Volume-weighted GR-Estimator for NASDAQ 100 Entry/Exit Points.
Presented here is Risk-Cybernetics applied to the GR-Estimator as a technical indicator for NASDAQ 100 (NDX) which includes trading volume and golden-ratio segments as input parameters, computed with genetic-optimization.
- The Volume-weighted GR-Estimator (VWGRE or vGRE*) incorporates a random parameter optimization function based on the Golden-Ratio (GR) where GR≈1.618.
- The vGRE* reflects the potential volume-weighted price change and any spike represents a potential downside that can be a potential short or exit, while a dip represents a potential upside that can be a good entry point. This serves as a check with other familiar technical indicators.
- For the week of 28-Jun-2021 to 2-Jul-2021, there was no spike in vGRE* but a gradual reduction over the last four days, indicating price stability and yet with a potential upside.
- The first derivative of vGRE* or the Continuous Return (CR) statistic is also reported for 2021 YTD (2-Jul-2021) to serve as a check for the stationarity of the vGRE* statistic. vGRE*-CR should be a stationary or stochastic process with constant variance and a change of variance indicates deviation from the normal and deserves attention for the specific period.
- For the week of 28-Jun-2021 to 2-Jul-2021, there are no anomalies for vGRE*-CR. Based on 2021 YTD, a breach of the CR-statistic range of -0.5 to 0.5 signals a change in price direction. Hence the CR-statistic of -0.5 on Monday (28-Jun-2021) signals caution.
- In addition, the genetic-optimization produces a value-added statistic where we name as Signal (Sig). The signal of 1 (buy/hold) and 0 (sell/short) are reported per trading day. To use it, refer to every trading week which reports 5 signals for Monday to Friday. For eg. 4 buys and 1 sell would indicate an overall buy/hold signal. Again, this is not definitive and is also used as a check with common indicators.
- For the week of 28-Jun-2021 to 2-Jul-2021, there are 3 buys and 2 sells that alternate beginning with a buy/hold signal on Monday, which is a sign of caution and yet with an overall buy/hold signal.
- These statistics are published weekly on every Monday from Oct-1985 in Finamatrix.AI with password-protection (sharing of the password is prohibited with IP tracking).
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