Market potential indicator

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Market potential indicator

Indeed, there has been very little in the way of academic research into the concept of any kind, which is strange considering how compelling are the results it is capable of producing.

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He confirms that low IBS values in these assets are associated with high returns in the following day session, while high IBS values are associated with low returns.

Average returns when IBS is below 0. According to his research, this effect has been present in equity ETFs since the early 90s and has been highly consistent through time. The strategy buys at the close when IBS is below 0.

There are some indications that the latter holds true, but the evidence is not quite definitive. The equity curve appears to have penetrated the lower bound, indicating a statistically significant deterioration in the performance of the IBS strategy for SPY over the last year or so EWS is similar.

XOM being a case in point see below. It is clear from his research that high volatility is related to increased predictability of returns and a more powerful IBS effect, in particular the high IBS-negative return aspect.

Market potential indicator

As might be expected, the effect is also larger after days with high range, both for high and low IBS extremes. The size of the effect is roughly similar in each environment slightly larger in bear marketsbut it is greater in the direction of the overall trend: The day-of-week effect is weakest for Fridays.

The mean of the returns distribution is not the only aspect that IBS can predict.


Skewness also varies significantly between IBS buckets, with low IBS readings being followed by highly skewed returns, and vice versa. Close-to-close returns after a bottom-bucket IBS day have average skewness of 0. This finding has very useful risk management applications for investors concerned with tail risk.

What is 'Market Sentiment'

One alternative is to combine the IBS effect with mean reversion on longer timescales and only take trades when they align. For those interested, the code is as follows:Market Potential Indicators are statistics that are designed to help managers make decisions regarding expansion in to an emerging market.

Some examples are Market Size, Market Growth Rate. Market sentiment is the overall attitude of investors toward a particular security or financial market. Market sentiment is the feeling or tone of a market, or its crowd psychology, as revealed. The COT Indicator Suite for MetaTrader contains five indicators for displaying COT data onto your MetaTrader charts.

There are three sets of indicators for each of the three report types (legacy, disaggregated and TiFF). The data is plotted onto the weekly timeframe.

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We present in-depth analysis from over experienced analysts on. This is the short term trend indicator of the CrystalBull Stock Market Timing Model.

After analyzing all available market data, this is our best indicator for the current market direction, and used in the hypothetical results shown at the top right.

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