As expected the model score is still -88 and it will take some very significant additional risk-off to move the needle to -100 (I believe there was only 1 day in the history of the model where it hit -100). This means that the market is still deteriorating internally with price.  Nothing has changed in the spreads. Quite simply all the spread prices are so far below the relevant moving averages that small rallies just do nothing to improve the score.  It is still correct, in my opinion, to avoid risk assets.

Unless the market now rallies very hard, the asset spreads utilized in the model suggest this will be a temporary reprieve, with much worse to come eventually.

Owners of DLTR, RE, IRM, CXTS and PYPL should examine whether it is worth holding these stocks, as the position is rapidly deteriorating in those names.

We remain in full Risk Off, invested in TLT.

I would still advise extreme caution and lightening up of individual names which are under-performing the market into rallies.

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