I've received another email from another fan of 2CS/VIXEE and TRINEE, Stefan Solomon, which extends back to mid 2002:
""Hello Tom,
I’ve seen you asking about TRINEE from 2003. Here it is. The upper pane is S&P, middle is TRINEE and lower pane is my normalized 2CS (more on it below).
1. TRINEE: I just wrote this version of TRINEE based on the info you published and took the liberty to add some color – green for accumulation and red for distribution.
A little TRINEE analysis: It is interesting to see that , from 2003 to 2007, you can distinguish basically 3 larger accumulation waves up. I characterize a wave as a channel up with a series of higher highs & higher lows. They are clear on the TRINEE chart. The first ends in 06/2004, followed by a correction, the second ends in 05/2006 and the last one ends in 07/2007. Next I see 2 waves down ending in 03/09 and now one wave up (higher highs/higher lows). You can divide each of these waves in sub-waves, which are clear. I just wanted to emphasize the larger, inclusive waves. I may also have been inspired by EW, but the pattern is quite striking to me.
2. MyVIXEE: the normalized version of 2CS I use basically removes the skew and maps it into the same range (0-100) and reverses it to be up when bullish/down when bearish. I use this simple formula:
MyVIXEE = 1/log10(PutCall * VXO) * 100. And then plot the 5 day moving average, to which I add a constant to center the plot around the 50 axis. I also added a few colors for clarity to see at a glance the indicator’s level.
About levels, you can see here that all bull market corrections end above 40 and all bear market rallies end below 60. This is more similar to what RSI levels do. Regarding sentiment channels, I can see one big wave of bullishness up until about early 2006 and another try to the top in early 2007. After that it become more and more bearish, with a triple bottom in Dec 2008. What was then interesting is to see the sentiment getting more and more bullish in early 09 establishing a new bullish channel and diverging with the early 09 bearish market action, which continued down until March 09. And now, I see a bullish breakout from under 60 to a new sentiment high. But with a lot of room to go even higher.
The last bit of info to extract from these charts is to analyze the 2 indicators in parallel, breadth and sentiment. I am interested in your thoughts.
I appreciate the information and the thoughts you share with us on your blog. These studies below would not have been possible without you opening the way. All the info in this email is can be published if you feel like it.
Thank you,
Stefan""
Click on the image for a much larger version. These graphics convince me even further of the similarities of the current markets since November 2008 and those from October 2002 to mid 2004. Comments are welcomed. And many, many thanks to both Pierre Bernier and Stefan Solomon for this important work!!
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