NDX: vGRE* Week 26-Jul-2021

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

Analysing data from last week can shed light on this week for NDX with genetic optimization. Based on vGRE* there was no spike but a dip on Thursday suggests price stability and yet with a potential upside. For the week of 19-Jul-2021 to 23-Jul-2021, there is no breach for vGRE*-CR with no clear signal for a change in price direction; Sig starts with 2 buys followed by 1 sell, 1 buy, and ends with a sell, suggesting an overall buy/hold signal with some caution.

For the week of 19-Jul-2021 to 23-Jul-2021, NDX ended higher at 15,111. The vGRE* was stable with no obvious spike, indicating price stability and yet a slight dip on Thursday suggests a potential upside.

The first derivative of vGRE* or the Continuous Return (CR) statistic is also reported for 2021 YTD (23-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 19-Jul-2021 to 23-Jul-2021, there is no breach for vGRE*-CR, hence there is no clear signal for a change in price direction (based on historical data of 2021 YTD, a breach of the CR-statistic range of -0.5 to 0.5 signals a change in price 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. To use it, refer to every trading week which reports 5 signals for Monday to Friday (if there are no public holidays). For the week of 19-Jul-2021 to 23-Jul-2021, it starts with 2 buys followed by 1 sell, 1 buy, and ends with a sell. Hence 3 buys to 2 sells suggest an overall buy/hold signal with some caution.

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