Time Series Terminal’s Newsletter

Share this post
As of 2022-04
tsterm.substack.com

As of 2022-04

Time Series Terminal
Apr 20
Share this post
As of 2022-04
tsterm.substack.com

As of 2022-04-19, for 2 day ahead prediction, the most important predictors for 5-, 10-, 20-, 30-Year US Real Interest Rates are

  • T-Mobile US TMUS (telecommunications)

  • Checkpoint Software CHKP (tech)

  • Microsoft MSFT (tech)

If we add BTCUSD, ETHUSD to the targets of interest rates, the most important predictive factors for them all become solely

  • GameStop GME (social trading)

Real Interest is the nominal interest rate minus market-expected inflation. On FRED, one could find data for US Real Interest Rates under the title of “nn-Year Treasury Inflation-Indexed Security”.

On the side of equity, the most important predictive factors driving QQQ, SPY, DIA for 2 day ahead prediction are

  • iShares MSCI Japan ETF EWJ (Japan)

  • Xcel Energy Inc (clean energy)

If we add BTCUSD, ETHUSD to the targets of equity ETFs, the most important predictive factors become

  • iShares MSCI Japan ETF EWJ (Japan)

  • GameStop GME (social trading)

Why Japan? According to the computational engine, it itself is being driven by

  • Idexx IDXX (medical testing)

  • iShares MSCI Japan ETF EWJ (Japan, ie its own trend)

  • Activision Blizzard ATVI (gaming)

  • CSX (transportation)

  • Exxon Mobil XOM (energy)

  • NXP Semiconductors NXPI (industrial, semiconductor)

  • General Motors GM (industrial)

  • Zoom ZM (tech, pandemic-linked)

  • Honeywell HON (industrial)

  • O’Reilly Automotive ORLY (consumer)

  • Pfizer PFE (pharmaceutical)

So Japan could be viewed as an indicator of how major Western industries are doing.

Share this post
As of 2022-04
tsterm.substack.com
Comments

Create your profile

0 subscriptions will be displayed on your profile (edit)

Skip for now

Only paid subscribers can comment on this post

Already a paid subscriber? Sign in

Check your email

For your security, we need to re-authenticate you.

Click the link we sent to , or click here to sign in.

TopNew

No posts

Ready for more?

© 2022 Time Series Terminal
Privacy ∙ Terms ∙ Collection notice
Publish on Substack Get the app
Substack is the home for great writing