Saturday, November 22, 2014

2014.11.21 VIX Cycle Model Chart

2014.11.21 VIX Cycle Model Chart



















The VIX cycle model strongly suggests rising pressure on VIX, given a Z-score approaching 4 sigma.

Saturday, November 1, 2014

2014.10.31 Silver Cycle Model Chart

2014.10.31 Silver Cycle Model Chart



















Silver prices continue to track model predictions quite well.  The model suggests silver prices may have reached a bottom for the next few months, and a price of about 1700 is expected by the end of 2014.  A previous iteration of the model appears below and here on the blog.


2014.09.19 Silver Cycle Model Chart

Friday, October 31, 2014

2014.10.31 Gold Cycle Model Chart

2014.10.31 Gold Cycle Model Chart

















The gold cycle model is predicting a very high probability of a turn to the upside in the next few weeks, based on the outlier Z-score greater than 3 "sigma.". If the reversal does occur, then gold prices should quickly rise to well above 1400 by the end of the year.  A previous iteration of the model is shown below and here on the blog.





2014.10.03 Gold Cycle Model Chart

Sunday, October 19, 2014

2014.10.17 XOI.X Cycle Model Chart

2014.10.17 XOI.X Cycle Model Chart


















The cycle model continues to suggest lower prices for the index beginning in 2015. According to the model, index price should stabilize around 1400 before the next drop to the 1300 area begins at the end of 2014.  A previous iteration of the model is shown here and below.



2014.02.07 XOI.X Cycle Model Chart

Tuesday, October 7, 2014

2014.10.06 VIX Cycle Model Chart

2014.10.06 VIX Cycle Model Chart


















The VIX cycle model continues to suggest higher index prices going forward, with a peak of about 35 at the end of 2014. The usual caveat with this model is that it does not capture very short time frame price swings, but it does seem to be a reliable longer term model, for now.  The previous iteration of the model is shown here and below.


2014.09.12 VIX Cycle Model Chart

Monday, October 6, 2014

2014.10.06 Silver Cycle Model Chart

2014.10.06 Silver Cycle Model Chart



















The silver cycle model continues to perform adequately.  The model is suggesting a pseudocycle for silver where prices range from about 1500 to 2100 through the end of 2015. A previous iteration of the model is shown here and below.

2014.08.22 Silver Cycle Model Chart

Sunday, October 5, 2014

2014.10.03 Gold Cycle Model Chart

2014.10.03 Gold Cycle Model and Z-score

















The gold cycle model, which has performed well in the past, continues to suggest a strong upward pressure in price since the model is past its turning point. The gap between the model prediction and the actual price continues to widen, as noted by the rising Z-score. It would be very unusual if the divergence was to exceed 2.5 on the Z-score without a reversal.  A previous model is shown below and here.



2014.09.05 Gold Cycle Model and Z-score

Saturday, September 27, 2014

2014.09.26 XOI.X Cycle Model Chart

XOI.X 2014.09.26 Cycle Model Chart


















The XOI.X cycle model successfully predicted the turning point for the index, and now suggests a bottom of 1100 towards the end of 2015.  A previous iteration of the model is shown below and here in the blog archive.


XOI.X 2014.02.07 Cycle Model Chart

Saturday, September 20, 2014

2014.09.19 Silver Cycle Model Chart

2014.09.19 Silver Cycle Model Chart


















The silver cycle model suggests lower prices for silver until the end of the year, reaching a price of about $1600.  This model has been performing well, as can be seen from the chart below and here. As previously noted, the model has undergone a phase change going forwards, resulting in a pseudo-cyclical price curve going forwards. The silver price appears to be range bound between about $1600 and $2200 until at least the beginning of 2016.


2014.01.17 Silver Cycle Model Chart

Sunday, September 14, 2014

2014.09.12 VIX Cycle Model Chart

2014.09.12 VIX Cycle Model Chart



















The VIX cycle model continues to suggest higher levels for the VIX into the end of 2014. The model cannot capture the "volatility of volatility" so it should be interpreted cautiously, especially at short time frames.  A previous iteration of the model is shown below and here.


