Sunday, May 2, 2010

Index Data und der neue Über-Indicator

Yes folks, the Über-Indicator is back, and hopefully improved. See below for more info.

Closing values for Friday, April 30, 2010:

(The previous day's closes are in parentheses.)

S&P 500 Über-Indicator (New!*):

1.08 (1.39)

Trend & Value 50:

1081.71 (1094.28)

China Small Cap ADR 25:

909.41 (931.60)

Precious Metals Complex:

5104 (5065)

Commodity ETFs:

2130 (2118)

BRIC Basic Materials:

1040.36 (1048.28)

Penny Banks:

1273.25 (1327.54)

Foreign Blend:

7262 (7427)

General Liquidity:

1039.43 (1042.48)

S&P 500 Momentum Composite:

21.07 (31.90)

S&P 500 Breadthalyzer:

.04 (.73)

S&P 500 Relative Volatility (New!*):

1.12 (.82)

S&P 500 Notional Volume:

$149,021,146,295 (135,241,468,071)

S&P 500 Notional Advance:

-$3,569,323,068 ($466,324,809)


* The new Über-Indicator is an equation derived from the daily values of the following three indicators:

1) S&P 500 Momentum Composite Index

2) S&P 500 Breadthalyzer

3) S&P 500 Relative Volatility Index

My original Ü-I was an equation involving an earlier version of the Momentum Composite Index, the NYSE and NASDAQ Arms Indexes, and the VIX.

The major reasons for changing the Ü-I was that I wanted the indicator to be derived exclusively from the price and volume action of S&P 500 components themselves. For whatever reason, no-one publishes an Arms Index just for the S&P, so my initial idea was to create one for the benchmark itself. But while I was at that task I got the idea for the Breadthalyzer, which shares similarities to an Arms Index, but in my view is much more robust and useful.

The next step in formulating the new Ü-I was to find a way to measure volatility among all the S&P components. I decided not to use the VIX for a couple reasons: 1) The VIX is a measurement of perceived or expected volatility for the S&P as a whole, but I wanted something that measured actual volatility amongst the 500 stocks themselves, and 2) I wanted the Ü-I to have a theoretically neutral value, e.g. 1.00. Since to my knowledge there is no 'neutral' level for the VIX, I couldn't include it in the Ü-I calculation and have a neutral Ü-I reference level.

My alternative was to devise the S&P 500 Relative Volatility Index (RVI), which I will explain more about another time.

The Ü-I as now formulated is then a rather complicated equation that attempts to account for changes in the technical standing of all S&P components, price and volume breadth within the index, as well as volatility among the components.

My hope is that the Über-Indicator proves useful as we continue to monitor the S&P 500, but I guess time will tell.