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The VanAurum Market Report | Public Edition (delayed 15 days) | July 31, 2019




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Table of Contents




Newsfeed & Commentary



2018-11-30

The S&P 500 and VaiSi
Since the beginning of 2013, the Vanaurum AI Sentiment Index for the S&P500 has been at this level on only 51 trading days. Over all of those occurrences, the average gain over a 3-month timeframe was 7.1%. On several of those occasions the existing bottom was tested again but held. Will the S&P500 buck history this time and sink lower, or have we seen an intermediate bottom? See the analytics for this here: VanAurum Insights


2018-11-30

Vietnam Stock Index
The Vietnam stock index has been declining sharply lately and in the last 65 days it has declined on 15 more occasions than it has risen. This has historically been a positive trading opportunity for this ETF. See the analytics for this here: VanAurum Insights


2018-11-30

VDE Energy Sector ETF
The 25-day moving average has become very disconnected from the 50-day moving average to the downside. This is symptomatic of intense selling pressure, but ultimately unsustainable. Since 2015 the balance of occurrences have been a positive buying opportunity over a period of 21-days. VanAurum Insights


2018-11-30

FTSE 100 and the 45-Day Up/Down Sum Indicator
The FTSE100 is in VanAurum's list today with the 45-Day Up/Down sum indicator hitting -11. This means that over the last 45 days, the FTSE100 has been down 11 more times than it has been up. Historically, over a 1-month return period this has been a neutral-to-positive indicator. See the analytics for this here: VanAurum Insights


2018-11-29

CFTC Report and the Gold/Silver Ratio
It's rare to see so many of our CFTC indicators at extremes for one asset. This is the case for Silver right now, with just about everything in the CFTC report at extremes. In addition to this, the Gold/Silver ratio is at new highs. Click here to see this visually.


2018-11-29

WTI Crude Oil
The VaiSi indicator for WTI Crude Oil has historically been a good leading indicator of an imminent bounce. However, this sell-off is reminiscent of the sharp downturns we had at the end of 2014, and then in the summer of 2015. Oil is going to get a sharp bounce soon but we would be patient with this sector. See the analytics for this here: VanAurum Insights


2018-11-29

New Data Addition
We've added VDE, the Vanguard Energy sector ETF to give VanAurum a proxy for the energy sector. Notable activity in this sector will start appearing in our report starting tonight.


2018-11-29

Israeli Stock Market
In the Israeli stock market, three of the largest up moves and down moves of the last 4 years have happened in the last two months. We looked to see if the rising volatility has been a reliable indicator at any point in the past but the results were neutral. Here's our search for the 20-day return period: VanAurum Insights


2018-11-29

GDXJ and Up/Down Sum Indicator
I like the "up down sum" because it can turn up fairly significant analytics when it's at extremes. Over the last 65 trading days there have been 11 more down days than up days in GDXJ. The 5-week returns for GDXJ when this has occurred in the past have typically been positive. See the analytics for this here: VanAurum Insights


2018-11-28

Gold CFTC Report and GDX
As a percentage of open interest, speculator short positions are still at extremes in Gold. Last time this happened it was a distinct positive for GDX. Check out the analytics here: VanAurum Insights


2018-11-28

S&P500-to-Gold ratio and GDX
Last time the SPX/Gold ratio made a new 100-day low, GDX was poised for a run. See the analytics on this here: VanAurum Insights


2018-11-28

New Data Addition
The GlobalX Lithium & Battery technology ETF (LIT) has been added to VanAurum's analysis pool.


2018-11-28

Message to Readers
We're going to be adding sector to S&P ratios to VanAurum's data pipeline so it can report on unusual outperformance metrics of certain sectors when they occur.


2018-11-28

Comment
Gold spiked today and the dollar dumped after statements from Fed's Powell.


2018-11-27

New Data Addition
Today we’ll be adding the Russian stock index ETF (RSX) , Israeli (ISRA), Polish (PLND), and Vietnam (VNM) market index ETFs. VanAurum will begin analyzing these daily starting tomorrow!





