The TOGGLE Leading Indicator
Last updated Feb 22nd, 2022
The TOGGLE Leading Indicator of 5,000 US stocks is the aggregated measure of all insights produced by TOGGLE on US stocks.
When TOGGLE produces more bullish insights, pressures on the aggregate market are to the upside. And vice versa of course.
We have been studying the indicator throughout 2021 and observed that the indicator appears to correctly point to upside or downside risk in the broad market.
When the indicator rallies above 0.15 or falls below -0.15, then the chance of upside or downside moves respectively becomes higher statistically.
Where can I find the TLI?
The TLI is currently only available in the Friday Edition of the TOGGLE Daily Brief. Work is underway to bring the indicator in-app.
What is the track record of the TLI?
The chart below shows our statistical assessment of how good the TLI has been since inception in January 2021.
- The top chart shows the TLI moved to the right by 12 days, and compared with the performance range of SPX. To be precise, the orange area shows the range of max and min returns experienced by SPX over a period of 12 days.
- The bottom-left chart is the scatterplot version of the top chart: it shows the TLI on the X axis and the 12-days max and min return of SPX on the Y axis.
- The bottom-right chart shows the Granger correlation analysis of the TLI vs SPX returns. The orange line shows the correlation between TLI and SPX when the TLI is shifted forward from 5 days to 25 days.
The bottom-right chart confirms that - for the period under study - the TLI had a higher correlation with future returns of SPX rather than with its current returns.