Nome Conferenza TRADING TECH 218 Intermakert Analysis: Interdipendenza, Subordinarietà E Correlazioni. Da J. Murphy Alla Crisi Del
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INTERDIPENDENZA TRA I SEGMENTI DI MERCATO INTERMARKET ANALYSIS SUBORDINARIETA ELAZIONI
ACCUMULAZIONE DISTRIBUZIONE RIACCUMULAZIONE REGRESSIONE
ACCUMULAZIONE DISTRIBUZIONE RIACCUMULAZIONE REGRESSIONE
ACCUMULAZIONE DISTRIBUZIONE RIACCUMULAZIONE REGRESSIONE USA MACRO VS. FINACIAL
ACCUMULAZIONE DISTRIBUZIONE RIACCUMULAZIONE REGRESSIONE USA MACRO VS. FINACIAL
FED FUNDS ACCUMULAZIONE DISTRIBUZIONE RIACCUMULAZIONE REGRESSIONE 2 28
Currency AUDCAD AUDJPY AUDNZD EURAUD EURJPY EURUSD GBPJPY GBPUSD USDCAD USDJPY EURUSD GER HK5 HK5.n IT4 IT4.n JPN225 NAS1 NOKJPY NOKSEK NZDCAD NZDCHF NZDJPY NZDUSD SEKJPY SGDJPY SPA5 UK1 US2 US US5 USDCAD USDCHF USDCNH USDCZK USDHKD USDHUF USDJPY USDMXN USDNOK USDPLN USDRUB USDSEK USDSGD USDTHB USDTRY USDX USDZAR XAGEUR XAGUSD XAUAUD XAUEUR 5.9% 5.1% 7.% 7.1% 17.6% 47.9% 21.% 9.1%.2% 29.% 68.9% 5.8% 4.2% 49.5% 1.1% 47.9% 1.% 5.9% 15.% 14.2% 12.1% 18.8% 26.% 25.%.4% 1.9% 4.9% 59.5% 1.9% 2.% 29.5% 8.5% 27.4%.% 28.2% 2.%.6% 24.8% 2.4% 56.9% 7.4%.7% 54.5% 26.% 1.2% 1.2% 46.% 57.6% 17.5% 42.2% 94.4% 52.5% 19.% 51.% 92.6% 61.1% 9.2% 7.2% 74.% 6.1% 22.9% 1.1% 5.9% 76.% 52.5% 69.% 6.2% 29.1% 56.7% 24.7% 81.5% 72.6% 62.% 68.% 66.2% 57.4% 49.9% 6.6% 56.8% 74.7% 44.4% 2.2% 87.7% 77.4%.4% 9.8% 8.9% 9.% 28.2% 8.6% 6.%.6%.% 5.2% 72.2% 24.5% 8.% 9.2% 9.5% 27.5% 2.% 12.2% 5.4%.1% 2.5% 2.8% 16.5%.%.1% 1.% 26.% 6.7% 27.% 2.4% 2.2% 24.2%.5% 26.% 1.8% 11.%.6% 12.6% 44.7% 16.1% 28.% 9.2% 9.4% 21.% 25.2% 25.1% 25.2% 2.2% 7.% 4.9% 28.9% 5.% 8.5% 5.5% 48.% 9.8% 1.5% 8.2% 2.% 2.4% 26.7% 9.5% 7.4% 25.6% 8.8% 6.% 2.9% 59.% 6.6%.6% 25.9% 25.% 8.8% 1.5% 6.7% 8.8% 2.6% 41.7% 5.1% 25.2% 48.6% 5.8% 8.5% 5.1% 64.% 16.1% 24.6% 24.6% 64.1% 51.9% 1.8% 21.4% 86.1% 28.1% 41.7% 27.1% 7.7% 4.8% 92.2% 74.9% 67.1% 7.9% 9.9% 11.8% 18.2% 68.1% 51.6% 77.% 57.2%.8% 64.8% 26.9% 7.6% 64.4% 71.7% 55.8% 67.9% 56.5% 54.7% 45.7% 64.