TGN VS. NATGAS – Positive or negative correlation?

If we go back in history from 2008 to 2009, one can observe a positive correlation between the same assets. How is this possible? How can correlation change from positive to negative? Will the correlation between the two assets change to positive again? For us at Orpheus, like everything else, even correlation is cyclical. It gets stronger and weaker with time.

We have illustrated the Rieki pair cycle between TGN and Natural Gas. The Rieki structure has topped and suggests that it may be time for Natural Gas to outperform Transgaz. Above this the Alpha Numeric Rankings suggest that Natural Gas is the worst performer and Transgaz is the best. Since performance is cyclical, either Transgaz should fall or stagnate (underperform) and Natural Gas should move up. The Relative performance has turned lower and Transgaz has failed to move above previous resistances. This confirms our preferred negative view on TGN.

Rieki is still negative for other top indices. We continue to look lower as the year comes to a close.

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Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.