The Dashboard provides an all-in-one at-a-glance “pilots view” of all the important short-term market liquidity indicators and the long-term US macroeconomic situation. It consists of radial gauges where Green areas imply no danger (or bullish) and red areas denote danger zones (or bearish). Orange areas denote neutral (neither bullish nor bearish). The gauges all move clockwise. Note that gauges are very one-dimensional and don’t depict trend so for better understanding of the readings you are encouraged to view the actual […]

For this research, we examine annual, bi-annual, tri-annual and quadrennial cyclical seasonal characteristics of SP500 monthly closing prices since 1957 and show how to combine all these cycles into a single powerful seasonal indicator. The annual cycle consists of a single phase of 12 months which comprise the historical statistical record of 63 cycles. The bi-annual cycle consists of two phases of 12 months each which comprise the historical statistical record of 32 cycles. The tri-annual cycle consists of three […]

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 […]

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 […]

This is a complete short, medium and long-term stock market liquidity risk-management tool derived from the McClellan Oscillator methodology applied to daily advancing and declining volume on the SP-500. It has been depicted as a daily updated chart for standard subscriptions for over 7 years now. Each day, we compute daily advancing volume (sum of volume traded of all shares that rose in price) less daily declining volume to get daily net advancing volume. This is very volatile and unusable […]

Following on from extensive client feedback since the launch of the SP-500 trough probabilities and SP-500 Trendex trend-following model, we have decided to target the models at the six largest investable U.S Exchange Traded Fund (ETF) categories by assets under management (AUM) as depicted below, for a total of 50.1% coverage of the total U.S ETF market by AUM: Except for the SP-500, the largest ETF’s by AUM are used in the models to proxy the respective sectors in question. […]

One of our oldest and most consulted indicators by our institutional clients is the Composite Market Health Index (CMHI – see research paper ). By de-trending this index around its long-term regression mean we can obtain far earlier bear-market warnings and signalling for the U.S stock markets. You can see this index updated every day from the CHARTS>MACRO>CMHI interactive chart. Clicking on the “hamburger icon” on the top right of the chart lets you download all the data into Excel […]