Those of you who know me by my chat name, “Mrkt_Rwnd”, will better understand this title.
Apparently, not all browsers are capable of displaying the Google Docs object described herein. Nevertheless, after a couple-week test period, it is time to proclaim Market Rewind home of “Mrkt Metrics.” The purpose of the metric gauges is to port some of the dashboard indicators found in the nightly ETF Rewind into a near real-time widget.
The metrics are simple, yet important measures of the current market environment to bear in mind, described as follows (all data delayed 15-minutes):
1. Daily Sentiment – Harkening back to my old market sentiment series of articles from nearly two years ago, this indicator tallies eight inter-market spread indicators as a proxy measure of inter-day market strength. My premise is that all eight spreads will fire to the positive during highly bullish days. More on this useful confirming indicator in future posts.
2. Short-Term Overbought/ Oversold – This indicator is based on a very short-term, multi-day weighted Relative Strength Indicator (RSI). To be consistent with the other gauges; however, low readings represent an overbought state (a minus), while high readings represent an oversold state (a plus).
3. Normalcy Measure – This indicator is based on the absolute number of standard deviations price is from its mean over an intermediate period. Very low readings represent extremely high, non-normal environments. When these are observed, smaller position sizes may be wise.
4. Short-Term Trend – This is a very short-term z-score measure indicating current price direction.
5. Intermediate-Term Trend – This is a composite score using intermediate z-scores and RSIs.
6. Long-Term Trend – A long-term z-score. Looking at all three time-frame trend indicators together should provide an excellent indication of the market environment we are in.
Hey, maybe its worth switching to FireFox to see it all, you tell me. Missing from the full ETF Rewind dashboard are the trend versus mean-reversion environment indicators, and some other useful volatility based indicators. Nevertheless, I hope you’ll find it a good near real-time rapid overview of market state.
