Tag: momentum

Index Update 08.08.2015

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 2015-08-07 png

index momentum best 50 2015-08-07 png

index momentum worst 365 2015-08-07 png

index momentum worst 50 2015-08-07 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-07 png

Refactored Index Performance

50-day performance, from June 01, 2015 through August 07, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +22.78% CNX MEDIA (CAP) +18.97%
CNX MEDIA (EQUAL) +16.14% CNX PHARMA (CAP) +11.06%
CNX AUTO (EQUAL) +8.23% CNX MNC (CAP) +5.35%
CNX MNC (EQUAL) +6.50% CNX CONSUMPTION (CAP) +4.62%
CNX FMCG (EQUAL) +6.47% CNX AUTO (CAP) +3.44%
CNX CONSUMPTION (EQUAL) +6.37% NI15 (CAP) +2.57%
NSE QUALITY 30 (EQUAL) +4.31% CNX FINANCE (CAP) +2.42%
NI15 (EQUAL) +3.86% CNX INFRA (CAP) +2.26%
CNX FINANCE (EQUAL) +3.73% CNX FMCG (CAP) +2.20%
CNX SERVICE (EQUAL) +1.47% NSE QUALITY 30 (CAP) +1.92%
CNX INFRA (EQUAL) +0.13% CNX SERVICE (CAP) +1.88%
CNX BANK (EQUAL) -0.47% CNX IT (CAP) +1.75%
NV20 (EQUAL) -0.58% NV20 (CAP) +1.54%
CPSE INDEX (EQUAL) -0.75% CNX BANK (CAP) +1.43%
CNX IT (EQUAL) -0.77% CNX PSU BANK (CAP) +1.21%
CNX PSE (EQUAL) -1.55% CNX ENERGY (CAP) +0.73%
CNX COMMODITIES (EQUAL) -2.33% CNX COMMODITIES (CAP) -0.47%
CNX ENERGY (EQUAL) -2.91% CNX PSE (CAP) -1.57%
LIX 15 (EQUAL) -3.05% LIX 15 (CAP) -4.33%
CNX PSU BANK (EQUAL) -4.21% LIX15 Midcap (CAP) -4.34%
LIX15 Midcap (EQUAL) -5.22% CPSE INDEX (CAP) -4.37%
CNX METAL (EQUAL) -9.11% CNX REALTY (CAP) -10.49%
CNX REALTY (EQUAL) -9.43% CNX METAL (CAP) -11.15%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
3.26
2015-Jan-27
CNX BANK LONG
8.08
2015-Jan-27
CNX COMMODITIES SHORT
28.46
2008-Jan-04
CNX CONSUMPTION LONG
0.52
2015-Aug-05
CNX ENERGY LONG
27.88
2008-Jan-14
CNX FMCG LONG
6.25
2015-Feb-25
CNX INFRA SHORT
47.01
2008-Jan-09
CNX IT SHORT
87.86
2000-Feb-21
CNX MEDIA LONG
15.34
2008-Jan-04
CNX METAL LONG
61.19
2008-Jan-04
CNX MNC LONG
0.00
2015-Aug-07
CNX NIFTY LONG
4.80
2015-Mar-03
CNX PHARMA LONG
8.60
2015-Apr-08
CNX PSE SHORT
25.11
2008-Jan-04
CNX PSU BANK LONG
33.42
2010-Nov-05
CNX REALTY LONG
90.27
2008-Jan-14
CNX SERVICE SHORT
6.02
2015-Mar-03
A total nightmare for commodity, energy and infrastructure investors. It continues to be a consumption driven market…
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Index Update 01.08.2015

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 2015-07-31 png

index momentum best 50 2015-07-31 png

index momentum worst 365 2015-07-31 png

index momentum worst 50 2015-07-31 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-31 png

