NDX: vGRE* Week 6-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 two small spikes suggesting a change in NDX direction. For the week of 30-Aug-2021 to 3-Sep-2021, there is no breach of vGRE*-CR indicating no obvious price change; 4 buy/hold signals to 1 sell/short suggest an overall buy/hold strategy for the week of 6-Sep-2021.

  • For the week of 30-Aug-2021 to 3-Sep-2021, NDX ended higher at 15,652 from 15,432.
  • For the past week, the vGRE* had two small spikes, indicating a potential change of NDX direction for the coming week.

The first derivative of vGRE* or the Continuous Return (CR) statistic is also reported for 2021 YTD (3-Sep-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 a deviation from the norm and deserves attention.

For the week of 30-Aug-2021 to 3-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 30-Aug-2021 to 3-Sep-2021, 4 buy/hold signals and 1 sell/short signal suggest an overall buy/hold for the coming week of 6-Sep-2021.

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