Where are you now? The mean of volatility adjusted indexes.
The summary: Stocks fell ("Faded"?) out of the main upward channel. Bulls can hang there hats on the ATR that has not confirmed a reversal.
Chart shows the mean of 3 US stock indexes divided by their respective volatility index: SPX / VIX , NDQ / VXN , DJA / VXD. This is one approach to putting all 3 on a single scale and is conceptually similar to Z-score, Sharpe ration and Normalization, to name a few**
Getting all 3 on the same scale is useful for both comparison and, as in the present chart, aggregation.
(SPX appears above on top for reference.)
Summary:
Last session "stocks" fell out of the main upward channel.
They have also fallen bellow the long term median (red dots).
However, there are bullish features as well:
ATR indicator: Typically inverse stocks Were *not* seeing the same "break out" (added Regression channel +/-2STD)
It is not yet in free fall and there's plenty of structure to the left for support and pullbacks.
Notes:
** There are issues with taking the mean of any of these statistics. For example two Zscores of 0 and 3. It's true that their mean is 1.5 but there are very few valid conclusions one can draw from that outcome. It will have a "smoothing" effect (mean reversion) which is not entirely
undesirable for our purposes.
Chart shows the mean of 3 US stock indexes divided by their respective volatility index: SPX / VIX , NDQ / VXN , DJA / VXD. This is one approach to putting all 3 on a single scale and is conceptually similar to Z-score, Sharpe ration and Normalization, to name a few**
Getting all 3 on the same scale is useful for both comparison and, as in the present chart, aggregation.
(SPX appears above on top for reference.)
Summary:
Last session "stocks" fell out of the main upward channel.
They have also fallen bellow the long term median (red dots).
However, there are bullish features as well:
ATR indicator: Typically inverse stocks Were *not* seeing the same "break out" (added Regression channel +/-2STD)
It is not yet in free fall and there's plenty of structure to the left for support and pullbacks.
Notes:
** There are issues with taking the mean of any of these statistics. For example two Zscores of 0 and 3. It's true that their mean is 1.5 but there are very few valid conclusions one can draw from that outcome. It will have a "smoothing" effect (mean reversion) which is not entirely
undesirable for our purposes.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.