Most of our breadth and liquidity indices are updated end-of-day with the exception of Great Trough Detector(GTR), Selling Pressure Diffusion (SPD) Zweig Breadth Thrust (ZBT) These 3 models above are updated every 15-min during the course of a trading day. PRO subscription clients will from now on also be able to see the following new models updated every 15-minutes: New improved Short-Term liquidity index (STL2) New improved Medium-Term liquidity index (MTL2) New improved Average Liquidity index (ALIX2) During the remainder […]
Archive | November, 2019
New Economic Analytics tool (ANALYZER)
For many years now we have published a quarterly data file as described in this note. The old quarterly data file was extremely popular among institutions, particularly those that were using it for standard recession forecasting ensemble implementations or even custom ensembles to fit their investment approach. Also many clients were using the file as a single consolidated view or dashboard of all 15 of our econometric models. This popularity drove request for more timely information and we announced last […]
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The Average Liquidity Index (ALIX)
The Average Liquidity Index (ALIX) has been published daily for our clients for over 5 years. This document serves as a brief overview. ALIX is the average of the medium-term liquidity index from the VMCOS chart (EMA(21) of VMCOS), the short-term liquidity index from the VMCOS chart (EMA(10) less EMA(21) of VMCOS) and the short-term liquidity index derived from the HILO chart (EMA(10) less EMA(20) of Net 13wk less Net 52Wk highs). It is designed to gauge short-term market liquidity […]
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