% 66.5% 75.1% 17.8% 74.1% 86.9% 1.% 27.8% 21.% 21.1% 26.6% 57.5%.7% 16.5% 68.% 46.% 2.7% 62.9% 44.1% 82.9% 6.8% 2.4% 4.2% 9.1%.8% 2.4% 9.9% 88.4% 78.9% 57.5% 9.4% 1.6% 98.7% 56.6% 66.1% 9.8% 96.6% 8.% 9.5% 92.% 72.2% 42.9% 99.% 74.1%.1% 5.9% 5.2% 65.5% 19.8% 8.5% 1.9% 14.% 49.6% 16.2% 1.4% 55.% 7.8% 15.% 54.1% 2.9% 65.6% 1.1% 8.2% 87.7% 56.5% 51.6% 49.6% 5.2% 55.7% 9.6% 1.% 78.% 2.5% 44.% 19.7% 58.9% 74.6% 6.2% 29.9% 24.% 8.6% 2.9% 11.% 65.7% 26.2% 6.9% 61.5% 9.1% 71.1% 7.1% 6.8% 58.% 16.% 16.% 7.4%.2% 45.% 64.9% 86.9% 7.1% 4.2% 1.4% 65.6% 55.2% 87.9% 56.% 5.4% 48.2% 55.4% 57.% 62.% 75.1% 67.% 88.1% 42.% 41.% 62.1% 5.% 9.8% 75.% 67.6% 6.8% 78.2% 66.7% 6.% 82.7% 7.4% 6.5% 48.1% 7.4% 77.% 8.% 88.4% 56.6% 9.5% 16.4% 11.% 2.1% 11.2% 2.2% 2.4% 6.6% 5.4% 16.% 4.7% 42.4% 9.5% 5.% 85.2% 8.% 6.% 26.% 4.% 47.% 72.8% 49.6% 69.4% 24.6% 89.2% 55.9% 7.% 2.6% 25.% 77.2% 49.4%.%.% 21.5% 2.1% 7.8% 24.2% 12.%.% 9.8% 1.% 7.7% 78.9% 42.1% 68.% 11.1% 71.8% 56.6% 16.% 18.7% 89.2% 54.4% 7.7% 1.% 81.7% 2.5% 96.7% 4.8% 88.% 44.% 89.% 4.2% 92.1% 4.7% 92.% 55.% 67.9%.2% 65.%.1% 91.6% 55.% 8.% 21.% 2.2% 42.% 5.5% 81.9% 68.% 18.1% 67.2% 12.% Currency EURUSD AUDCAD AUDCHF AUDJPY AUDNZD AUDSGD AUDUSD AUS2 CADCHF CADJPY CHFJPY CHFSGD CN5 EURAUD EURCAD EURCHF EURCZK EURGBP EURJPY EURNOK EURNZD EURPLN EURSEK EURSGD EURTRY EURZAR FRA4 GBPAUD GBPCAD GBPCHF GBPJPY GBPNOK GBPNZD GBPSEK GBPSGD GBPTRY GBPUSD AUDCAD AUDJPY AUDNZD EURAUD EURJPY EURUSD GBPJPY GBPUSD 5.9% 54.5%.4% 9.4% 64.% 1.% 19.8% 6.8% 1.% 5.%.1% 6.% 14.4% 5.9% 44.4% 1.1% 51.7% 64.7% 21.% 42.8% 46.2% 77.% 1.7% 46.8% 5.% 1.%.1% 4.% 86.1% 54.5% 7.7% 75.6%.1%.1% 1.% 17.6% 42.4%.4%.7%.6% 58.% 69.5% 15.7% 5.2% 47.6% 77.5% 15.9% 52.1% 48.9% 68.9% 22.2%.7% 55.7% 9.5% 21.9% 64.2% 2.5% 4.9% 12.1%.2%.% 7.9% 27.6% 28.4% 9.9% 72.8% 2.8% 1.5% 61.1% 71.1% 4.9% 6.4% 29.4% 9.9% 28.1% 26.4% 87.2% 8.7% 85.9% 76.2% 47.4% 6.% 17.7% 7.% 61.8% 1.6% 8.% 48.4% 1.2% 12.9% 17.6% 1.% 12.7%.% 1.% 5.% 27.% 24.8% 15.5% 26.6% 12.% 41.8% 17.8% 48.2% 6.