Tag: index

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:

Equally Weighted Market Cap. Weighted
CNX REALTY (EQUAL) +1.01% CNX PHARMA (CAP) +1.45%
CNX ENERGY (EQUAL) +0.66% CNX FMCG (CAP) -0.74%
CNX PHARMA (EQUAL) -0.32% CNX ENERGY (CAP) -1.02%
CNX INFRA (EQUAL) -1.10% CNX REALTY (CAP) -1.82%
CNX COMMODITIES (EQUAL) -2.12% NSE QUALITY 30 (CAP) -2.22%
CNX CONSUMPTION (EQUAL) -2.82% CNX MEDIA (CAP) -2.31%
NI15 (EQUAL) -3.17% NI15 (CAP) -2.35%
CNX FINANCE (EQUAL) -4.18% CNX CONSUMPTION (CAP) -2.57%
NSE QUALITY 30 (EQUAL) -4.20% CNX COMMODITIES (CAP) -3.04%
CNX PSE (EQUAL) -4.60% CNX IT (CAP) -5.04%
CNX FMCG (EQUAL) -5.64% CNX FINANCE (CAP) -5.11%
CNX IT (EQUAL) -5.85% CNX SERVICE (CAP) -5.54%
CPSE INDEX (EQUAL) -6.42% CNX AUTO (CAP) -6.50%
CNX SERVICE (EQUAL) -6.45% CNX METAL (CAP) -6.52%
CNX MNC (EQUAL) -7.44% CNX PSE (CAP) -7.06%
CNX METAL (EQUAL) -7.68% NV20 (CAP) -7.19%
LIX 15 (EQUAL) -7.99% CNX MNC (CAP) -7.43%
LIX15 Midcap (EQUAL) -8.32% CNX BANK (CAP) -7.68%
NV20 (EQUAL) -8.44% CPSE INDEX (CAP) -7.70%
CNX MEDIA (EQUAL) -9.15% LIX15 Midcap (CAP) -8.33%
CNX AUTO (EQUAL) -9.60% LIX 15 (CAP) -8.91%
CNX BANK (EQUAL) -14.15% CNX INFRA (CAP) -11.84%
CNX PSU BANK (EQUAL) -17.51% CNX PSU BANK (CAP) -18.66%

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.
Categories Tags , ,

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.
Categories Tags , ,

Index Update 10.10.2015

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 2015-10-09 png

index momentum best 50 2015-10-09 png

index momentum worst 365 2015-10-09 png

index momentum worst 50 2015-10-09 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-09 png

Refactored Index Performance

50-day performance, from July 29, 2015 through October 09, 2015:

Equally Weighted Market Cap. Weighted
CNX REALTY (EQUAL) +8.52% CNX REALTY (CAP) +11.07%
CNX PHARMA (EQUAL) +8.28% CNX PHARMA (CAP) +10.83%
CNX PSU BANK (EQUAL) +5.73% NI15 (CAP) +5.10%
CNX IT (EQUAL) +3.39% CNX IT (CAP) +4.48%
NI15 (EQUAL) +1.61% CNX FMCG (CAP) +2.82%
LIX15 Midcap (EQUAL) +0.56% NSE QUALITY 30 (CAP) +2.81%
NSE QUALITY 30 (EQUAL) -0.32% CNX PSU BANK (CAP) +0.88%
CNX SERVICE (EQUAL) -1.50% CNX CONSUMPTION (CAP) +0.22%
CNX CONSUMPTION (EQUAL) -1.58% CNX MEDIA (CAP) -0.50%
CNX MEDIA (EQUAL) -1.61% CNX SERVICE (CAP) -1.64%
CNX BANK (EQUAL) -1.79% LIX15 Midcap (CAP) -1.85%
CNX INFRA (EQUAL) -2.26% NV20 (CAP) -2.81%
CNX AUTO (EQUAL) -2.85% CNX FINANCE (CAP) -3.56%
CNX FINANCE (EQUAL) -3.09% CNX AUTO (CAP) -3.74%
NV20 (EQUAL) -4.37% CNX BANK (CAP) -4.05%
CNX FMCG (EQUAL) -4.42% CNX MNC (CAP) -6.36%
CNX ENERGY (EQUAL) -4.73% CNX ENERGY (CAP) -7.80%
LIX 15 (EQUAL) -5.13% LIX 15 (CAP) -7.87%
CNX COMMODITIES (EQUAL) -5.83% CNX COMMODITIES (CAP) -8.63%
CNX MNC (EQUAL) -6.43% CPSE INDEX (CAP) -9.24%
CPSE INDEX (EQUAL) -7.50% CNX INFRA (CAP) -10.30%
CNX PSE (EQUAL) -8.80% CNX PSE (CAP) -10.51%
CNX METAL (EQUAL) -9.31% CNX METAL (CAP) -13.10%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
11.52
2015-Jan-27
CNX BANK LONG
14.42
2015-Jan-27
CNX COMMODITIES LONG
35.32
2008-Jan-04
CNX CONSUMPTION LONG
5.71
2015-Aug-05
CNX ENERGY LONG
33.93
2008-Jan-14
CNX FMCG LONG
7.96
2015-Feb-25
CNX INFRA LONG
53.04
2008-Jan-09
CNX IT SHORT
87.64
2000-Feb-21
CNX MEDIA LONG
18.06
2008-Jan-04
CNX METAL LONG
66.60
2008-Jan-04
CNX MNC SHORT
9.28
2015-Aug-10
CNX NIFTY LONG
8.97
2015-Mar-03
CNX PHARMA LONG
4.00
2015-Apr-08
CNX PSE LONG
33.36
2008-Jan-04
CNX PSU BANK SHORT
40.81
2010-Nov-05
CNX REALTY LONG
90.30
2008-Jan-14
CNX SERVICE LONG
9.02
2015-Mar-03
And just like that, momentum is back!
Categories Tags , ,