2014.08.01 VIX Cycle Model Chart


Sunday, September 7, 2014

2014.09.05 Gold Cycle Model Chart

2014.09.05 Gold Cycle Model Chart and Z-score


















I am presenting the usual gold cycle model chart with the addition of a Z-score.  The Z-score is a measure of the deviation of the predictive curve from the actual price. The farther this measure diverts from "0" the greater the likelihood that the actual price curve will revert to the predictive price curve.  Currently, the model is suggesting higher prices.  A previous iteration of the model is shown below and here.

2014.04.25 Gold Cycle Model Chart

Saturday, August 23, 2014

2014.08.22 Silver Cycle Model Chart

2014.08.22 Silver Cycle Model Chart


















The silver cycle model which has performed well has undergone a phase transition* going forwards. The pseudo-cyclical pattern is new and suggests that silver will be bound in the range of $15 - $20 over the next year. You can see that by comparing it with an older model shown below and here.


2014.03.28 Silver Cycle Model Chart
 

















*What I mean by a phase transition is that the model has not had a structural change, ie it is the same model.  However, the model parameters have changed enough so that the shape of the predictive curve is quite different going forwards when compared to the older model. 

Sunday, August 17, 2014

2014.08.15 XOI.X Cycle Model Chart

2014.08.15 XOI.X Cycle Model Chart




















The XOI.X model successfully predicted a top in the price curve, and suggests that a bottom may be reached in the late 2015 time frame. For comparison purposes, a previous iteration of the cycle model is shown below and here.
2013.12.06 XOI.X Cycle Model Chart

Saturday, August 2, 2014

2014.08.02 VIX Cycle Model Chart

2014.08.01 VIX Cycle Model Chart



















The VIX cycle model suggests that we will continue to see an increase in volatility from now until the end of 2014. The model lagged behind the price curve for a month, and readers should keep this in mind when interpreting the model output. A previous model which also includes a z-score is seen below and here.


2014.05.09 VIX Cycle Model

Sunday, July 27, 2014

2014.07.25 Gold Cycle Model Chart

2014.07.25 Gold Cycle Model




















The gold cycle model seems to be suggesting that a multi-year bottom for gold is now past and that gold prices are headed higher with an approximate price maximum of 2700 in the late 2015 time frame.A previous iteration of the gold cycle model can be found here and below.

2014.04.25 Gold Cycle Model

Saturday, July 12, 2014

2014.07.11 XOI.X Cycle Model Chart

2014.07.11 XOI.X Cycle Model Chart




















The XOI.X cycle model strongly suggests a trend change has occurred in the index, and prices are heading into a bottom of about 1000 towards the end of 2015. A previous cycle model is shown below and here.

2014.02.07 XOI.X Cycle Model

Sunday, June 29, 2014

2014.06.27 Gold Cycle Model Chart

2014.06.27 Gold Cycle Model Chart



















The gold cycle model continues to confirm we may have passed a multi-year bottom on the gold price curve. The previous model run from 2014.05.30 is shown below and here. I have also placed the long term gold cycle model chart reaching out to 2020 here.

2014.05.30 Gold Cycle Model Chart

Sunday, June 15, 2014

2014.06.15 XOI.X Cycle Model Chart

2014.06.13 XOI.X Cycle Model Chart


















The Amex Oil Index cycle model is predicting a top in the price curve.  According to the model, the price should drift lower to approximately 1000, bottoming in November, 2015.  The model has performed well in the past, as shown below. Obviously, geopolitical factors may come into play at this time, and these factors are not reflected in the model structure.


2014.02.07 XOI.X Cycle Model Chart




















A pointer to the chart above as it previously appeared in the blog is here.

