The Weekly Market Sentiment Report: 14th May - 21st May 2023
The Weekly Market Sentiment Report: 14th May - 21st May 2023
The Weekly Market Sentiment Report: 14/05/2023 - 21/05/2023
CONTENTS
EVOLUTION OF THE REPORT
ECONOMIC CALENDAR
THE PUT-CALL RATIO SENTIMENT STRATEGY
THE GAMMA EXPOSURE INDEX (THE WHITE INDEX)
THE AMERICAN ASSOCIATION OF INDIVIDUAL INVESTORS
THE COMMITMENT OF TRADERS REPORT: NORMALIZED VALUES
BITCOIN’S FEAR AND GREED STRATEGY
THE ISM PMI: THE CEO’S SENTIMENT
THE UNIVERSITY OF MICHIGAN CONSUMER SENTIMENT INDEX
DISCLAIMER
EVOLUTION OF THE REPORT
This report will grow in time due to feedback and new techniques put into place. You may notice new markets added or other markets removed. Similarly, new techniques and strategies may be added or having their presentation changed so that everyone benefits from this report. Make sure you contact me for your feedback (i.e. nature of the document, its usefulness, its time interval, its content, language, etc.).
At the moment, the future changes over the coming months can be summed up as follows:
Adding the Bullish Percentage Index, a collection of individual technical indicators calculated on each stock of the S&P 500. Following this, a global index is constructed in order to calculate the current sentiment.
Adding the COT Pattern Recognition System: This is a pattern recognition algorithm on the values of the COT.
ECONOMIC CALENDAR
THE PUT-CALL RATIO SENTIMENT STRATEGY
The equity put-call ratio published by the CBOE gives insights to the current market stress. Historically, the correlation with the stock market (S&P 500) has been intuitively negative with around -0.40 correlation using the Spearman rank correlation coefficient (with -0.32 correlation given using the Pearson correlation coefficient). Similarly, the maximal information coeffcient (MIC) which measures the degree of non-linear relationship has given 0.20 which suggests there is a relationship between the two time series (whether negative or positive).
The strategy uses a type of mean-reversion technique on the put-call ratio to derive signals. The performance of the sentiment model is found below.
