The 2011 OutlookMukul Pal, CMT

Market Technicians Association, Inc.

61 Broadway, Suite 514.New York, NY 10006Web: www.mta.orgPhone: 646-652-3300 Fax: 646-652-3322

Idea

Vilfredo Pareto(1848-1923)

Father of Microeconomics

Who saw the curve?

80-20 Price and Time

80% Time, 20% price change

20% Time, 80% price change

Clustering

ExponentialSymmetry

Exponentiality

1

2

3

4

a

b

c

d

ea

b

c

d

ea

b

c

d

e

5

Sub divisionsCountingElliott did not know Fibonacci

Clustering in Time

80-20 Price and Time

80% Time, 20% price change

20% Time, 80% price change

Who saw order in Time?

Tony Plummer’s Triad

Who saw the curve in Time?Orpheus Time Hierarchy

Orpheus Time Hierarchy

Orpheus Time Hierarchy

Figure 1. Rate of change for SIF Oltenia

Analysis

When we look at time duration for the 23 stocks we find most distributions to have an exponential nature. Our results are based on analyzing ≈ 5000 time duration data points representing rate of change inflexion around a mean value of 1 over the daily data ≈ 50,000 price data points for the period January 2000—October 2010.Figure 2 displays the ascending sequence of the time duration data. We observe that the distribution has an exponential form and decay.P(g) ~ e−βg With β = 2.4 ± 0.037

Application

Market Influences

• News• Fundamentals• Demand and Supply• Technical Analysis• Sentiment

Top 10 – 1D

Romania

Top 10 – 5 day

VIDEOCON IN

T

FIRST

SOURCE

INDIA VOLA

TILITY

AMTEK AUTO

-S

ROLTA IN

D

APOLLO TY

RE

BSE-CD

RELIANCE

PATNI C

OM SY

ORIENTA

L BANK

TORREN

T POW

SIEMENS

BSE POW

ER

BSE OIL

& GAS

HCL TEC

HNO

MARUTI SU

ZUKI

BSE-CG

ABAN OFFS

TULIP

TELE

BSE-500

TATA CONSU

LT

TATA

MOTO

RS

MAH & M

AH

HIND.PET

ROL

O N G C

BSE AUTO

BSE-FM

CG

GTL

ADANI ENT

KOTAK MAH BK

INFO

SYS TE

CH

POWER GRID

CMC LTD

-15.0

-10.0

-5.0

0.0

5.0

10.0

India

Pattern

• Chance• Where is the pattern?• Is curve a pattern?• Is the curve mathematical?

Top 10 – 5 day

A week

• Umm..• Ok I see it• It’s a curve• It looks similar on two degrees of time• Did any news came this week?

Top 10 – MTD

Few weeks

• It’s repeating• A similar curve.• There was news, demand, supply• Technicals and fundamentals

Top 10 – 6M

Few months

• wow• How is this happening?• Nothing changes it• News, demand, supply, technicals,

fundamentals• Mysterious force

Top 10 – 1Y

Year

• Pattern continues despite all market influences.

SIF’S

Region, Sector

• Pattern in the region• Pattern in a sector

DOW30

Region, Sector, America

• Pattern in the region• Pattern in a sector• Pattern in America

AT&T

Region, Sector, America, in time

• Pattern in the region• Pattern in a sector• Pattern in America• Across degrees of time

S&P500 – 1d

Citrix Systems, Inc. (CTXS.OQ)

Southwestern Energy Company (SWN.N)

S&P500 – 5d

Coca-Cola Enterprises Inc. (CCE.N)

Host Hotels & Resorts, Inc. (HST.N)

S&P500 – MTD

Coca-Cola Enterprises Inc. (CCE.N)

Marathon Oil Corporation (MRO.N)

S&P500 – 1M

Coca-Cola Enterprises Inc. (CCE.N)

Carnival Corporation (CCL.N)

S&P500 – 3M

Genzyme Corporation (GENZ.OQ)

Micron Technology, Inc. (MU.OQ)

S&P500 – 6M

Office Depot

Teradata Corporation (TDC.N)

S&P500 – YTD

H&R Block, Inc. (HRB.N)

Genzyme Corporation (GENZ.OQ)

S&P500 – 1Y

Dean Foods

What is this pattern?

• It’s a curve• Exponentiality• Small Big gains• Small Big loss• Lot of sideways action• It’s a cycle• Show me the cycle?

Region, Sector, America, in timeall over

• Pattern in the region• Pattern in a sector• Pattern in America• Across degrees of time• Across universe of stocks

What does the curve mean?

