NDX: vGRE* Week 16-Aug-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) remained stable over the week suggesting no clear change in NDX direction. For the week of 9-Aug-2021 to 13-Aug-2021, there is no breach of vGRE*-CR indicating as well no obvious change in price direction; 3 buy/hold signals against 2 sell/short for the week suggests an overall buy/hold strategy for the coming week albeit with limited upside.

  • For the week of 9-Aug-2021 to 13-Aug-2021, NDX ended slightly higher at 15,136 from 15,109 from the week before, aligned with vGRE* indicator.
  • For the past week, the vGRE* experienced no spikes and remained stable, indicating no clear signal for a change of NDX price direction for the new week of 16-Aug-2021.

The first derivative of vGRE* or the Continuous Return (CR) statistic is also reported for 2021 YTD (13-Aug-2021) to serve as a check for the stationarity of the vGRE* statistic. vGRE*-CR should be a 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 9-Aug-2021 to 13-Aug-2021, there is no breach for vGRE*-CR which stayed within the CR-statistic range of -0.5 to 0.5, suggesting again a flat NDX direction.

In addition, the genetic-optimization of the golden-ratio estimator 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. For the week of 9-Aug-2021 to 13-Aug-2021, it starts off with a 0 followed by two 1s, then 0 and ends on Friday (13-Aug-21) with a 1 sig. 3 buy/hold with 2 sell/short signals suggest an overall buy/hold signal for the week of 16-Aug-2021 albeit with limited upside. View: Full Database (since 1985).


#1 NASDAQ-100 risk-tech database