321 inputs in 18 groups
Sources
Everything the model sees, by group. All of it is free, public data, stored with the date each figure first became public.
| Group | What it is | Inputs | Filled | From | Score without it | Score with it alone |
|---|---|---|---|---|---|---|
| activity | Industrial output, orders, retail sales, vehicle sales, sentiment | 39 | 100% | December 1999 | -0.019 | -0.042 |
| calendar | The month of the year | 1 | 100% | December 1999 | – | – |
| commodities | Oil, gas, metals and grain prices | 40 | 100% | December 1999 | +0.010 | -0.049 |
| credit | Corporate bond spreads, financial stress, bank lending | 34 | 70% | December 1999 | +0.007 | -0.069 |
| fear | Expected against delivered market volatility, and policy uncertainty | 10 | 100% | December 1999 | -0.009 | -0.082 |
| filings | Combined profit, growth, debt, buybacks and share issuance of the sector's companies | 16 | 64% | July 2009 | -0.019 | -0.011 |
| freight | Rail, truck, air and freight indexes | 33 | 86% | December 1999 | – | – |
| housing | Housing starts and permits | 8 | 100% | December 1999 | – | – |
| identity | Which sector the row is, so each can respond in its own way | 11 | 100% | December 1999 | – | – |
| inflation | Consumer and producer prices | 12 | 100% | December 1999 | – | – |
| insider | Buying and selling by officers and directors of the sector's companies | 4 | 72% | January 2006 | – | – |
| labour | Jobs, unemployment and jobless claims | 17 | 100% | December 1999 | – | – |
| links | Every other sector's latest month against the market | 11 | 89% | December 1999 | – | – |
| money | Money supply, the Fed's balance sheet and federal spending | 17 | 73% | December 1999 | – | – |
| prices | Each sector's and the market's recent returns, volatility and distance below recent highs | 21 | 100% | December 1999 | – | – |
| rates | Interest rates and the shape of the yield curve | 30 | 100% | December 1999 | – | – |
| short | How heavily the sector's companies are sold short | 4 | 36% | April 2018 | – | – |
| trade | Trade balance, imports and the dollar | 13 | 85% | December 1999 | – | – |
The last two columns are the model's rank correlation over the scored months when that group is left out, and when it is the only group used. With every group the score is -0.002. Differences of a few hundredths are within noise.
Where it comes from
- Prices
- Daily closes of the sector funds and the S&P 500 fund, adjusted for dividends and splits (Yahoo Finance).
- Economy
- 58 series from the St. Louis Fed (FRED), taken from its archive of original releases so each month sees the figures as first published.
- Filings
- SEC financial statement data sets: annual and quarterly reports of every US-listed company, summed by sector.
- Insiders
- SEC insider transaction data sets: open-market purchases and sales by officers and directors.
- Short interest
- FINRA's twice-monthly short interest for every listed security.
More groups are being added: futures positioning, weekly industry activity, jobs and prices by industry, trade, credit, government contracts, patents, news attention.