Volume-weighted GR-Estimator for NASDAQ 100 (NDX) Entry/Exit Points.
For the week of 6-Jul-2021 to 9-Jul-2021, there was no spike in vGRE* but a gradual reduction over the last four days, indicating price stability and yet with a potential upside.
The first derivative of vGRE* or the Continuous Return (CR) statistic is also reported for 2021 YTD (9-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 6-Jul-2021 to 9-Jul-2021, there is a breach for vGRE*-CR. 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. Hence the CR-statistic of 0.53 on Tuesday (6-Jul-2021) signals caution.
In addition, the genetic-optimization 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 eg. 4 buys and 1 sell would indicate an overall buy/hold signal. Again, this is not definitive and is also used as a check with common indicators.
For the week of 6-Jul-2021 to 9-Jul-2021, it starts with 1 sell followed by 3 buys in the last 3 days, which is an overall buy/hold signal.
For the week of 6-Jul-2021 to 9-Jul-2021, there was no spike in vGRE* but a gradual reduction over the last four days, indicating price stability and yet with a potential upside.
The first derivative of vGRE* or the Continuous Return (CR) statistic is also reported for 2021 YTD (9-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 6-Jul-2021 to 9-Jul-2021, there is a breach for vGRE*-CR. 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. Hence the CR-statistic of 0.53 on Tuesday (6-Jul-2021) signals caution.
In addition, the genetic-optimization 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 eg. 4 buys and 1 sell would indicate an overall buy/hold signal. Again, this is not definitive and is also used as a check with common indicators.
For the week of 6-Jul-2021 to 9-Jul-2021, it starts with 1 sell followed by 3 buys in the last 3 days, which is an overall buy/hold signal.