GLI [BBS + M2] Fair Value Analysis - Regression

7 hari lalu

GLI [BBS + M2] Fair Value Analysis – Regression Forecast
This indicator provides a regression-based fair value model that forecasts asset prices using a custom-built Global Liquidity Index (GLI) derived from central bank balance sheets (BBS) and M2 money supply across major economies.

🔍 Core Concept
The indicator performs a linear regression between:

• Today's GLI (independent variable)
  
• Asset price "n" days later (dependent variable)
  
• This leads to a forecasted fair value, along with ±1, ±2, and ±3 standard deviation bands to visualize potential overbought/oversold conditions or market dislocations.
  

🧮 GLI Composition
GLI is computed from:

• 🇺🇸 US, 🇯🇵 Japan, 🇨🇳 China, 🇪🇺 Eurozone, 🇬🇧 UK central bank balance sheets
  
• M2 Money Supply from the same regions
  
• Reverse repo (RRP) and the US Treasury General Account (WT)
  

⚙️ Customizable Inputs

• Lead (Days Offset): Defines how far forward the regression predicts asset prices
  
• Lookback: Determines the number of historical data points used in the regression calculation
  
• Optional Settings : Lead = 7, Lookback = 47
  

📈 Output

• Fair Value Line (Forecast)
  
• ±1 to ±3 Standard Deviation Bands
  
• Visual fill zones for clearer market deviation context
  

📌 How to Use

• Use the forecasted value as a fair value anchor to assess over/undervaluation.
  
• SD bands serve as a probabilistic range
  
• Especially useful in macro-driven markets and mid-long term strategic positioning.
  

⚠️ Note
This model is tailored for macro-aware traders and investors. Interpret with market context in mind, as liquidity signals are leading but not always precise in timing.

7 hari lalu

Nota Keluaran

GLI [BBS + M2] Fair Value Analysis – Regression Forecast
This indicator provides a regression-based fair value model that forecasts asset prices using a custom-built Global Liquidity Index (GLI) derived from central bank balance sheets (BBS) and M2 money supply across major economies.

🔍 Core Concept
The indicator performs a linear regression between:

• Today's GLI (independent variable)
  
• Asset price "n" days later (dependent variable)
  
• This leads to a forecasted fair value, along with ±1, ±2, and ±3 standard deviation bands to visualize potential overbought/oversold conditions or market dislocations.
  

🧮 GLI Composition
GLI is computed from:

• 🇺🇸 US, 🇯🇵 Japan, 🇨🇳 China, 🇪🇺 Eurozone, 🇬🇧 UK central bank balance sheets
  
• M2 Money Supply from the same regions
  
• Reverse repo (RRP) and the US Treasury General Account (WT)
  

⚙️ Customizable Inputs

• Lead (Days Offset): Defines how far forward the regression predicts asset prices
  
• Lookback: Determines the number of historical data points used in the regression calculation
  

📈 Output

• Fair Value Line (Forecast)
  
• ±1 to ±3 Standard Deviation Bands
  
• Visual fill zones for clearer market deviation context
  

📌 How to Use

• Use the forecasted value as a fair value anchor to assess over/undervaluation.
  
• SD bands serve as a probabilistic range
  
• Especially useful in macro-driven markets and mid-long term strategic positioning.
  

⚠️ Note
This model is tailored for macro-aware traders and investors. Interpret with market context in mind, as liquidity signals are leading but not always precise in timing.

7 hari lalu

Nota Keluaran

Deleted

7 hari lalu

Nota Keluaran

Updated back again
Mess up with the notes cause this is my first published indicator