Index Update 17.10.2015

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 2015-10-16 png

index momentum best 50 2015-10-16 png

index momentum worst 365 2015-10-16 png

index momentum worst 50 2015-10-16 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-16 png

Refactored Index Performance

50-day performance, from August 05, 2015 through October 16, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +2.75% CNX PHARMA (CAP) +5.01%
CNX REALTY (EQUAL) +1.57% CNX REALTY (CAP) +0.57%
CNX IT (EQUAL) -2.27% NI15 (CAP) -0.58%
CNX ENERGY (EQUAL) -2.77% CNX MEDIA (CAP) -0.81%
NI15 (EQUAL) -2.84% NSE QUALITY 30 (CAP) -1.25%
NSE QUALITY 30 (EQUAL) -3.24% CNX IT (CAP) -1.61%
CNX MEDIA (EQUAL) -3.27% CNX FMCG (CAP) -3.15%
CNX INFRA (EQUAL) -3.74% CNX CONSUMPTION (CAP) -3.58%
CNX SERVICE (EQUAL) -4.38% CNX SERVICE (CAP) -3.76%
CNX FINANCE (EQUAL) -4.92% CNX FINANCE (CAP) -4.16%
LIX15 Midcap (EQUAL) -5.00% LIX15 Midcap (CAP) -5.06%
CNX CONSUMPTION (EQUAL) -5.13% CNX ENERGY (CAP) -5.38%
CNX COMMODITIES (EQUAL) -5.94% CNX BANK (CAP) -5.47%
LIX 15 (EQUAL) -6.50% CNX AUTO (CAP) -5.94%
NV20 (EQUAL) -6.72% NV20 (CAP) -6.15%
CNX BANK (EQUAL) -6.74% CNX COMMODITIES (CAP) -7.72%
CNX PSE (EQUAL) -7.40% LIX 15 (CAP) -7.98%
CNX AUTO (EQUAL) -7.49% CNX MNC (CAP) -8.60%
CPSE INDEX (EQUAL) -8.32% CNX INFRA (CAP) -9.06%
CNX PSU BANK (EQUAL) -8.45% CNX PSE (CAP) -9.41%
CNX MNC (EQUAL) -8.57% CNX PSU BANK (CAP) -9.89%
CNX FMCG (EQUAL) -8.98% CPSE INDEX (CAP) -10.29%
CNX METAL (EQUAL) -10.22% CNX METAL (CAP) -13.97%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
9.15
2015-Jan-27
CNX BANK SHORT
12.86
2015-Jan-27
CNX COMMODITIES LONG
34.08
2008-Jan-04
CNX CONSUMPTION SHORT
5.14
2015-Aug-05
CNX ENERGY LONG
32.46
2008-Jan-14
CNX FMCG SHORT
8.34
2015-Feb-25
CNX INFRA LONG
51.93
2008-Jan-09
CNX IT LONG
88.13
2000-Feb-21
CNX MEDIA LONG
15.16
2008-Jan-04
CNX METAL LONG
65.79
2008-Jan-04
CNX MNC SHORT
9.23
2015-Aug-10
CNX NIFTY SHORT
8.43
2015-Mar-03
CNX PHARMA SHORT
4.54
2015-Apr-08
CNX PSE LONG
32.11
2008-Jan-04
CNX PSU BANK SHORT
39.36
2010-Nov-05
CNX REALTY SHORT
90.28
2008-Jan-14
CNX SERVICE SHORT
9.35
2015-Mar-03
A retracement is underway for most indices. CNX 100 broke about its 50-day SMA, activating the Tactical CNX 100 Theme. With most companies yet to announce their results, curb your enthusiasm.