Friday, September 25, 2009

Mrkt_Rwnd: Home of "Mrkt Metrics"

Those of you who know me by my chat name, "Mrkt_Rwnd", will better understand this title.

After a several-week test period, it's time to proclaim Market Rewind the official 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 real-time widget.

The metrics are simple, yet important measures of the current market environment, described as follows (calculations are 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 spreads 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 and vice versa. More on this powerful confirming indicator in future posts.

2. Short-Term Overbought/ Oversold - This oscillator 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/red state, while high readings represent an oversold/green state.

3. Market Normalcy - This indicator is based on the absolute number of standard deviations price is from its mean over an intermediate-period. Extremely low readings represent highly non-normal environments. When these are observed, smaller position sizes may be warranted, especially if you are trying to fade the current short-term directional trend.

4. Short-Term Trend - This is a very short-term z-score measure indicating current directional price momentum.

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 directional tell. And, when the intermediate- and long-term indicators swing south together, watch out for your long-term holds!  By the same token, if they push their statistical limits too hard, a larger structural mean-reversion may be in the cards.

All gauges range from 0 to 100 with higher readings representing more positive states.

Missing from the full ETF Rewind dashboard are the trend versus mean-reversion environment indicators, and some other useful volatility based indicators that were a bit more difficult to easily replicate in Google Docs. Nevertheless, I hope you'll find it a good near real-time perspective of the current market state.

[See also Home of ETFRanks]

10 comments:

Anonymous said...

Jeff, Mrkt Metrics seem to work fine in Safari 4.0.3.

Thanks for the effort. I'll tune in regularly.

fiki said...

I just wanted to express my appreciation of your midday posts and your tweets. I´m a black-belt-websurfer and I have covered a lot of blogs in my days. Yours is now 1 of 4 I follow (bzbtrader, traderfeed and carl futia). And it´s on top of the list. It´s hard to find good and unbiased market commentary theese days. So thanx again for sharing your expirence (for free I must add). Your tweets are beacon of light on the stormy oceans of sp500. LOL :D

jgpietsch said...

You are all very kind.

Anonymous said...

I am not seeing all six dials on any browser. I chrome it won't work at all. IE is crashes and On Firefox and Safari only 4 of 6 indicators come up.

jgpietsch said...

Try back during regular market hours to see all six. I will, however, take a look and see if it isn't something I can't fix as they were all up fine yesterday. Meanwhile, anyone with the knowledge to address the cross browser issues is invited to contact me directly. Best, Jeff

PreparedInvestor said...

Very nice work on the graphics. You are almost there to create a Blogger Widget out of this .. so that others can plug this in on their website.

Very Cool ..

Nidhi

Anonymous said...

11:34 am est market metrics not working. first time i've come to site to look at it, so i don't know if it's a one time thing.
I use google chrome. since the metrics is google doc, i wouldn't think that would be a problem.

jgpietsch said...

Thanks Anon, amazingly, Chrome is not compatible... Firefox only to my knowledge. Best, JEff

sriganeshh said...

Jeff.

I am a first time visitor and interesting to see such a comprehensive indicator...wondering whether it is applicable for indian markets...
Thanks and great appreciation for your effort..

sri

jgpietsch said...

Hi Sri,

I really like the idea of publishing international gauges.

Sincerely,
Jeff