Index Update 02.10.2015

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 2015-10-01 png

index momentum best 50 2015-10-01 png

index momentum worst 365 2015-10-01 png

index momentum worst 50 2015-10-01 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-01 png

Refactored Index Performance

50-day performance, from July 22, 2015 through October 01, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +4.04% CNX PHARMA (CAP) +6.19%
CNX IT (EQUAL) +0.78% CNX IT (CAP) +3.50%
CNX REALTY (EQUAL) -1.31% NI15 (CAP) +1.24%
NI15 (EQUAL) -2.34% CNX REALTY (CAP) +1.09%
CNX MEDIA (EQUAL) -2.43% NSE QUALITY 30 (CAP) -0.77%
NSE QUALITY 30 (EQUAL) -3.28% CNX MEDIA (CAP) -0.93%
CNX CONSUMPTION (EQUAL) -5.08% CNX FMCG (CAP) -1.51%
CNX PSU BANK (EQUAL) -5.15% CNX CONSUMPTION (CAP) -4.11%
CNX FMCG (EQUAL) -5.48% CNX SERVICE (CAP) -6.62%
CNX AUTO (EQUAL) -6.26% LIX15 Midcap (CAP) -6.81%
CNX SERVICE (EQUAL) -6.80% CNX MNC (CAP) -6.83%
LIX15 Midcap (EQUAL) -7.10% CNX PSU BANK (CAP) -7.53%
CNX FINANCE (EQUAL) -7.13% NV20 (CAP) -9.08%
CNX MNC (EQUAL) -7.43% CNX AUTO (CAP) -9.45%
CNX BANK (EQUAL) -7.52% CNX BANK (CAP) -9.87%
NV20 (EQUAL) -10.98% CNX FINANCE (CAP) -10.38%
CNX INFRA (EQUAL) -11.65% CNX ENERGY (CAP) -15.28%
CNX ENERGY (EQUAL) -12.01% LIX 15 (CAP) -15.71%
CNX COMMODITIES (EQUAL) -12.73% CNX COMMODITIES (CAP) -15.89%
CPSE INDEX (EQUAL) -13.24% CNX PSE (CAP) -16.23%
LIX 15 (EQUAL) -13.40% CNX INFRA (CAP) -16.52%
CNX PSE (EQUAL) -13.88% CPSE INDEX (CAP) -17.40%
CNX METAL (EQUAL) -19.31% CNX METAL (CAP) -23.68%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
15.03
2015-Jan-27
CNX BANK SHORT
16.57
2015-Jan-27
CNX COMMODITIES LONG
38.24
2008-Jan-04
CNX CONSUMPTION SHORT
7.34
2015-Aug-05
CNX ENERGY LONG
36.33
2008-Jan-14
CNX FMCG LONG
10.30
2015-Feb-25
CNX INFRA LONG
54.62
2008-Jan-09
CNX IT SHORT
87.57
2000-Feb-21
CNX MEDIA SHORT
18.02
2008-Jan-04
CNX METAL LONG
69.95
2008-Jan-04
CNX MNC SHORT
9.50
2015-Aug-10
CNX NIFTY SHORT
11.62
2015-Mar-03
CNX PHARMA SHORT
4.99
2015-Apr-08
CNX PSE LONG
35.62
2008-Jan-04
CNX PSU BANK SHORT
42.81
2010-Nov-05
CNX REALTY SHORT
90.62
2008-Jan-14
CNX SERVICE SHORT
10.92
2015-Mar-03
Dispersion is around its all-time lows – momentum algos will be struggling to find a toe-hold. Besides, the only thing that has worked in the last few months is long-only pharma and IT – both long USD trades.
Categories Tags , ,

