Market Monitor

Our Market Monitor explained

We are publishing some of our data on social media, especially on twitter (@ComWyca). The intention is to get the data pushed instaed of pulling it. There is the classic technical analysis, where moving averages are used or different momentum indikators based on a single asset. 

With the market monitor we are analysing a set of stocks and grouping them in different ways to get a better understanding on sectors, countries and inter-market relations. 

In this article we would like to explain and give some details on the market monitor published on twitter.

General Comment

First, it gives only end-of-day data, so no intraday values are being published. 

Next, we are using here the 30 stocks listed in the Dow Jones Industrial Average Index as well as the stocks listed in the NASDAQ 100 as basis.

Advance/Decline

The first section is realted to the classic A/D analysis, meaning advance/decline. It indicates the ratio of how many stocks rose and how many fell. We differentiate between short-term (1 day), medium-term (5 days) and long-term (10 days). This subdivision is measured by the Advance / Declines on one day, the last five days and the last ten days. The according chart is the graphical representation of the long-term data and is also showing a 10 day sma.

Stocks above their ema

The 2nd section gives the ratio of stocks closing above their exponential moving averages. Again we are using three timespans for short (21 days), medium (50 days) and long-term (200 days). So a reading of EMA21: 72.36% shows that 72.36% of stocks in the underlying are closing above their individual 21 day ema. The related chart shows the data for mid-term and also has a 10 day simple moving average.

New Highs vs New Lows

The 3rd section shows New Highs vs New Lows. It specifies the ratio of how many new highs have been reached in relation to new lows. Like the Advance / Declines, these always relate to the specified time window. Here the last day, last month (last 4 weeks), and last 3 months (previous 12 weeks).

The graph is showing the CBOE VIX over the last three months.

VIX and Fear&Gread

Next we are showing the VIX value with the previous one. Same for the CNN fear and gred index.

Distribution of Momentum

Lastly, we are showing a graphic, highlighting the distribution of stock price momentum over the last days. The momentum of a stock can be classified in one of four quadrants:

• Up quadrant (u): Oscillator below the zero line and rising.
• Advancing quadrant (a): Oscillator above the zero line and rising.
• Down quadrant (d): Oscillator above the Zero line and declining.
• Terminating quadrant (t): Oscillator below the Zero Line and declining.

We do this on a daily, weekly and monthly momentum. Now you can count how many stocks in an index are in one specific quadrant. Take this for all four quadrants and show the distribution over time. This information can help understand if momentum in an index is rising or falling. We are showing here the analysis for daily momentum. The bar on the right shows the most recent one.