• Performance is ordered • Performance is cyclical• Performance is cyclical across time frames• Stocks move up and down in performance• They outperform and underperform in an ordered

sequence• The sequence is a pattern of Time• Time is exponential• Time is the real price

Rankings are shifting cyclically

Rieki

SVU.N SUPERVALU INC/d 7TAP.N MOLSON COORS B/d 150VXX BCL IPTS&P500 /d 15RSG.N REPUBLIC SVCS/d 150APOL.OQ APOLLO GROUP/d 23K.N KELLOGG CO/d 152.VXO OEX MKT VOL ND/d 33SIF1.BX SIF 1 BAN-CHRIS 154PSQ PRSH SHRT QQQ/d 44AKS.N AK STEEL HLDG/d 155DXD PRSH ULTSH DOW/d 50KR.N KROGER CO/d 155.VIX MKT VOLTLTY ND/d 50AIGE.L ENERGY DJ UBSC/d 155PWND.O PS GBL WND ENR/d 52.DJUBLHTR DJUBS LeanHogsTR 156.DJUBSCC DJUBS Cocoa 58WFR.N MEMC ELECTRONI/d 157VMC.N VULCAN MATRLS/d 72ICE.N INTERCONTINENT/d 157LERO.L ETF L EUR S US/d 73GPS.N GAP INC/d 158SH PRSH SHT S&P50/d 73CPB.N CAMPBELL SOUP /d 158RWM PRSH SH RUSL20/d 75SAI.N SAIC/d 158NGAS.L NATURAL GAS/d 78GIS.N GENERAL MILLS/d 159ZMH.N ZIMMER HLDGS/d 79ALUM.BX ALUMIL ROM IND 160SHLD.OQ SEARS HOLDING/d 81KMB.N KIMBERLY-CLARK/d 161DOG PRSH SHRT DOW /d 82STJ.N ST JUDE MEDICL/d 161PTRI.BX ROMPETROL WELL 83RRD.OQ DONNELLEY & SO/d 162RSH.N RADIOSHACK/d 86INTC.OQ INTEL CORP/d 163DV.N DEVRY INC/d 89FXF CURRSHS SWS FR/d 164ARMA.BX ARMATURA 96BIG.N BIG LOTS INC/d 164ERTS.OQ ELECTRONIC ART/d 99CYB WT DRYFS CHN Y/d 164KSS.N KOHL'S CRP/d 106CME.OQ CME GROUP INC /d 165LO.N LORILLARD INC/d 107CAG.N CONAGRA FOODS/d 170NRG.N NRG ENERGY/d 110TGT.N TARGET CORP/d 171SWY.N SAFEWAY INC/d 113NEE.N NEXTERA ENERGY/d 172CEPH.OQ CEPHALON INC/d 114BSX.N BOSTON SCIEN C/d 172SJM.N J M SMUCKER/d 116ECL.N ECOLAB INC/d 172MDT.N MEDTRONIC INC/d 118HSP.N HOSPIRA/d 175BMY.N BRISTOL MYERS /d 120CCE.N COCA COLA ENT/d 175TLT ISHR BARC 20+ /d 120ROMP.BX ROMPETROL RAFINA 175PEG.N PUBL SVC ENTER/d 123.BGREIT BGREIT 176QLGC.OQ QLOGIC CORP/d 123DDP DB COMMODTY SH/d 178PPL.N PPL CORP/d 125TRV.N THE TRAVELERS /d 178SRE.N SEMPRA ENERGY/d 127.FVX 5 YR TSY YLD N/d 178BAX.N BAXTER INTL IN/d 129SIF3.BX SIF 3 TRANSLV 178CLX.N CLOROX CO/d 131ETR.N ENTERGY CP/d 178PIN POWERSHARE IND/d 131VFC.N VF CORP/d 178AMSL.BX AMONIL SLOBOZIA 136PGM BAR IPA UBS PL/d 179WDC.N WESTERN DIGITA/d 140.STOXX50E ESTX 50 PR/d 180FXB CURRSHS BRT PD/d 140CFN.N CAREFUSION CP/d 181DGX.N QUEST DIAG/d 143.XEY Yuan Rnmbi spo/d 182LLY.N ELI LILLY/d 143SIF4.BX SIF 4 MUNTENIA 182GME.N GAMESTOP CL A/d 145ISRG.OQ INTUITIVE SURG/d 182COMI.BX CONDMAG-BRASOV 146CSCO.OQ CISCO SYSTEMS/d 183ALL.N ALLSTATE CP/d 146LJPY.L ETF L JPY S US/d 183.XEN Indian rupe spot 147BBY.N BEST BUY CO IN/d 183ABT.N ABBOTT LABS/d 148.AORD ALL ORDINARIES/d 183NEM.N NEWMONT MINING/d 148LOW.N LOWES COMPANIE/d 185OIL IPATH GS CRUDE/d 149FRX.N FOREST LABS/d 186

