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:
Relative Strength Spread
Refactored Index Performance
50-day performance, from March 31, 2015 through June 12, 2015:
Trend Model Summary
| Index | Signal | % From Peak | Day of Peak |
|---|---|---|---|
| CNX AUTO | LONG |
13.13
|
2015-Jan-27
|
| CNX BANK | LONG |
14.75
|
2015-Jan-27
|
| CNX ENERGY | SHORT |
30.29
|
2008-Jan-14
|
| CNX FMCG | LONG |
15.47
|
2015-Feb-25
|
| CNX INFRA | SHORT |
49.72
|
2008-Jan-09
|
| CNX IT | LONG |
88.43
|
2000-Feb-21
|
| CNX MEDIA | SHORT |
29.56
|
2008-Jan-04
|
| CNX METAL | LONG |
59.10
|
2008-Jan-04
|
| CNX MNC | LONG |
8.01
|
2015-Mar-12
|
| CNX NIFTY | LONG |
11.26
|
2015-Mar-03
|
| CNX PHARMA | LONG |
18.09
|
2015-Apr-08
|
| CNX PSE | SHORT |
26.34
|
2008-Jan-04
|
| CNX REALTY | LONG |
90.71
|
2008-Jan-14
|
Given the state of the relative strength spread, good luck with trend following strategies! But it looks like there are some sectors where a positive trend is reasserting itself. Are we seeing green shoots in pharma, media and banks?