Daily VaiSi Summary


The following chart is a summary of the VaiSi values for all the assets VanAurum analyzes, ranked highest to lowest. Learn more about Vaisi.





Summary of market extremes


Note: Click on the asset description to see the charts of VanAurum's selected market indicators

Asset Insights Description # of extremes
GBP_D the British Pound 103
USD_D the US Dollar 59
RATIO_PLAT_COPPER_D the Platinum to Copper Ratio 57
LEAN_HOGS_D Lean Hog futures 44
GDX_D the VanEck senior gold miners ETF (GDX) 42
LIVE_CATTLE_D Live cattle futures 38
RATIO_FXI_SPX_D the Chinese Stock Index to S&P500 Ratio 34
RATIO_RSX_SPX_D the Russia Stock Index to S&P500 Ratio 28
US1MO_TREASURY_YIELD_D 1-month US treasury yields 24
ISRA_D the VanEck Israeli stock market index ETF 22
GDXJ_D the VanEck junior gold miners ETF (GDXJ) 19
VIX_D the VIX 16
AUD_D the Australian Dollar 15
EWA_D iShares MSCI Australia ETF 15
SILVER_COT_FO Silver committment of traders report 14
GOLD_COT_FO Gold committment of traders report 12
CORN_COT_FO Corn committment of traders report 9
COTTON_D Cotton futures 8
GOLD_D Gold 8
TLT_D iShares 20+ Year Treasury Bond ETF 8
US1MO TREASURY_REAL_YIELD_D 1-month inflation-adjusted US treasury yield 8
COTTON_COT_FO Cotton committment of traders report 7
NATURAL_GAS_D Natural Gas futures 7
NZD_D the New Zealand Dollar 6
RATIO_VDE_WTICRUDE_D the VDE Energy ETF to WTI Crude Oil Ratio 6
FXI_D the iShares China large cap ETF (FXI) 5
IYT_D iShares Dow Jones Transportation ETF 5
SIL_D the GlobalX Funds Silver Miner ETF (SIL) 5
SILVER_D Silver 5
VDC_D the Vanguard consumer staples sector ETF (VDC) 5
YC10Y2Y_D 10-year to 2-year US treasury yield spread 5
YC10Y5Y_D 10-year to 5-year US treasury yield spread 5
YC1Y1MO_D 1-year to 1-month US treasury yield spread 5
RATIO_COPPER_GOLD_D the Copper-Gold Ratio 4
RATIO_GDX_GOLD_D the GDX-Gold Ratio 4
RATIO_PLAT_SILVER_D the Platinum to Silver Ratio 4
RATIO_SPX_GOLD_D the S&P500-Gold Ratio 4
CANADIAN_DOLLAR_COT_FO Canadian Dollar committment of traders report 3
COPPER_COT_FO Copper committment of traders report 3
EWI_D the MSCI iShares Italy ETF 3
RATIO_SIL_SILVER_D the SIL to Silver Ratio 3
UST10Y_D 10-Year US Treasuries 3
UST30Y_D 30-Year US Treasuries 3
CORN_D Corn 2
EEM_D iShares MSCI Emerging Markets ETF 2
EFA_D iShares MSCI EAFE Index Fund ETF 2
EURO_FX_D Euro FX 2
LIVE_CATTLE_COT_FO Live cattle committment of traders report 2
ROUGH_RICE_D Rough Rice futures 2
US10YR TREASURY_REAL_YIELD_D 10-year inflation-adjusted US treasury yield 2
US10YR_TREASURY_YIELD_D 10-year US treasury yields 2
US_TREASURY_BONDS_COT_FO US Treasury Bond committment of traders report 2
VOX_D the Vanguard telecommunications sector ETF (VOX) 2
VWO_D the Vanguard emerging markets stock index ETF (VWO) 2
COFFEE_D Coffee futures 1
DJIA_D the Down Jones Industrial Average 1
E-MINI_SPX_500_COT_FO S&P500 committment of traders report 1
EWL_D the MSCI iShares Switzerland ETF 1
NASDAQ_100_COT_FO Nasdaq 100 index committment of traders report 1
PALLADIUM_COT_FO Palladium committment of traders report 1
PALLADIUM_D Palladium 1
RATIO_GOLD_SILVER_D the Gold-Silver Ratio 1
RATIO_GOLD_UST10Y_D the Gold to 10-Year US treasury Ratio 1
VIS_D the Vanguard industrial sector ETF (VIS) 1
VIX_COT_FO VIX committment of traders report 1
VNM_D the VanEck Vietnam stock market index ETF 1
XOP_D the SPDR S&P Oil & Gas Explorers ETF 1