Index Update 25.09.2015

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 2015-09-24 png

index momentum best 50 2015-09-24 png

index momentum worst 365 2015-09-24 png

index momentum worst 50 2015-09-24 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-24 png

Refactored Index Performance

50-day performance, from July 16, 2015 through September 24, 2015:

Equally Weighted Market Cap. Weighted
CNX IT (EQUAL) +4.79% CNX IT (CAP) +8.39%
CNX MEDIA (EQUAL) +0.20% CNX MEDIA (CAP) +2.56%
CNX PHARMA (EQUAL) -1.08% NI15 (CAP) +0.31%
NI15 (EQUAL) -3.70% NSE QUALITY 30 (CAP) -1.57%
NSE QUALITY 30 (EQUAL) -3.91% CNX PHARMA (CAP) -1.79%
CNX AUTO (EQUAL) -4.97% CNX FMCG (CAP) -4.66%
CNX CONSUMPTION (EQUAL) -6.46% CNX CONSUMPTION (CAP) -5.66%
CNX REALTY (EQUAL) -6.47% CNX SERVICE (CAP) -6.14%
CNX SERVICE (EQUAL) -7.61% CNX REALTY (CAP) -6.43%
CNX PSU BANK (EQUAL) -7.70% CNX PSU BANK (CAP) -7.94%
CNX MNC (EQUAL) -7.95% LIX15 Midcap (CAP) -8.01%
CNX FMCG (EQUAL) -8.12% CNX MNC (CAP) -8.09%
LIX15 Midcap (EQUAL) -8.79% NV20 (CAP) -8.39%
CNX BANK (EQUAL) -9.12% CNX AUTO (CAP) -8.44%
CNX FINANCE (EQUAL) -9.33% CNX BANK (CAP) -10.41%
NV20 (EQUAL) -10.67% CNX FINANCE (CAP) -11.37%
LIX 15 (EQUAL) -12.24% LIX 15 (CAP) -13.94%
CNX ENERGY (EQUAL) -13.11% CNX ENERGY (CAP) -16.07%
CNX COMMODITIES (EQUAL) -13.49% CNX COMMODITIES (CAP) -16.57%
CNX INFRA (EQUAL) -13.76% CNX PSE (CAP) -17.40%
CNX PSE (EQUAL) -14.46% CNX INFRA (CAP) -18.04%
CPSE INDEX (EQUAL) -15.85% CPSE INDEX (CAP) -20.57%
CNX METAL (EQUAL) -19.03% CNX METAL (CAP) -24.00%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
15.15
2015-Jan-27
CNX BANK LONG
16.34
2015-Jan-27
CNX COMMODITIES SHORT
38.78
2008-Jan-04
CNX CONSUMPTION SHORT
9.43
2015-Aug-05
CNX ENERGY SHORT
37.64
2008-Jan-14
CNX FMCG LONG
12.60
2015-Feb-25
CNX INFRA SHORT
55.65
2008-Jan-09
CNX IT LONG
87.48
2000-Feb-21
CNX MEDIA SHORT
18.71
2008-Jan-04
CNX METAL SHORT
69.33
2008-Jan-04
CNX MNC SHORT
10.28
2015-Aug-10
CNX NIFTY SHORT
12.54
2015-Mar-03
CNX PHARMA LONG
7.26
2015-Apr-08
CNX PSE SHORT
36.45
2008-Jan-04
CNX PSU BANK LONG
41.91
2010-Nov-05
CNX REALTY LONG
90.96
2008-Jan-14
CNX SERVICE LONG
11.70
2015-Mar-03
Relative strength spread continues to be in negative momentum territory. Contrarians can use this moment to load up on momentum strategies and ride the bounce…
Categories Tags , ,