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Volume-weighted GR estimator as a technical indicator.
The cybernetics of risk is applied to the GR-Estimator as a technical indicator for the (NDX) (> $ 15T of market capitalization) which includes the volume of transactions and the segments of the golden ratio as input parameters, calculated with genetic optimization.
The quantification of risk is probably the most important activity for investments. Both the public and private sectors spend millions to strengthen infrastructure to improve risk management processes.
Here we provide the volume-weighted GR estimator (VWGRE or vGRE *) which helps to account for self-fulfilling prophecy in technical analysis.
First, here is a summary of the most commonly used volume related technical indicators.
Positive volume index (PVI) provides signals for price changes based on positive increases in trading volume. PVI helps gauge the strength of the trend and potentially confirm price reversals. PVI follows the crowd, whose activity is usually associated with higher volume days. Crowds generally lose money, or fairs less well than professional traders.
Negative volume index (NVI) examines the low volume days, which are associated with the activity of professional traders, not the crowds. Therefore, NVI shows what “smart money” does.
Volume at equilibrium (OBV) is a running total of positive and negative volumes, depending on whether today’s price was higher or lower than yesterday’s price, respectively. OBV is a technical indicator of momentum, using changes in volume to make price predictions. OBV shows the sentiment of the crowd which can predict a bullish or bearish outcome.
Trade volume index (TVI) is a technical indicator that moves significantly in the direction of a price trend when large price and volume changes occur simultaneously. Unlike many technical indicators, TVI is usually created using intraday price data.
Intraday Intensity Index (III) is used to track the influence of volume on the price of a security. The index uses the most recent close, high and low of a security in its calculation while also factoring in volume. For example, when intraday highs and lows exceed the closing price with volume, then the index will move strongly negative.
Volume Weighted Average Price (VWAP) is an important tool for tracking the average price of a security over a period of time.
Typically, traders and analysts use the standard VWAP, which calculates the price based on all trading day orders. Traders use the VWAP to remove noise that occurs throughout the day, so they can assess the prices at which buyers and sellers are actually trading on the stock or in the market.
Mobile Volume Weighted Average Price (MVWAP) is a user-defined average of VWAP calculations and has no final value because it can run smoothly from day to day.
MVWAP can be used by longer term traders, but VWAP only looks one day at a time due to its intraday calculation. Both indicators are a special type of price averaging that takes volume into account, which provides a much more accurate view of price action.
The volume-weighted GR estimator (VWGRE) integrates a random parameter optimization function based on the Golden-Ratio (GR) where GR≈1.618.
The following graphic shows the NDX: VWGRE from 1-Oct-85 to 2-Jul-21.
NDX: VWGRE from October 1, 1985 to July 2, 2021
NDX: VWGRE from January 1, 2018 to July 2, 2021
Open price, high price, low price, close price entries are divided into line segments a and b or:
a = | minimum price minus average price |
b = | average price minus maximum price |
where a> b: hypothetical ratio = 1.618
where b> a: hypothetical ratio = 0.618
We then calculate the genetic factor (GF) via our proprietary genetic optimization process where the estimate of the GF is an optimal result optimized between 0 and 1.618 subject to the calculation. a and b given as constraints.
NDX candlestick chart
NDX VWGRE from January 1, 2021 to July 2, 2021
The GR-Estimator (GRE) is calculated as GF / GR and the VWGRE is the adjusted (GF / GR) for easy reference, multiplied by the volume of trade during that period.
The VWGRE is therefore a technical indicator that reflects the potential change in volume weighted price and any spike represents a potential downside which can be a sell or a potential exit while a decline represents a potential rise which can be a good one. entry point.
This serves as a control along with other familiar technical indicators and tackles the self-fulfilling prophecy debate with volume-weighted optimization.
Daily-VWGRE’s database on NASDAQ 100 (the best performing index of the past decade with over 18% annualized returns without leverage) and other value-added statistics are released weekly every Monday from October 1985 in Finamatrix.AI with password protection (password sharing is prohibited with IP tracking).
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