Intermarket analysis

D

duard

Can anyone recommend a good reference book or source for intermarket analysis. I am interested more in equities and their derivatives than currency and agricultural products. The intermarket research that I'm interested in can and would preferably reference these other products to equities though.


e.g. Copper markets correlation to S & P 500.

OEX to 500

Interest rates short, intermediate and long to SIF.

You get the idea.

Maybe we can use this thread to delineate the type of intermarket analysis traders here are using and reference good works, papers, books, lectures, etc. about this type of analysis.




Good Luck
 
For instance oil has been inversely correlated to SIF for quite awhile now.

If NASDAQ and OEX are outpacing the S & P 500 then returns for the year typically double.

If interest rates are rising then equity returns are muted or negative. "Don't fight the fed."


Any other correlations people are willing to share?
 
there has been a high correlation between some of the XAU or HUI components and the
POG + POS ( gold and silver price )

I need to do some research on the HGX

and real estate prices ....

:p
 
Quote from duard:

Can anyone recommend a good reference book or source for intermarket analysis. I am interested more in equities and their derivatives than currency and agricultural products. The intermarket research that I'm interested in can and would preferably reference these other products to equities though.
More...

I'm writing a book about intermarket analysis, but probably it will take years until it's completed.

Already now i would give you this advice: An uptrend (with growing volume) in the 90-minute chart of the sp500 is confirmed by an an uptrend in the six-hour chart of the US$, one-day chart of the T-Notes, one-week chart of the Eurodollar...
 
Victor Niederhoffer's both books have some information about intermarket analysis. He also had some "back-the-envelope"studies on his web site www.dailyspecualtions.com.

There is an idiotic book, called "Intermarket Analysis" by Murphy, please stay away from that one. Nothing but a bunch of superimposed charts and utter BS.

Good luck,

DVB



Quote from duard:

Can anyone recommend a good reference book or source for intermarket analysis. I am interested more in equities and their derivatives than currency and agricultural products. The intermarket research that I'm interested in can and would preferably reference these other products to equities though.


e.g. Copper markets correlation to S & P 500.

OEX to 500

Interest rates short, intermediate and long to SIF.

You get the idea.

Maybe we can use this thread to delineate the type of intermarket analysis traders here are using and reference good works, papers, books, lectures, etc. about this type of analysis.




Good Luck
More...
 
Quote from duard:

Can anyone recommend a good reference book or source for intermarket analysis. I am interested more in equities and their derivatives than currency and agricultural products. The intermarket research that I'm interested in can and would preferably reference these other products to equities though.


e.g. Copper markets correlation to S & P 500.

OEX to 500

Interest rates short, intermediate and long to SIF.

You get the idea.

Maybe we can use this thread to delineate the type of intermarket analysis traders here are using and reference good works, papers, books, lectures, etc. about this type of analysis.




Good Luck
More...

I think John Murphy is supposed to be the high priest of intermarket analysis.


Intermarket Analysis by John Murphy.

http://www.amazon.com/exec/obidos/t...104-3205391-7526358?v=glance&s=books&n=507846


And he also writes for http://stockcharts.com/index.html but you have to subscribe.
 
Beyond the most obvious relationships (ie, gold and dollar index), I think you'd be hard pressed to find any intermarket correlation that sustains beyond a single cycle, hasn't already been priced in, and which also provides any element of forecasting.

Assuming that what most are looking for in regards to an edge in intermarket analysis is some sort of divergence/non-confirmation signal, determining that an actionable causality exists between 2 somewhat correlated markets (as 1:1 correlations are pretty much useless) is difficult to say the least.
 
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