NAAIM

[flalaw97]

Hovering in the low 50's - still no direction.

[TABLE="width: 520"]
[TR]
[TD]Date
[/TD]
[TD]NAAIM Number Mean/Average
[/TD]
[TD]Bearish
[/TD]
[TD]Quart1
[/TD]
[TD]Quart2
[/TD]
[TD]Quart3
[/TD]
[TD]Bullish
[/TD]
[TD]Deviation
[/TD]
[/TR]
[TR]
[TD]11/09/2022
[/TD]
[TD]53.33
[/TD]
[TD]-100
[/TD]
[TD]42.50
[/TD]
[TD]52.50
[/TD]
[TD]86.25
[/TD]
[TD]200
[/TD]
[TD]54.63
[/TD]
[/TR]
[TR]
[TD]11/02/2022
[/TD]
[TD]54.57
[/TD]
[TD]-100
[/TD]
[TD]38.00
[/TD]
[TD]60.00
[/TD]
[TD]90.00
[/TD]
[TD]200
[/TD]
[TD]59.48
[/TD]
[/TR]
[TR]
[TD]10/26/2022
[/TD]
[TD]53.91
[/TD]
[TD]-50
[/TD]
[TD]23.75
[/TD]
[TD]50.00
[/TD]
[TD]76.25
[/TD]
[TD]200
[/TD]
[TD]54.08
[/TD]
[/TR]
[TR]
[TD]10/19/2022
[/TD]
[TD]43.28
[/TD]
[TD]-40
[/TD]
[TD]0.00
[/TD]
[TD]42.00
[/TD]
[TD]65.00
[/TD]
[TD]200
[/TD]
[TD]55.43
[/TD]
[/TR]
[TR]
[TD]10/12/2022
[/TD]
[TD]19.84
[/TD]
[TD]-100
[/TD]
[TD]0.00
[/TD]
[TD]5.00
[/TD]
[TD]47.50
[/TD]
[TD]200
[/TD]
[TD]59.65
[/TD]
[/TR]
[TR]
[TD]10/05/2022
[/TD]
[TD]38.11
[/TD]
[TD]-80
[/TD]
[TD]0.00
[/TD]
[TD]40.00
[/TD]
[TD]75.00
[/TD]
[TD]200
[/TD]
[TD]58.96
[/TD]
[/TR]
[TR]
[TD]09/28/2022
[/TD]
[TD]12.61
[/TD]
[TD]-150
[/TD]
[TD]0.00
[/TD]
[TD]9.63
[/TD]
[TD]40.00
[/TD]
[TD]200
[/TD]
[TD]66.88
[/TD]
[/TR]
[TR]
[TD]09/21/2022
[/TD]
[TD]29.59
[/TD]
[TD]-100
[/TD]
[TD]0.00
[/TD]
[TD]20.00
[/TD]
[TD]54.00
[/TD]
[TD]200
[/TD]
[TD]60.97
[/TD]
[/TR]
[TR]
[TD]09/14/2022
[/TD]
[TD]33.86
[/TD]
[TD]-122
[/TD]
[TD]0.00
[/TD]
[TD]40.00
[/TD]
[TD]77.50
[/TD]
[TD]200
[/TD]
[TD]70.46
[/TD]
[/TR]
[TR]
[TD]09/11/2022
[/TD]
[TD]53.33
[/TD]
[TD]-100
[/TD]
[TD]42.50
[/TD]
[TD]52.50
[/TD]
[TD]86.25
[/TD]
[TD]200
[/TD]
[TD]54.63
[/TD]
[/TR]
[TR]
[TD]09/11/2022
[/TD]
[TD]53.33
[/TD]
[TD]-100
[/TD]
[TD]42.50
[/TD]
[TD]52.50
[/TD]
[TD]86.25
[/TD]
[TD]200
[/TD]
[TD]54.63
[/TD]
[/TR]
[/TABLE]

 

[flalaw97]

