Monday Market States

Trends emerge from the state of the world and the state of the market.  The state of the world is driven by "news."  The state of the market is driven by investor experience and reflected in pricing response to the state of the world.  Similar states tend to similar fates.

Market metrics represent extracts of market states.  Some state sets have histories known to be productive.   These are "Defined Set States."

Defined sets are defined in individual studies, and generally remain stable over months and years.  Individual strategies therefore have individual performance histories.  "Rates" column shows index percent change from state change to posting date.   States in bold indicate status change this past week.

"Defined Set" Market States (as of 12/26/08):

Sets Dates States Rates
PDQ
081205 Positive -0.37%
X-Section
081217 Neutral n.a.
NYSE Core
081125 Positive +1.79%
Nasdaq Core
081126 Positive -0.12%%

We also scan for prior occurrence of current conditions, "however they may be."  When sizeable, numerous and consistent, outcomes from prior occasions may be statistically significant.  Significance is the minimum condition for valid precedent.  (See DejaVu pages for more.)  These daily scans are "A La Carte" states.

Significance State Scans (as of 12/26/08):

None of the state scans turns up statistically significant readings

Metrics Cluster Signif Pos Signif  Neg
NYSE Fluidity (3)
0 1
Nasdaq Fluidity (3)
0 0
Index Moms (3)
0 0
Index TQIs (3)
1 1
Volatilities (3)
2 0
NYSE XUBerance (2)
0 0
Nasdaq XUBerance (2)
0 1
X-Sections (2)
0 1
Core Indexes (2)
0 1
Total (of 23)
3+ 5-

For a-la-carte states, DejaVu scans all 23 series daily, screening for prior occasions of current values.  Directional average outcome is insufficient.  Outcomes must be sizeable, numerous and consistent to achieve significance.

This page is scheduled for next posting January 5, 2009.

The five defined set MarketStates and 23 a-la-carte significance states are updated daily.  Recent states are posted here weekly.  To receive e-mail notices of Market Remarks, send a request at the Services page.

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