% 4.% 17.6% 1.% 11.8% 9.4% 5.8% 7.4% 2.9% 7.% 17.8% 76.% 1.9% 5.1% 7.% 16.8% 1.6% 42.5%.9% 21.8% 58.% 89.9% 7.2% 44.9% 5.1% 45.9% 8.% 64.7% 1.8%.% 5.9% 5.8% 52.4% 4.8% 11.6% 17.9% 4.% 18.6% 86.% 6.7% 14.4% 86.1% 42.4% 11.8% 1.% 64.% 76.6% 77.4% 19.6% 71.%.4% 68.1% 9.1% 45.1% 46.% 66.1% 28.% 14.2% 66.8% 85.% 1.7% 22.7% 12.4% 12.2%.7% 61.% 16.9% 9.7% 6.% 4.6% 5.8% 52.7% 1.4% 51.9% 14.5% 48.1% 29.9% 19.6% 55.5% 62.5% 4.5% 4.9% 1.2% 27.5% 6.% 9.9% 12.9% 51.5% 12.8% 49.1%.4% 52.7% 24.% 8.9% 62.6% 65.% 6.% 61.1% 1.4% 49.% 8.7% 18.% 7.6%.%.% 16.9%.4%.1% 1.4% 2.% 22.2% 42.% 68.7% 2.% 19.5% 28.% 7.2% 16.9% 8.9% 56.% 45.9% 26.9% 24.% 2.7% 4.5% 6.% 82.% 64.4% 1.9% 68.8% 4.5%.% 72.5% 4.1% 9.9% 92.5% 44.4% 7.7%.7% 5.8% 76.6% 19.8% 1.% 8.6% 67.7% 8.7% 9.7% 29.5% 7.% 52.1% 56.% 18.% 62.% 26.1% 46.7%.7% 45.2% 7.1% 81.5% 59.9% 64.8% 22.6% 7.2%.6% 26.% 5.% 76.8% 4.7% 5.% 64.6% 29.5% 2.% 68.7% 1.% 94.5% 91.4% 1.% 45.6% 7.% 61.4% 15.4% 24.9% 6.4% 5.5% 1.1% 75.6%.6% 7.4% 77.4% 6.8% 8.6% 1.% USDCAD 88.4% 18.8% 84.1% 76.% 2.8% 84.9% 94.6% 4.1% 87.6% 65.5% 1.1%.% 44.% 25.6% 12.1% 7.% 4.7% 6.7% 68.1% 72.9% 7.1% 48.2% 42.7% 7.1% 8.1% 42.%.% 8.% 1.8% 54.5% 9.6% 45.7% 1.% 15.8% 45.1% 5.2% 75.1% USDJPY 56.6% 59.5% 47.5% 24.7% 6.7% 44.9% 5.% 7.4% 24.% 45.2% 8.7% 26.9% 7.4%.6% 42.8% 51.6% 1.2% 62.% 26.9% 12.1% 4.2% 14.4% 1.% 5.1% 16.6% 19.7% 22.9% 62.8% 5.9% 29.1% 58.9% 7.7% 58.8% 7.5% 7.4% 1.4% 5.%
BONDS CICLO INFLATTIVO STOCKS BONDS IL MERCATO OBBLIGAZIONARIO ANTICIPA QUELLO AZIONARIO IL MERCATO OBBLIGAZIONARIO E ELATO NEGATIVAMENTE ALLE USD IL DOLLARO E ELATO NEGATIVAMENTE VERSO LE CICLO DEFLATTIVO RIALZO RENDIMENTI RIALZO STOCKS POSITIVE USD IL MERCATO OBBLIGAZIONARIO E ELATO NEGATIVAMENTE A QUELLO AZIONARIO IL DOLLARO E ELATO NEGATIVAMENTE VERSO LE
BONDS CICLO INFLATTIVO STOCKS BONDS USD GOLD CICLO DEFLATTIVO RIALZO RENDIMENTI RIALZO STOCKS POSITIVE USD GOLD IL DOLLARO E ELATO NEGATIVAMENTE VERSO L ORO Currency AUDCAD AUDJPY AUDNZD EURAUD EURJPY EURUSD GBPJPY GBPUSD USDCAD USDJPY EURUSD 5.9% 54.5%.4% 9.4% 64.% 1.% 19.8% 6.8% 88.4% 56.6% XAUUSD 44.7% 27.4% 8.5% 1.8% 24.% 4.% 62.5% 22.4% 25.8% 81.6%
