Up to the second "NFV" ~1168.24. SPX 1167.67. In between the above post and this one, it also tracked SPX identically, up and down. So: 1) The tracking appears to be nearly exact. 2) If this continues, then the question becomes, does my "NFV" have predictive (lead/lag) value? 3) Another intriguing possibility is that "NFV" and SPX coincide at market turns. If so, we may be signaling a new regime here, not necessarily down, but perhaps one with a more symmetric risk distribution instead of one with such strong auto-correlation. I am pretty sure that point 1 is not stationary, that is, it will go in and out of sync as market shifts regimes, so point 2 is likely to be premature at this point. It might still some have some statistical significance even during regime shifts (point 3), but that gives you stomach ulcers when actually traded during bad (not in sync) stretches. Still, knowing what regime the market is in is valuable, even if a blunt tool.
longs are done, this last rally with all the gaps was just a trip to the store for gs,unloading longs,loading up on shorts
"NFV" ~1170.14. SPX 1165.49 !! Can this be real? "NFV" above SPX? :eek: I need to take medicine to calm down I can't believe my eyes. I have to see how this plays out.
Up to the second "NFV" ~1177.60. SPX 1177.83. "NFV" is tracking SPX with scalpel like precision. Whether it has edge or not is another matter, but at least I have a working model, at this regime. If it loses tracking capability because of a shift to a new regime, and I am able to see what the varying inputs are that get it back to tracking, I can better understand what institutions are weighting as inputs. That has to be worth _something_ analytically.