Sunday, June 1, 2014

2014.05.30 Gold Cycle Model Chart

Gold Cycle Model 2014.05.30



















The gold cycle model suggests the low point for gold is past, and prices should continue to increase over the next year. An iteration of the gold cycle model from 2014.03.20 is presented below and here.


Gold Cycle Model 2014.03.20

Saturday, May 17, 2014

2014.05.16 XOI.X Cycle Model Chart

2014.05.16 XOI.X Cycle Model



















The Amex Oil Index cycle model is performing well, and suggests the index is reaching a top in the June timeframe. A previous iteration of the cycle model can be found here as well as below.


2014.02.28 XOI.X Cycle Model

Saturday, May 10, 2014

2014.05.09 VIX Cycle Model Chart

VIX Cycle Model Chart

















The VIX cycle model suggests a rising VIX over the rest of the year. The busy chart above shows a "Z-score" on the right axis. This is a measure of how far off the model is from reality, looking backwards. If the prediction and actual price were equal, the z-score would be zero. If the predicted price is higher than the actual price, the z-score is positive, and vice versa.  Each of the units on the z-score is one standard deviation, so you can ask the question "Over the history of the time series, what percentage of the time does the predicted price deviate from the actual price in a negative or positive fashion by that amount?" Notice that I have blue bars at the bottom of the chart.  These illustrate time points where the z-score deviated more than two standard deviation units, so that the actual price was lower than the predicted price.  In every single instance, the actual price quickly corrected upwards. Of course the same argument can also be made in reverse. So we shall see.

Saturday, May 3, 2014

2014.05.02 Silver Cycle Model Chart



2014.05.02 Silver Cycle Model


















As you can see in the previously posted charts, the silver cycle model has performed well, and continues to show lower prices over the next 6 months. I have received a lot of mail regarding the obvious question of why the silver and gold models are divergent and yet have a history of good performance for the longer term. Nothing in my "modeler's toolbox" allows me to honestly answer that question. This is what the structural models show, and like all models, they are very crude approximations of reality, or as some may argue, of unreality! Shown below is a previous model from February, 2014, also available on the blog here.

2014.02.14 Silver Cycle Model
















Saturday, April 26, 2014

2014.04.25 Gold Cycle Model Chart

2014.04.25 Gold Cycle Model



















The gold cycle model suggests we may have passed an intermediate low for gold prices. Currently, the model is predicting a gold price of $1750 at the end of 2015. While this has been a good model thus far, I want to enter a caveat - which is that the silver cycle model does not corroborate it going forward, at least by historical gold:silver ratio.  You can find all the previous gold cycle models in the archives, and the last iteration is below.  Note I have changed the time scale and price scale to accommodate forward price action.


2014.03.20 Gold Cycle Model




















Sunday, April 13, 2014

2014.04.11 VIX Cycle Model Chart

2014.04.11 VIX Cycle Model


















The VIX cycle model suggests higher VIX prices are to be expected over the next year. However, astute readers will notice that as shown above, the turning points are better predicted than the magnitude of the change at those points. Right now, according to the model, the VIX is below the predicted curve, and a very short term upward correction, as happened after previous positive and negative spikes, is very likely.  Readers may note I lifted some of the above text from a previous post from January, 2014, shown here. The model has not changed much at all.  Here it is below.

2014.01.24 VIX Cycle Model

Saturday, April 5, 2014

2014.03.31 XOI.X Cycle Model Chart

2014.03.31 XOI.X Cycle Model


















The Amex oil index cycle model continues to perform well, and suggests a top in the index in the June, 2014 time frame. The previous iteration of the model output is shown below and here.


2014.02.28 XOI.X Cycle Model

Saturday, March 29, 2014

2014.03.28 Silver Cycle Model Chart

2014.03.28 Silver Cycle Model Chart



















The silver cycle model is performing well, and continues to suggest lower prices for the rest of the year. I understand that there is a divergence with the gold cycle model which has no explanations outside of pure speculation.  The models are what they are. The previous model prediction is shown below and here.


2014.02.14 Silver Cycle Model Chart