The TOGGLE Leading Indicator

The TOGGLE Leading Indicator of 5,000 US stocks is an aggregated breadth measure of how many insights produced by TOGGLE are bearish or bullish.

The intuition behind the indicator is that when TOGGLE insights tend to be for the majority bullish, pressures on the aggregate market are to the upside. And vice versa of course.

Performance so far (updated: Jan 30th, 2022)

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 to 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.

How to read the charts below

The first chart shows SPX overimposed on blue and red bars. The bars represent moments when the TLI reached bullish (blue) or bearish (red) thresholds, set at 0.15 and -0.15 respectively.

The second 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-to-min returns experienced by SPX.

The third chart (bottom-left) is the scatterplot version of the second chart. It additionally shows the maximum and minimum returns one can expect based on the relationship between TLI and SPX in the past.

The fourth chart (bottom-right) finally shows the Granger correlation analysis of the TLI vs SPX returns. The 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. In other words, this chart seeks to confirm the TLI is a leading indicator rather than a coincident one.