IL DOLLARO E ELATO NEGATIVAMENTE VERSO LE DOLLAR IDX VS. GLOD USD/OZ
IL DOLLARO E ELATO NEGATIVAMENTE VERSO LE DOLLAR IDX VS. GLOD USD/OZ
IL DOLLARO E ELATO NEGATIVAMENTE VERSO LE DOLLAR IDX VS. GLOD USD/OZ
IL DOLLARO E ELATO POSITIVAMENTE VERSO LO SPREAD US DE 1 Y DOLLAR IDX VS. SPREAD US DE 1 Y
CICLO INFLATTIVO RIALZO RENDIMENTI RIALZO STOCKS POSITIVE STOCKS USD./ NEGLI ULTIMI MESI I LIVELLI DI ELAZIONE TRA USD E BORSE SI E MOLTO DILUITO CICLO DEFLATTIVO RIALZO RENDIMENTI RIALZO STOCKS POSITIVE USD GOLD Currency AUDCAD AUDJPY AUDNZD EURAUD EURJPY EURUSD GBPJPY GBPUSD USDCAD USDJPY EURUSD 5.9% 54.5%.4% 9.4% 64.% 1.% 19.8% 6.8% 88.4% 56.6% GER 5.1% 26.% 9.8% 21.% 16.1% 27.8% 8.5% 58.% 9.5% 16.4% IT4 17.6% 46.% 28.2% 25.2% 64.1% 26.6% 49.6% 7.4% 2.4% 6.6% JPN225 21.% 17.5% 6.% 7.% 1.8%.7% 1.4% 45.% 4.7% 42.4% NAS1 9.1% 42.2%.6% 4.9% 21.4% 16.5% 55.% 64.9% 9.5% 5.% US5 12.1% 5.9% 2.5% 7.4% 18.2% 9.9% 55.7% 62.%.% 9.8%
USA INTERMARKET STANDARD & POOR 5 CRB INDEX US 1 Y US 1 Y S&P 5 i. Trend Following Model CRB INDEX
USA INTERMARKET STANDARD & POOR 5 CRB INDEX US 1 Y
IL DOLLARO E ELATO POSITIVAMENTE VERSO LO SPREAD US DE 1 Y DOLLAR IDX VS. SPREAD US DE 1 Y
IL DOLLARO E ELATO POSITIVAMENTE VERSO LO SPREAD US DE 1 Y SPREAD US DE 1 Y S&P 5
IL MERCATO OBBLIGAZIONARIO ANTICIPA QUELLO AZIONARIO SPREAD US DE 1 Y RISK_ON TRIGGER CYCLE S&P 5 FORZA RELATIVA STOCK INDEX AREA GEOGRAFICA INDICI SETTORIALI STRUMENTI OICR STOCK PICKING SPREAD US DE 1 Y RISK_OFF TRIGGER CYCLE JPM GBI FORZA RELATIVA BOND AREA GEOGRAFICI INDICI SETTORIALI STRUMENTI OICR BOND PICKING
IL DOLLARO E ELATO POSITIVAMENTE VERSO LO SPREAD US DE 1 Y SPREAD US DE 1 Y S&P 5 Buy signal 22 6 12 15 Sell signal 18 16 249 Buy signal 12 8 16 2184 Sell signal 2 2 18 2619