Refactored Index Performance

50-day performance, from May 25, 2015 through July 31, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.59% CNX MEDIA (CAP) +16.92%
CNX MEDIA (EQUAL) +15.49% CNX CONSUMPTION (CAP) +7.13%
CNX FMCG (EQUAL) +8.37% CNX FMCG (CAP) +6.03%
CNX CONSUMPTION (EQUAL) +6.70% CNX MNC (CAP) +5.64%
CNX MNC (EQUAL) +5.13% CNX PHARMA (CAP) +4.62%
CNX AUTO (EQUAL) +3.69% CNX INFRA (CAP) +4.34%
CNX FINANCE (EQUAL) +3.20% CNX FINANCE (CAP) +3.13%
NI15 (EQUAL) +3.17% NI15 (CAP) +2.42%
NSE QUALITY 30 (EQUAL) +2.91% CNX SERVICE (CAP) +2.35%
CPSE INDEX (EQUAL) +2.40% CNX ENERGY (CAP) +2.29%
CNX PSE (EQUAL) +1.00% CNX BANK (CAP) +2.13%
CNX SERVICE (EQUAL) +0.79% NV20 (CAP) +1.85%
NV20 (EQUAL) +0.41% NSE QUALITY 30 (CAP) +1.14%
CNX ENERGY (EQUAL) -1.07% CNX PSE (CAP) +1.14%
CNX BANK (EQUAL) -1.07% CNX IT (CAP) +0.39%
CNX INFRA (EQUAL) -1.24% CNX COMMODITIES (CAP) +0.10%
CNX IT (EQUAL) -1.71% CNX AUTO (CAP) -0.36%
CNX COMMODITIES (EQUAL) -3.20% CNX PSU BANK (CAP) -2.11%
CNX PSU BANK (EQUAL) -6.27% CPSE INDEX (CAP) -2.61%
LIX 15 (EQUAL) -6.47% LIX 15 (CAP) -7.12%
CNX REALTY (EQUAL) -10.17% LIX15 Midcap (CAP) -11.45%
LIX15 Midcap (EQUAL) -11.63% CNX METAL (CAP) -11.67%
CNX METAL (EQUAL) -12.90% CNX REALTY (CAP) -12.45%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.10
2015-Jan-27
CNX BANK SHORT
8.88
2015-Jan-27
CNX COMMODITIES SHORT
29.07
2008-Jan-04
CNX CONSUMPTION SHORT
0.00
2015-Jul-31
CNX ENERGY LONG
27.48
2008-Jan-14
CNX FMCG SHORT
6.17
2015-Feb-25
CNX INFRA LONG
47.33
2008-Jan-09
CNX IT SHORT
87.86
2000-Feb-21
CNX MEDIA SHORT
16.68
2008-Jan-04
CNX METAL LONG
61.25
2008-Jan-04
CNX MNC SHORT
0.00
2015-Jul-31
CNX NIFTY SHORT
5.15
2015-Mar-03
CNX PHARMA LONG
10.69
2015-Apr-08
CNX PSE LONG
24.77
2008-Jan-04
CNX PSU BANK SHORT
36.53
2010-Nov-05
CNX REALTY LONG
90.60
2008-Jan-14
CNX SERVICE SHORT
6.10
2015-Mar-03
Relative strength spread shot through its long-term median – good for momentum strategies.
CONSUMPTION and MNC indices recovered from their drawdowns. Will NIFTY be next?
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Index Update 25.07.2015

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 2015-07-24 png

index momentum best 50 2015-07-24 png

index momentum worst 365 2015-07-24 png

index momentum worst 50 2015-07-24 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-24 png

Refactored Index Performance

50-day performance, from May 18, 2015 through July 24, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +17.78% CNX MEDIA (CAP) +13.94%
CNX MEDIA (EQUAL) +11.48% CNX INFRA (CAP) +5.82%
CNX CONSUMPTION (EQUAL) +5.16% CNX ENERGY (CAP) +5.38%
CNX FMCG (EQUAL) +4.63% CNX PHARMA (CAP) +4.25%
CPSE INDEX (EQUAL) +3.67% CNX CONSUMPTION (CAP) +4.25%
CNX MNC (EQUAL) +2.99% CNX MNC (CAP) +3.37%
CNX PSE (EQUAL) +2.54% CNX PSE (CAP) +3.03%
NI15 (EQUAL) +2.42% CNX IT (CAP) +2.99%
CNX FINANCE (EQUAL) +2.30% CNX SERVICE (CAP) +2.77%
CNX ENERGY (EQUAL) +1.84% CNX FINANCE (CAP) +2.64%
NSE QUALITY 30 (EQUAL) +1.73% NV20 (CAP) +2.18%
CNX IT (EQUAL) +0.58% NI15 (CAP) +1.58%
CNX SERVICE (EQUAL) +0.46% CNX COMMODITIES (CAP) +1.22%
NV20 (EQUAL) +0.19% CNX BANK (CAP) +1.04%
CNX AUTO (EQUAL) +0.10% NSE QUALITY 30 (CAP) +0.24%
CNX INFRA (EQUAL) -0.31% CNX FMCG (CAP) +0.21%
CNX COMMODITIES (EQUAL) -2.69% CPSE INDEX (CAP) -0.72%
CNX BANK (EQUAL) -2.99% CNX AUTO (CAP) -3.02%
LIX 15 (EQUAL) -8.18% LIX 15 (CAP) -8.66%
CNX PSU BANK (EQUAL) -10.87% CNX PSU BANK (CAP) -8.85%
CNX REALTY (EQUAL) -10.96% LIX15 Midcap (CAP) -10.66%
LIX15 Midcap (EQUAL) -11.73% CNX METAL (CAP) -13.82%
CNX METAL (EQUAL) -14.39% CNX REALTY (CAP) -14.81%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
6.90
2015-Jan-27
CNX BANK SHORT
9.34
2015-Jan-27
CNX COMMODITIES SHORT
27.83
2008-Jan-04
CNX CONSUMPTION LONG
0.49
2015-Jul-22
CNX ENERGY LONG
25.60
2008-Jan-14
CNX FMCG SHORT
8.93
2015-Feb-25
CNX INFRA SHORT
46.63
2008-Jan-09
CNX IT LONG
88.00
2000-Feb-21
CNX MEDIA LONG
19.72
2008-Jan-04
CNX METAL SHORT
60.84
2008-Jan-04
CNX MNC SHORT
0.95
2015-Jul-16
CNX NIFTY LONG
5.28
2015-Mar-03
CNX PHARMA LONG
11.60
2015-Apr-08
CNX PSE LONG
23.77
2008-Jan-04
CNX PSU BANK SHORT
39.09
2010-Nov-05
CNX REALTY LONG
90.87
2008-Jan-14
CNX SERVICE LONG
6.07
2015-Mar-03
Index momentum seems to have leveled off. Are we seeing a near-term top? NIFTY is still 5% below its April top…
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Index Update 18.07.2015

