Index Update 04.07.2015

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 2015-07-03 png

index momentum best 50 2015-07-03 png

index momentum worst 365 2015-07-03 png

index momentum worst 50 2015-07-03 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-03 png

Refactored Index Performance

50-day performance, from April 24, 2015 through July 03, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.66
2015-Jan-27
CNX BANK SHORT
8.88
2015-Jan-27
CNX ENERGY SHORT
25.33
2008-Jan-14
CNX FMCG LONG
9.20
2015-Feb-25
CNX INFRA LONG
46.95
2008-Jan-09
CNX IT LONG
88.27
2000-Feb-21
CNX MEDIA LONG
23.15
2008-Jan-04
CNX METAL LONG
58.71
2008-Jan-04
CNX MNC LONG
1.66
2015-Mar-12
CNX NIFTY SHORT
5.68
2015-Mar-03
CNX PHARMA LONG
11.32
2015-Apr-08
CNX PSE LONG
23.84
2008-Jan-04
CNX REALTY SHORT
90.35
2008-Jan-14
50-day performance turns green for most indices and the MNCs have more or less covered their draw-downs. Looks like financials and FMCG have found their mojo. Will the markets keep their trend?

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