.DJT DJ TRANS AVERA/d 456EMC.N EMC CORP/d 504SNDK.OQ SANDISK CORP/d 576

.DJT DJ TRANS AVERA/d 456CTXS.OQ CITRIX SYSTEMS/d 504NFLX.OQ NETFLIX INC/d 576

.DJT DJ TRANS AVERA/d 456TWC.N TIME WARNER CA/d 505PCS.N METROPCS COMMU/d 580UEC URANIUM ENRGY/d 457A.N AGILENT TECH/d 510PCX.N PATRIOT COAL/d 586AA.N ALCOA INC/d 458THC.N TENET HEALTHCR/d 510TSO.N TESORO CORP/d 587JO BAR IPA UBS CO/d 459CBG.N CB RICHARD ELL/d 511WY.N WEYERHAEUSER C/d 589IFF.N INTL FLAV & FR/d 459EL.N ESTEE LAUDER/d 511HOG.N HARLEY-DAVIDSO/d 591SLV ISHR SILVER TR/d 460ELGS.BX ELECTROARGES 513TSEL.BX TRANSELECTRICA 592NFX.N NEWFIELD EXPL/d 460PH.N PARKER-HANNIFI/d 514TDC.N TERADATA CORP/d 594PCAR.OQ PACCAR INC/d 460TXN.N TEXAS INSTRUME/d 515NTAP.OQ NETAPP INC/d 597DHI.N D.R. HORTON IN/d 460GR.N GOODRICH CORP/d 515JCI.N JOHNSON CONTRO/d 597.TXX CBOE TECH NDX/d 461RHT.N RED HAT INC/d 517AMP.N AMERIPRISE FIN/d 598.CSCSSITR CARES Silver 463CAT.N CATERPILLAR IN/d 518CLF.N CLIFFS NATRL R/d 615HUM.N HUMANA INC/d 463LUK.N LEUCADIA NATL /d 518ADSK.OQ AUTODESK INC/d 633XME SPDR S&P MTL&M/d 465HON.N HONEYWELL INTL/d 520F.N FORD MOTOR CO/d 638WFMI.OQ WHOLE FOODS MK/d 465HOT.N STARWOOD HOTEL/d 521CRM.N SALESFORCE COM/d 642DOW.N DOW CHEMICAL C/d 465NVDA.OQ NVIDIA CORP/d 522WYNN.OQ WYNN RESORTS/d 644TGNM.BX TRANSGAZ MEDIAS 466ROK.N ROCKWELL AUTOM/d 524AIG.N AMER INTL GROU/d 644MET.N METLIFE INC/d 466BLL.N BALL CORP/d 525FFIV.OQ F5 NETWORKS IN/d 646NOV.N NTL OILWELL VA/d 466CMI.N CUMMINS INC/d 528JDSU.OQ JDS UNIPHASE/d 649PAL N AMER PALLAD/d 466MYL.OQ MYLAN INC/d 531PCLN.OQ PRICELINE COM/d 654ANF.N ABERC FITCH A/d 466UNP.N UNION PACIFIC /d 534DAFR.BX DAFORA 467CMCSA.OQ COMCAST CORP A/d 536NSC.N NORFOLK SOUTHE/d 469VLO.N VALERO ENERGY/d 536SLM.N SLM CORPORATIO/d 469HST.N HOST HOTL&RES/d 537BIIB.OQ BIOGEN IDEC/d 469LEN.N LENNAR CP CL A/d 538PCP.N PRECISION CAST/d 472C.N CITIGROUP/d 538DFS.N DISCOVER FINAN/d 472CVH.N COVENT HLTH CR/d 538FCX.N FRPRT-MCM GD/d 474HES.N HESS CORP/d 539VIAb.N VIACOM CL B/d 474SBUX.OQ STARBUCKS CORP/d 539TXT.N TEXTRON INC/d 475DE.N DEERE & CO/d 544MCO.N MOODY'S/d 476FO.N FORTUNE BRANDS/d 544TMK.N TORCHMARK CORP/d 476MEE.N MASSEY ENERGY/d 545MSI.N MOTOROLA SOL/d 480JNPR.N JUNIPER NETWRK/d 546UNH.N UNITEDHEALTH G/d 481BRCM.OQ BROADCOM CORP/d 547AKAM.OQ AKAMAI TECH IN/d 483JBL.N JABIL CIRCUIT/d 553FLR.N FLUOR CORP/d 485ALTR.OQ ALTERA CORP/d 554REE RARE ELEMENT R/d 485ETN.N EATON/d 556COMPA.BX COMPA SA 486CCL.N CARNIVAL CORP/d 556DIS.N WALT DISNEY CO/d 489CPWR.OQ COMPUWARE CORP/d 557EXPD.OQ EXPEDITORS/d 491HBAN.OQ HUNTGTN BKSHR/d 559OMC.N OMNICOM GP INC/d 492IPG.N INTERPUBLIC GR/d 562WPI.N WATSON PHARM/d 492AAPL.OQ APPLE INC/d 565APA.N APACHE CORP/d 494PXD.N PIONEER NAT/d 565AZOM.BX AZOMURES 496CTSH.OQ COGNIZANT TECH/d 567MOOO.L S-NET AGRI USD/d 496CSX.N CSX CORP/d 567ESRX.OQ EXPRESS SCRIPT/d 498EMN.N EASTMAN CHEM/d 568CBS.N CBS CL B/d 499CF.N CF INDUSTRIES/d 571PLL.N PALL CORP/d 502AMZN.OQ AMAZON COM/d 572.DJUBSCT DJUBS Cotton 502CVC.N CABLEVISION SY/d 575

