#2 Edition: SP500 Quant Market Report, 16th April 2012

Long position stop triggered last week points upward trend finally challenged. We believe that medium term fundamentals are still moderately supportive (1Q growth estimates are being revised to the upside and US 1Q results campaign is running fine for now) which makes unlikely that this movement morphs into a steep downward trend. We deem more likely a sideways market (not fully defined yet) until investors find clearer clues about whether these fundamentals will be here to stay or not

Long ExtremeStop: comes down slightly from past week's close. Means it is willing to take little risk in case we decide to go long.

Short ExtremeStop: again biased to the upside with respect to last week's close, pointing that it prefers the risk of being short.

DPTA comes mixed suggesting once again that a sideways market might be forming. Although there is no clear cut reading, it points towards a certain stabilisation in the market just a bit biased to the downside.

Reading all together: 1) expect some volatility typical of a range-bound market  2) we don't have a lower bound formed yet

Conclusion:  We have been stopped out on Monday 9th (made a loss with respect to the open). There still exist a decent amount of downside risk that will be around until que market finds its lower bound. Seems likely that this lower bound is below, though not necessarily far from, the long ExtremeStop (1362.5). According to our models it is not advisable to make a strong bet yet, so we step aside and remain neutral for the moment.


Note: we will cover more explanations about DTPA (Dynamic Technical Probability Assessment) and ExtremeStops in our Bits for Thought section 
Note 2: Always keep in mind our disclaimer issued in our first post (31/03/2012)