Asset-Specific Analysis


the British Pound | 103 indicators at extremes

VanAurum Analysis

VanAurum has identified a significant relationship between this signal and one or more of the 2-week, 2-month, or 6-month returns for at least one asset. These are shown below, along with the analytics for each:


CAD_D
126-day returns for the Canadian Dollar where the British Pound's 18-day balance of power moving average has been less than or equal to -0.227516739063573
Signal: -6.28

GOLD_D
126-day returns for Gold where the British Pound's 60-day net sum of up-days and down-days has been less than or equal to -20.0
Signal: 6.39

USD_D
126-day returns for the US Dollar where the British Pound's 18-day balance of power moving average has been less than or equal to -0.227516739063573
Signal: 9.21




the US Dollar | 59 indicators at extremes



the Platinum to Copper Ratio | 57 indicators at extremes



Lean Hog futures | 44 indicators at extremes



the VanEck senior gold miners ETF (GDX) | 42 indicators at extremes

VanAurum Analysis

VanAurum has identified a significant relationship between this signal and one or more of the 2-week, 2-month, or 6-month returns for at least one asset. These are shown below, along with the analytics for each:


GDXJ_D
42-day returns for the VanEck junior gold miners ETF (GDXJ) where GDX's 59-day rate of change has been greater than or equal to 0.37093596
Signal: 18.94

GOLD_D
42-day returns for Gold where GDX's price proximity to the 195-day upper bollinger band has been greater than or equal to 1.15482088552724
Signal: 8.97

SIL_D
42-day returns for the GlobalX Funds Silver Miner ETF where GDX's 59-day rate of change has been greater than or equal to 0.37093596
Signal: 17.62

SILVER_D
126-day returns for Silver where GDX's 30-day to 50-day moving average ratio has been greater than or equal to 1.07111448727405
Signal: 22.78

SPX_D
10-day returns for the S&P 500 Index where GDX's 35-day net sum of up-days and down-days has been greater than or equal to 11.0
Signal: 7.58




Live cattle futures | 38 indicators at extremes



the Chinese Stock Index to S&P500 Ratio | 34 indicators at extremes

VanAurum Analysis

VanAurum has identified a significant relationship between this signal and one or more of the 2-week, 2-month, or 6-month returns for at least one asset. These are shown below, along with the analytics for each:


EEM_D
126-day returns for iShares MSCI Emerging Markets ETF where the Chinese Stock Index to S&P500 ratio's 20-day net sum of up-days and down-days has been less than or equal to -10.0
Signal: -7.21




the Russia Stock Index to S&P500 Ratio | 28 indicators at extremes



1-month US treasury yields | 24 indicators at extremes

VanAurum Analysis

VanAurum has identified a significant relationship between this signal and one or more of the 2-week, 2-month, or 6-month returns for at least one asset. These are shown below, along with the analytics for each:


VNQ_D
126-day returns for the Vanguard real estate sector ETF where the 1-month US treasury yield's price proximity to the 180-day upper bollinger band has been less than or equal to -0.141015576175095
Signal: -7.93




the VanEck Israeli stock market index ETF | 22 indicators at extremes

VanAurum Analysis

VanAurum has identified a significant relationship between this signal and one or more of the 2-week, 2-month, or 6-month returns for at least one asset. These are shown below, along with the analytics for each:


ISRA_D
126-day returns for the VanEck Israeli stock market index ETF where the VanEck Israeli stock market index ETF's 151-day rate of change has been greater than or equal to 0.18033075
Signal: -15.77