DOW

Romania vs. Global

SIF5 RIEKI

BET VS DOW COMPOSITE

USD Libor. 1 YR. Monthly• XXXXXXXXX

• XXXXXCharacter of OscillatorsCase of Bond Market Secular ExhaustionClarity in extremityCyclical IndicationsLeading nature of Bonds vs. Libor

Gold Quarterly Momentum

Gold adjusts cost of money (fear)Even despite extremityTrading risk vs. investment riskMarkets approach to Problem solving

Dollar Index. Quarterly momentum

• XXXXXXXXX

• XXXXX

“Dollar needs an interest rate confirmation”Trading opportunities.

S&P 500 Quarterly momentum

“Trading range”“Absence of price confirmation“May test previous highs”

1984

Tracker

DATA ACTIUNEA PRIMA ZI STATUS LONG/SHORT PRET DESCHIDERE PRET PROFIT

31-Dec-10 CEE INDEX 31-Dec-10 DESCHIS SHORT 1309.69 1309.69 0.0%

30-Dec-10 TLV 21-Dec-10 CONTINUU SHORT 1.22 1.23 -0.6%

30-Dec-10 COMI 23-Nov-10 CONTINUU SHORT 0.46 0.46 0.2%

30-Dec-10 SIF1 19-Nov-10 CONTINUU SHORT 1.05 1.01 3.6%

30-Dec-10 SIF5 17-Nov-10 CONTINUU SHORT 1.33 1.26 5.6%

30-Dec-10 TERPLAST 22-Dec-10 CONTINUU SHORT 0.42 0.42 -1.2%

30-Dec-10 ALUMIL 14-Dec-10 CONTINUU SHORT 1.47 1.45 1.4%

30-Dec-10 AMO 9-Dec-10 CONTINUU SHORT 0.01 0.01 2.1%

30-Dec-10 ARMATURA 15-Dec-10 CONTINUU SHORT 0.13 0.13 0.2%

30-Dec-10 CEON 1-Nov-10 CONTINUU SHORT 0.13 0.11 21.2%

30-Dec-10 OIL TERMINAL 15-Dec-10 CONTINUU SHORT 0.23 0.22 1.8%

30-Dec-10 PREFAB 28-Dec-10 CONTINUU SHORT 1.91 1.90 0.5%

30-Dec-10 BIO 9-Dec-10 CONTINUU LONG 0.20 0.21 1.5%

30-Dec-10 TGN 15-Dec-10 CONTINUU LONG 264.30 280.00 5.9%

30-Dec-10 ATB 27-Dec-10 CONTINUU LONG 0.61 0.62 1.6%

31-Dec-10 DOW INDUSTRIALS 3-Dec-10 CONTINUU LONG 11382.09 11577.51 1.7%

31-Dec-10 GOLD/SILVER 28-Dec-10 CONTINUU LONG 224.89 226.58 0.8%

31-Dec-10 BRENT 30-Nov-10 CONTINUU LONG 86.60 94.23 8.8%

31-Dec-10 POLISH WIG 7-Dec-10 CONTINUU LONG 47516.57 47489.90 -0.1%

SIGNALS

RIEKI INDIAN RUPEE PORTFOLIO

What do we see?H1• Volatility• Negativity on Gold and CRB• Sector Specific Negativity• Neutral Dow

H2• Relative Positive Romania• Commodity Bull• Equity Bull

Source: Prognosis.ro

What do we do?

• Timing• Stock Selection• Risk Management• Forecasting• Benchmarking

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