberg L.P.Global Technical Strategy

Bill [email protected]


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Contributor Corner: TAS Professional on the SPYBloomberg L.P.


Markets trade in one of two mutually exclusive phases: (a) horizontally where they move slowlythrough time and accu-mulate volume at price (VAP) in a relatively narrow range of prices; and (b) vertically where markets move rapidlythrough price and accumulate little volume at priceleaving holes (yellow areas) in the chart. These holes, when re-visited, offer little support or resistance to future price movement and it where we anticipate the market will move rap-idly again. Knowing where price is likely to move rapidly and when to act on it is a key technical market skill.

TAS PRO VAP Map

,a free Bloomberg third-party add-on study (left-hand chart), dynamically illuminates the two

phases of market movement with a gradient color coded distribution mapthat is set to a user-definable number of look-back bars. These profile maps are overlaid onto price bars to graphically represent areas of market balance(red), im-balance(blue), and transition(purple).

TAS PRO Dynamic VAP

(right-hand chart) displays a dynamic representation of developing balanceand imbalanceareas as a series of three horizontal lines. When price is trading between the lines, the market is balanced and rota-tional. Above the upper line or below the lower line, we anticipate the market will trade fastthrough an interim hole.

These two studies alone made for some prescient market calls. The May 23rd

opening gap left a gaping hole in theVAP Map profile. And the March 26

th31

st rally and subsequent opening gaps did little to develop the profile side-

ways. Then the June 1st [day session] gapped open below the Dynamic VAP and rapidly traded down through the

holes on wide-range bars. The messages were clear early on June 1st: (a) Dont be long; (b) get short; (c) stay short;(d) watch out for the holes below; (e) consider adding to shorts on countertrend rallies.

Trading studies dont have to be complex. They just have to turn market generated data into actionable,rules-basedinformation that enhances your existing workflow.

Go with the Flow (and watch out for those holes below)

Andrew [email protected]

TASP
mailto:[email protected]:[email protected]:[email protected]


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Price = Green if up on the day, red if down.

% Chg (5) = Green if positive over the last five days, red if negative.50 Day = 50 Day Moving Average of price. Green if its greater than the 200, red if its less than the 200.200 Day = 200 Day Moving Average of price. Green if its below the 50 day, red if its above the 50 day.5 Day High = The high over the last five trading days including today. Green if it equals the 20 day high.5 Day Low = The low over the last five trading days including today. Red if it equals the 20 day low.RSI 9 = Nine day Relative Strength Index. Green if its below 30, red if its above 70.ADX Line = Average Directional Movement. Green if ADX is greater than 25 (trending), red if its lower than 20 (range)2Y High = Two year high. Green if it occurred in last 20 days.0.382 = 38.2% retracement of two year range. Yellow if price is within 2% of it.0.5 = 50% retracement of two year range. Yellow if price is within 2% of it.0.618 = 61.8% retracement of two year range. Yellow if price is within 2% of it.

Below is a recap of the major financial markets with respect to new highs and new lows, moving averages, relativestrength index, average directional movement, and Fibonacci.

Key Support and Resistance LevelsBloomberg L.P.


Paul Ciana, [email protected]

Sym Last Price % Chg (5) 50 Day 200 Day 5d High 5d Low RSI 9 ADX 2Y High 0.382 0.5 0.618 2Y Low

DXY 73.8330 -1.5182 74.8462 77.7369 74.9410 73.6400 29.47 20.69 88.7080 82.5914 80.7020 78.8126 72.6960

EUR 1.4618 2.3736 1.4391 1.3753 1.4658 1.4279 67.46 21.57 1.5144 1.3896 1.3511 1.3125 1.1877GBP 1.6375 -0.5827 1.6344 1.5979 1.6547 1.6286 51.56 13.07 1.7043 1.5969 1.5637 1.5305 1.4231

JPY 80.2000 0.9353 82.0538 82.5363 81.7700 79.9800 32.52 11.27 98.570 90.044 87.410 84.776 76.250

AUD 1.0746 0.5332 1.0624 1.0060 1.0775 1.0587 59.57 15.06 1.1012 0.9748 0.9358 0.8968 0.7704

BRL 1.5789 1.0137 1.6030 1.6703 1.5948 1.5706 37.21 20.79 2.0384 1.8545 1.7977 1.7409 1.5570

CL1 99.61 -0.91 105.10 91.11 103.39 98.12 44.48 28.28 114.83 93.24 86.58 79.91 58.32

NG1 4.83 7.02 4.34 4.12 4.86 4.53 71.17 20.05 6.11 4.69 4.26 3.82 2.41

GC1 1546.50 0.74 1493.52 1389.70 1551.60 1520.40 66.65 16.15 1577.40 1320.47 1241.10 1161.73 904.80

SI1 36.92 -2.40 39.21 30.18 38.77 35.07 49.19 21.82 49.82 35.54 31.13 26.72 12.44

CRY 348.38 0.62 353.50 324.66 350.89 344.94 55.17 19.00 370.72 317.41 300.95 284.48 231.17

GT2 0.4405 -7.9555 0.6170 0.5702 0.4961 0.4129 35.03 20.79 1.4150 0.9936 0.8634 0.7332 0.3118

GT5 1.6254 -5.4446 1.9684 1.7841 1.7582 1.5407 31.86 31.80 2.9860 2.2330 2.0004 1.7678 1.0148

GT10 3.0314 -1.4609 3.2748 3.1118 3.1047 2.9390 42.07 40.44 4.0095 3.3680 3.1699 2.9717 2.3302

GT30 4.2827 0.9287 4.3857 4.2950 4.2901 4.1299 53.22 34.39 4.8559 4.3233 4.1588 3.9942 3.4616

INDU 12129.77 -2.45 12461 11649 12574.29 12104.03 29.37 23.04 12876 11047 10482 9917 8087

SPX 1297.73 -2.48 1331 1249 1345.20 1296.82 32.17 14.75 1371 1179 1120 1061 869

NKY 9380.35 -1.31 9625 9826 9720.73 9359.78 36.29 12.47 11408 10193 9818 9443 8228

IBOV 64053.55 0.16 65563 67750 64978.78 63277.37 51.08 26.68 73103 63614 60683 57751 48262

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Bloombergs Global Technical Strategy Featuring TAS Professional.pdf