NDX: vGRE* Week 13-Sep-2021

Volume-weighted GR-Estimator for NASDAQ-100 (NDX).

Finamatrix.AI — Analyzing data from the previous week can shed light on the coming week for NASDAQ-100 (NDX) with genetic-optimization. The vGRE* (volume-weighted Golden Ratio Estimator) had gradual small spikes suggesting a change in NDX direction. For the week of 6-Sep-2021 to 10-Sep-2021, there is no breach of vGRE*-CR indicating no NDX price change; 3 buy/hold signals to 1 sell/short suggest an overall buy/hold strategy for the week of 13-Sep-2021.

  • For the week of 6-Sep-2021 to 10-Sep-2021, NDX ended lower at 15,440 from 15,652.
  • For the past week, the vGRE* had gradual small spikes, indicating a potential change of NDX direction for next week.

The first derivative of vGRE* or the Continuous Return (CR) statistic is also reported for 2021 YTD (10-Sep-2021) which serves as a check for the stationarity of the vGRE* statistic. vGRE*-CR should be a stochastic process with constant variance. A change of variance indicates a deviation from the norm and deserves attention.

For the week of 6-Sep-2021 to 10-Sep-2021, there is no breach of vGRE*-CR which stayed within the range of -0.5 to 0.5, suggesting no change in NDX direction.

In addition, the genetic-optimization of the golden-ratio estimator produces a value-added statistic where we name as Signal (Sig). For the week of 7-Sep-2021 to 10-Sep-2021 (markets were closed on Monday 6-Sep-2021 due to Labor Day), 3 buy/hold signals and 1 sell/short signal suggest an overall buy/hold for the coming week of 13-Sep-2021.

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