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 2015-07-17 png

index momentum best 50 2015-07-17 png

index momentum worst 365 2015-07-17 png

index momentum worst 50 2015-07-17 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-17 png

Refactored Index Performance

50-day performance, from May 11, 2015 through July 17, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +26.09% CNX PHARMA (CAP) +14.06%
CNX MEDIA (EQUAL) +12.99% CNX MEDIA (CAP) +11.81%
CNX FMCG (EQUAL) +9.28% CNX INFRA (CAP) +7.91%
CNX CONSUMPTION (EQUAL) +8.28% CNX CONSUMPTION (CAP) +6.59%
CPSE INDEX (EQUAL) +7.68% CNX FINANCE (CAP) +5.68%
NI15 (EQUAL) +5.37% CNX ENERGY (CAP) +5.35%
CNX MNC (EQUAL) +5.21% CNX MNC (CAP) +5.10%
CNX FINANCE (EQUAL) +4.98% CNX BANK (CAP) +4.83%
CNX AUTO (EQUAL) +4.72% CNX PSE (CAP) +4.41%
NSE QUALITY 30 (EQUAL) +4.65% CNX FMCG (CAP) +3.69%
CNX PSE (EQUAL) +4.42% CNX SERVICE (CAP) +3.41%
CNX INFRA (EQUAL) +3.40% NI15 (CAP) +3.34%
CNX ENERGY (EQUAL) +2.35% CPSE INDEX (CAP) +3.17%
NV20 (EQUAL) +2.06% NV20 (CAP) +2.91%
CNX SERVICE (EQUAL) +2.05% CNX COMMODITIES (CAP) +2.03%
CNX IT (EQUAL) +1.45% NSE QUALITY 30 (CAP) +1.79%
CNX BANK (EQUAL) +0.97% CNX AUTO (CAP) +0.18%
CNX COMMODITIES (EQUAL) -0.70% CNX IT (CAP) -0.40%
CNX PSU BANK (EQUAL) -5.65% CNX PSU BANK (CAP) -3.22%
LIX 15 (EQUAL) -7.29% LIX 15 (CAP) -6.92%
LIX15 Midcap (EQUAL) -8.01% LIX15 Midcap (CAP) -7.95%
CNX REALTY (EQUAL) -11.29% CNX METAL (CAP) -14.05%
CNX METAL (EQUAL) -12.95% CNX REALTY (CAP) -14.31%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.88
2015-Jan-27
CNX BANK SHORT
7.11
2015-Jan-27
CNX COMMODITIES SHORT
27.00
2008-Jan-04
CNX CONSUMPTION LONG
0.00
2015-Jul-17
CNX ENERGY SHORT
25.49
2008-Jan-14
CNX FMCG SHORT
7.71
2015-Feb-25
CNX INFRA LONG
45.57
2008-Jan-09
CNX IT LONG
88.20
2000-Feb-21
CNX MEDIA LONG
20.59
2008-Jan-04
CNX METAL LONG
59.82
2008-Jan-04
CNX MNC LONG
0.04
2015-Jul-16
CNX PHARMA LONG
5.00
2015-Apr-08
CNX PSE LONG
23.04
2008-Jan-04
CNX PSU BANK SHORT
37.11
2010-Nov-05
CNX REALTY SHORT
90.41
2008-Jan-14
CNX SERVICE LONG
6.13
2015-Mar-03
MNCs and FMCGs have recouped their drawdowns. PHARMA is not far behind. Its the old economy stocks that are still trying to digest their “India Shining” debt binge.
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Using Momentum to Short Butterflies

Turning Momentum’s primary weakness into strength

The biggest problem with any trend-following strategy is sudden reversals in trend. This fits nicely into the biggest problem with selling butterflies – that the underlying stays where it is. One thing that momentum stocks guarantee is that they will move big.

Our earlier attempts at developing a mechanical short-call butterfly strategy for the NIFTY failed because there would be months when the NIFTY would just end flat for expire very close to where it started after bouncing all over the place. Let’s see if using single-stock options overcomes this problem.

A quick back-test

In order to hedge our bets, we consider only the top 3 and the bottom 3 stocks in our momentum universe. And then we apply a liquidity filter to ensure that we can actually carry out the trades. Trades are entered 10 days after expiry and held till expiry. No stop-loss is applied.

Top
top mom butterfly
Bottom
bottom mom butterfly
Combined
total mom butterfly

Conclusion

Using momentum to drive a short-call butterfly strategy holds promise. We have created a Theme for it – Shattered – to help traders access this strategy.

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