Inching slightly higher
[TABLE="class: widefat page fixed, width: 520"]
[TR]
[TD="align: center"]Date[/TD]
[TD="class: naaimaverage, align: center"]NAAIM Number Mean/Average[/TD]
[TD="align: center"]Bearish[/TD]
[TD="align: center"]Quart1[/TD]
[TD="align: center"]Quart2[/TD]
[TD="align: center"]Quart3[/TD]
[TD="align: center"]Bullish[/TD]
[TD="align: center"]Deviation[/TD]
[/TR]
[TR]
[TD="align: center"]11/16/2022[/TD]
[TD="align: center"]64.96[/TD]
[TD="align: center"]-100[/TD]
[TD="align: center"]45.00[/TD]
[TD="align: center"]70.00[/TD]
[TD="align: center"]100.00[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]60.66[/TD]
[/TR]
[TR]
[TD="align: center"]11/09/2022[/TD]
[TD="align: center"]53.33[/TD]
[TD="align: center"]-100[/TD]
[TD="align: center"]42.50[/TD]
[TD="align: center"]52.50[/TD]
[TD="align: center"]86.25[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]54.63[/TD]
[/TR]
[TR]
[TD="align: center"]11/02/2022[/TD]
[TD="align: center"]54.57[/TD]
[TD="align: center"]-100[/TD]
[TD="align: center"]38.00[/TD]
[TD="align: center"]60.00[/TD]
[TD="align: center"]90.00[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]59.48[/TD]
[/TR]
[TR]
[TD="align: center"]10/26/2022[/TD]
[TD="align: center"]53.91[/TD]
[TD="align: center"]-50[/TD]
[TD="align: center"]23.75[/TD]
[TD="align: center"]50.00[/TD]
[TD="align: center"]76.25[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]54.08[/TD]
[/TR]
[TR]
[TD="align: center"]10/19/2022[/TD]
[TD="align: center"]43.28[/TD]
[TD="align: center"]-40[/TD]
[TD="align: center"]0.00[/TD]
[TD="align: center"]42.00[/TD]
[TD="align: center"]65.00[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]55.43[/TD]
[/TR]
[TR]
[TD="align: center"]10/12/2022[/TD]
[TD="align: center"]19.84[/TD]
[TD="align: center"]-100[/TD]
[TD="align: center"]0.00[/TD]
[TD="align: center"]5.00[/TD]
[TD="align: center"]47.50[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]59.65[/TD]
[/TR]
[TR]
[TD="align: center"]10/05/2022[/TD]
[TD="align: center"]38.11[/TD]
[TD="align: center"]-80[/TD]
[TD="align: center"]0.00[/TD]
[TD="align: center"]40.00[/TD]
[TD="align: center"]75.00[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]58.96[/TD]
[/TR]
[TR]
[TD="align: center"]09/28/2022[/TD]
[TD="align: center"]12.61[/TD]
[TD="align: center"]-150[/TD]
[TD="align: center"]0.00[/TD]
[TD="align: center"]9.63[/TD]
[TD="align: center"]40.00[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]66.88[/TD]
[/TR]
[TR]
[TD="align: center"]09/21/2022[/TD]
[TD="align: center"]29.59[/TD]
[TD="align: center"]-100[/TD]
[TD="align: center"]0.00[/TD]
[TD="align: center"]20.00[/TD]
[TD="align: center"]54.00[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]60.97[/TD]
[/TR]
[TR]
[TD="align: center"]09/14/2022[/TD]
[TD="align: center"]33.86[/TD]
[TD="align: center"]-122[/TD]
[TD="align: center"]0.00[/TD]
[TD="align: center"]40.00[/TD]
[TD="align: center"]77.50[/TD]
[TD="align: center"]200[/TD]
[TD="align: center"]70.46[/TD]
[/TR]
[/TABLE]

 

[Bullitt]

From @MarkArbeter

The NAAIM Index is at 99%, its highest reading since 11/2021. That index can move to the 100%-120% area before the market corrects. But looking back since the index was started in 7/2006, 99% is relatively high -- hit in early 2007, early 2013, late 2013, early 2015, August and December of 2016, September and December of 2017, June 2018, and almost the entire period from 8/2020 until 11/2021.

Sometimes a high reading leads to a small pullback, other times it can lead to a major correction, and other times it leads to absolutely nothing.

 

[coolhand]

From @MarkArbeter

His comments are on target and well worth noting. The high reading can persist for weeks to months and the outcome is still anything but certain. And if the market continues to rally despite the high readings, who loses out?

 

[Bullitt]

The NAAIM backtest

In our backtest we make the following rules in plain English (actually it’s two backtests):

1. Make a 10-week moving average of the NAAIM index.
2. If the last weekly NAAIM reading is below the 10-week average, stay long S&P 500 the following week. Sell when reading ends up above its average.
3. If the last weekly NAAIM reading is above the 10-week average, stay long S&P 500 the following week. Sell when reading ends up below its average.

https://www.quantifiedstrategies.com/naaim-strategy/

 

[Bullitt]

Exposure dropped to the lowest level of the year at 34.9. Rather large drop considering the reading was 101 a month ago.

Looking back at historical charts, readings in the 20-30 range have marked bottoms.

 

[Bullitt]

Another weekly drop from 43 to 36.2.

NAAIM making another run at buy territory in the sub-30's after bouncing in August.

 

[shitepoke]

B...can you explain to this layman what you mean. I thought the drop in number was bearish or does that put it into buy territory? Thanks ahead for your insight...
Eric

 

[Bullitt]

Every sentiment indicator is contrarian (except for the OEX put/call ratio) which means you do the opposite when the reading is extreme. The thought is if everyone is getting too bearish, it raises the chances of a turn positive.

When the NAAIM Exposure Index is very low, it indicates that active managers are very bearish and have reduced their exposure to the market, which could signal a market bottom and a potential rally.

For NAAIM, on October 3, 2022 the reading was below 15. The next week was the bottom. Same for March 16, 2020 reading below 15. The bottom came the next week.

 

[Bullitt]

Latest reading 102.7.

Last time it was this high was November 2021.