Index Update 25.07.2015

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2015-07-24 png

index momentum best 50 2015-07-24 png

index momentum worst 365 2015-07-24 png

index momentum worst 50 2015-07-24 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-24 png

Refactored Index Performance

50-day performance, from May 18, 2015 through July 24, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
6.90
2015-Jan-27
CNX BANK SHORT
9.34
2015-Jan-27
CNX COMMODITIES SHORT
27.83
2008-Jan-04
CNX CONSUMPTION LONG
0.49
2015-Jul-22
CNX ENERGY LONG
25.60
2008-Jan-14
CNX FMCG SHORT
8.93
2015-Feb-25
CNX INFRA SHORT
46.63
2008-Jan-09
CNX IT LONG
88.00
2000-Feb-21
CNX MEDIA LONG
19.72
2008-Jan-04
CNX METAL SHORT
60.84
2008-Jan-04
CNX MNC SHORT
0.95
2015-Jul-16
CNX NIFTY LONG
5.28
2015-Mar-03
CNX PHARMA LONG
11.60
2015-Apr-08
CNX PSE LONG
23.77
2008-Jan-04
CNX PSU BANK SHORT
39.09
2010-Nov-05
CNX REALTY LONG
90.87
2008-Jan-14
CNX SERVICE LONG
6.07
2015-Mar-03
Index momentum seems to have leveled off. Are we seeing a near-term top? NIFTY is still 5% below its April top…

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