Market returns emerge at the intersection of "state of the world" and "state of the market." Carpenter metrics address the state of the market--not in every dimension, but in useful and novel dimensions. Sound state-metrics give you reliable inference of tactical probabilities.
Carpenter metrics are developed and applied with the DejaVu screening model. DejaVu identifies market states of high consistency and statistically significant probability.
The metrics below represent high-value market measures. We track them continuously. Click left column links for further metrics descriptions and examples.
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Core Indexes exclude "noise" level returns and also outlier abnormalities. The Cores show what's going on in the bulk of the action. NYSE and Nasdaq each has its own Core, and both are highly productive in CoreTrends. |
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DVAX (Dispersion Variance Index) measures cross-sectional returns dispersion. Dispersion is a key component of aggregate market volatility, with significant (occasional) directional implications. |
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"Fluidity" shows whether advancing or declining stocks are flowing more readily. NYSE and Nasdaq stocks are compiled separately. NY Net Fluidity is the series underlying PDQ. |
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This series tracks actual volatility of the S&P 500, as a companion to the VIX (implied options volatility). Sigma500 allows analysis of joint volatility (implied and actual), for stronger inference than either one by itself. |
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As with overall dispersion in DVAX, Sector Dispersion is measured in SVAX. High sector dispersion adds opportunity for differential sector weights. |
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Trend Quality Index analyzes the sequential structure of daily returns. TQI ranges from -1 to +1, with high readings generally favorable for momentum strategies. TQI identifies trendy market behavior by stock, sector, style, industry, or ETFs and funds. |
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The XUB metrics track the upside and downside energy in daily returns distributions. NYSE and Nasdaq are tracked separately. |
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For further information on any of these market metrics, use the checklist below, or at the master list of Analytix Services. For fully customized projects, click on Contact and leave a message Or call directly any time, at (603) 643-6430. |
