Author: stockviz

Index Update 07.11.2015

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 2015-11-06 png

index momentum best 50 2015-11-06 png

index momentum worst 365 2015-11-06 png

index momentum worst 50 2015-11-06 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-11-06 png

Refactored Index Performance

50-day performance, from August 25, 2015 through November 06, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.50
2015-Jan-27
CNX BANK LONG
16.88
2015-Jan-27
CNX COMMODITIES SHORT
35.50
2008-Jan-04
CNX CONSUMPTION SHORT
6.49
2015-Aug-05
CNX ENERGY SHORT
32.00
2008-Jan-14
CNX FMCG LONG
9.17
2015-Feb-25
CNX INFRA LONG
55.66
2008-Jan-09
CNX IT SHORT
87.97
2000-Feb-21
CNX MEDIA LONG
20.59
2008-Jan-04
CNX METAL LONG
68.69
2008-Jan-04
CNX MNC SHORT
9.63
2015-Aug-10
CNX NIFTY LONG
11.58
2015-Mar-03
CNX PHARMA LONG
11.60
2015-Apr-08
CNX PSE LONG
34.06
2008-Jan-04
CNX PSU BANK LONG
42.26
2010-Nov-05
CNX REALTY LONG
90.82
2008-Jan-14
CNX SERVICE LONG
12.09
2015-Mar-03
The DRL fiasco dinged the last samurai. Will FMCG lead from hear on out?

Theme: Velocity Update 02.11.2015

We rebalanced the Velocity (absolute momentum) Theme today. Here is how the previous portfolio performed.

Details

held since returns (%)
TATAELXSI
2015-Sep-04
+2.57
CAPLIPOINT
2015-Sep-04
-14.64
ICIL
2015-Sep-04
-0.71
RAJESHEXPO
2015-Sep-04
+38.69
GAYAPROJ
2015-Sep-04
+69.38
GMBREW
2015-Sep-04
+100.89
JUBILANT
2015-Sep-04
+25.98
JUBLINDS
2015-Sep-04
-13.27
SANGAMIND
2015-Sep-04
+9.25
BLISSGVS
2015-Sep-04
+9.06
RUSHIL
2015-Sep-04
+116.91
MIRZAINT
2015-Sep-04
+27.35
8KMILES
2015-Oct-06
-0.80
WELSPUNIND
2015-Oct-06
-20.21
DISHMAN
2015-Oct-06
-4.98
SRIPIPES
2015-Oct-06
+11.98
CHENNPETRO
2015-Oct-06
-8.09
TAKE
2015-Oct-06
+6.99
NCLIND
2015-Oct-06
+10.46
LYKALABS
2015-Oct-06
+36.62
Since the last rebalance on 2015-Oct-06 till 2015-Oct-30, this strategy has returned +3.22%

You can find more details about the Velocity Theme here.

Theme: Momentum Update 02.11.2015

We rebalanced the Momentum (relative momentum) Theme today. Here is how the previous portfolio performed.

Details

held since returns (%)
KEI
2015-Aug-10
-10.60
TATAELXSI
2015-Sep-07
+3.64
CAPLIPOINT
2015-Sep-07
-15.22
8KMILES
2015-Sep-07
+40.95
RAJESHEXPO
2015-Sep-07
+37.76
GAYAPROJ
2015-Sep-07
+69.07
SANGAMIND
2015-Sep-07
+12.68
BLISSGVS
2015-Sep-07
+8.05
SKMEGGPROD
2015-Sep-07
+33.08
TAKE
2015-Sep-07
+65.22
MIRZAINT
2015-Sep-07
+30.75
CANFINHOME
2015-Oct-06
+3.98
JKIL
2015-Oct-06
-10.38
SHASUNPHAR
2015-Oct-06
+2.80
JUBILANT
2015-Oct-06
+4.84
DISHMAN
2015-Oct-06
-5.30
JUBLINDS
2015-Oct-06
-20.69
TIRUMALCHM
2015-Oct-06
-21.34
HIMATSEIDE
2015-Oct-06
-5.67
NCLIND
2015-Oct-06
+10.65
Since the last rebalance on 2015-Oct-06 till 2015-Oct-30, this strategy has returned -3.15%

You can find more details about the Momentum Theme here.

Index Update 31.10.2015

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 2015-10-30 png

index momentum best 50 2015-10-30 png

index momentum worst 365 2015-10-30 png

index momentum worst 50 2015-10-30 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-30 png

Refactored Index Performance

50-day performance, from August 18, 2015 through October 30, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
11.07
2015-Jan-27
CNX BANK LONG
15.57
2015-Jan-27
CNX COMMODITIES SHORT
35.27
2008-Jan-04
CNX CONSUMPTION SHORT
6.47
2015-Aug-05
CNX ENERGY SHORT
32.57
2008-Jan-14
CNX FMCG LONG
9.76
2015-Feb-25
CNX INFRA LONG
54.74
2008-Jan-09
CNX IT LONG
87.97
2000-Feb-21
CNX MEDIA LONG
18.27
2008-Jan-04
CNX METAL SHORT
67.13
2008-Jan-04
CNX MNC SHORT
9.13
2015-Aug-10
CNX NIFTY LONG
10.34
2015-Mar-03
CNX PHARMA SHORT
4.78
2015-Apr-08
CNX PSE LONG
34.72
2008-Jan-04
CNX PSU BANK LONG
43.64
2010-Nov-05
CNX REALTY LONG
90.63
2008-Jan-14
CNX SERVICE LONG
10.93
2015-Mar-03
Relative Strength Spread widened out – a good sign for momentum strategies. Metals, infra and energy indices continued to troll the depths. Pharma was the strongest.

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:

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.