Sunday, April 11, 2010

Index Data (see new additions below)

Closing values for Friday, April 9, 2010:

(I didn't get a chance to post Thursday's numbers, so that data is in parentheses)

Trend & Value 50:

1085.62 (1078.31)

China Small Cap ADR 25:

939.96 (927.55)

Precious Metals Complex:

4939 (4893)

Commodity ETFs:

2137 (2129)

BRIC Basic Materials:

1109.93 (1098.55)

Penny Banks:

1163.05 (1164.35)

Foreign Blend:

7867 (7755)

General Liquidity:

1043.11 (1036.23)

S&P 500 Momentum Composite:


S&P 500 Breadthalyzer:


S&P 500 Notional Volume:


S&P 500 Notional Advance:


All ETFs Diffusion:


ETFs Notional Volume:



The Über-Indicator is in the shop. A couple of days ago I decided change one little thing and once I did that the historical continuity of the values was screwed up, so I figured I might as well take this opportunity to totally revamp the indicator. And I still have some tinkering to do with it. Essentially, it means I am starting over.

For the time being I am going to publish the daily values of what I call the S&P 500 Momentum Composite Index. A version of this was a major component of the Über-Indicator, but the current version is expanded from 21 indicators to 28.

The theoretical extremes for the Momentum Composite are +100 and -100, though you are unlikely to see readings anywhere close to the extremes. Zero (0) is neutral.

Another component of the new Über-Indicator will be what I call the Breadthalyzer. The Breadthalyzer is an equation of a couple different Advance/Decline ratios specific to S&P 500 components. 1.00 is neutral, readings above 1.00 are bullish, and readings below 1.00 are bearish. I'll explain more about it later.

I will also be publishing S&P 500 notional dollar volume figures for each trading day, as well as a number I call the "Notional Advance." More later.

You will also find an indicator called the All ETFs Diffusion Index. This is similar to the SPX Momentum Composite, but there are 21 indicators tracked, and they are all binary. This will be quoted as a percentage (eg 75%). 100% is maximum bullish, while 0% is maximum bearish, but in practice you will never see either extreme, because the index tracks a number of inverse ETFs.

I am also tracking Total ETF Notional Volume, which is how many dollars worth of ETFs are traded each day.