NDX: vGRE* Week 23-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) spiked on Monday suggesting a possible change in NDX direction. For the week of 16-Aug-2021 to 20-Aug-2021, there is no clear breach of vGRE*-CR indicating no obvious price change; 4 buy/hold signals against 1 sell/short for the week suggests an overall buy/hold strategy for the week of 23-Aug-2021.

NDX: 1-Jan-21 to 20-Aug-21.
  • For the week of 16-Aug-2021 to 20-Aug-2021, NDX ended slightly lower at 15,092 from 15,136 from the week before.
  • For the past week, the vGRE* spiked, indicating a possible change of NDX direction for the coming week of 23-Aug-2021.
NDX-vGRE* 1-Jan-21 to 20-Aug-21.

The first derivative of vGRE* or the Continuous Return (CR) statistic is also reported for 2021 YTD (20-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 week of 16-Aug-2021 to 20-Aug-2021, there is no clear breach of vGRE*-CR which stayed within the range of -0.5 to 0.5, suggesting no clear change in NDX direction.

NDX-vGRE*-Sig from 19-Jul-2021 to 20-Aug-2021.

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 16-Aug-2021 to 20-Aug-2021, it starts off with a 0 followed by four 1s. 4 buy/hold with 1 sell/short suggest an overall buy/hold signal for the coming week of 23-Aug-2021.

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