Saturday, August 08, 2009

Thoughts on Market Indicators

Many of the indicators that I have found most helpful in the stock market have focused on part/whole relations. For example, I like to look at how many stocks in an average are making new highs and new lows; how many are displaying upside and downside momentum; etc. I find that internal shifts in these numbers tend to precede moves in the averages themselves.

To what degree could we replicate such indicators within the universe of commodities? Among a basket of highly traded currencies? Across bonds of given maturities and across maturities?

Oddly, I have seen little such analytic work undertaken. At a time when asset classes themselves have become more correlated, it may be time to broaden the universe of market indicators.