INTERMAKERT ANALYSIS: INTERDIPENDENZA, SUBORDINARIETÀ E ELAZIONI. DA J. MURPHY ALLA CRISI DEL WB ADVICE> MARKET MODEL FORECASTING 9/5/218 WB ADVICE> MARKET MODEL FORECASTING VIEW B/T OUTLOOK B/T SELL BUY BUY BUY BUY BUY 1.578 2.67 546.564 12.948 24.544 22.467 6.567 71 89,76 5.28 22, 7.265.28 14,77 1.555 2.65 2.675.65 1.5 2. 2. 6.2 675 87,5 2.465 25, 6.82.61 12,75 1.455 2.45 2.5.55 12.68 22. 19.7 57.85 65 82 1.159 197 6..55 1 1.455 2.45.55 12.68 22.15 2.2 57.5 65 82 1.159 6..55 9 1.575 2.575 2.575.82 2.6 19.5,. 21 6.82.65 12, SELL,11 2,95,5 1,76 122, 19,6 159,26 12 4,26 542 795 225,64 192,25,,5 2,15 18, 14,5 16, 122,, 545, 85, 227, 2 116 14 158 118 56 818 225 2,75 2,5, 1,55 114, 55, 154,5 1,5 K_OUT 126, 85, 22,5 19,,2,, 2,15 18, 14,,,,, 76,, SELL BUY BUY 2,25 1.14 4,4 6.78 76,1 189 1. 7.7, 7.7 59, 179 1.24 6.4, 6.4 54,5 179, 1.24 6., 6. 5, 22, 7., 7.2 62, SELL SELL SELL SELL SELL BUY BUY 1,192 1,192,8795 1,557 1,6 19,7 7,59 1,52 9,62 92,77 7,45, 1.84, 1,1955 1,1945 1,186,925 1,5 1, 11,5 7,88 9,6 94, 94, 7,45 7,47 7,47 7,47 1,168 1,168,881 1,5 11,75 111,6 7,75 9,5 92,5 92,5 7,44 7,4 7,4 7,4 1,2 1,19,88 1,4 1, 111, 7,9 9,75 9,45 92, 7,44,,, 1,145 1,145,87 1,27 1,5 114,5 7,65 9,4 96, 96, 7,45 7,45 7,45 7,45 SELL BUY BUY BUY 1.154 1.579 912 1.154 1.579.17 77.2 1.12 765 21.5 95. 72.6 1.75 718 221. 1.5.14 7.8 1.7 8. 1.45 85 255. 1.6.75 STRATEGY PRICE TATTICA RESISTENZA SUPPORTO WARNING STOP TARGET AZIONARIO MSCI WORLD S&P5 RUSSELL 2 EUROSTOXX 5 DAX FTSE MIB NIKKEI 225 MSCI EMERGING MARKETS MSCI BRIC MSCI EM CHINA INDIA SENSEX MSCI ENERGY NASDAQ COMPOSITE NASDAQ BIOTECH VIX OBBLIGAZIONARIO US Y US 1Y DE 1 Y IT 1 Y SPREAD BTP_BUND BTP * BUND TNOTE 1 Y FUT * JPM EMU BOND INDEX JPM GLOBAL BOND INDEX JPM EMBI + IBOXX EURO CORPORATE BOND IBOXX HY EUR CORP BOND FUT. CRB INDEX ORO PHLX GOLD & SILVER RAME PETROLIO BRENT VALUTE EUR/USD EUR/USD TATTICO EUR/GBP GBP/USD EUR/JPY USD/JPY EUR/CNY EUR/SEK EUR/NOK DOLLAR INDEX EUR/DKK EUR RUB USD/CNY EUR/CHF BRIC BRASIL BOVESPA RUSSIA MOSCOW RTS MSCI FRONTIER MARKET sosp BOVESPA BRASIL MTS MOSCA SHANGHAI COMP sosp
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