Data &
Technology
Research
Reports
Report Solutions
Reports Library
Actionable
Strategies
Free
Resources
Simple Backtest Calculator
Simple Seasonality Calculator
The Kelly Criterion Calculator
Sentiment Geo Map
Public Research Reports
Free Webinar
Pricing
Company
About
Meet Our Team
In the News
Testimonials
Client Success Stories
Contact
Log inLoginSign up
< BACK TO ALL REPORTS

Absolute & Relative Trend Update

Dean Christians
2021-09-27
Let's review several absolute and relative trend indicators for domestic and international ETFs.

The goal of today's note is to provide you with some insight into what I am seeing with my absolute and relative trend following indicators for domestic and international ETFs.

Data as of 9/24/21 close. All relative comparisons are versus the S&P 500 ETF (SPY). For absolute and relative indicator definitions, please scroll down to the end of the note. 

ABSOLUTE & RELATIVE TRENDS - SECTOR ETFS

The technology sector returned to a perfect combined trend score with an absolute and relative trend score increase. While its relative trend score remains negative, the discretionary continues to improve.

I would note that energy was the only sector to register multiple relative highs last week.

Cyclical-oriented sectors like industrials and materials continue to soften on a relative basis.

The equal-weighted sector data confirmed the cap-weighted relative trends with improvement in the technology and discretionary sectors.

Energy stocks look slightly better on an equal-weighted basis with a better trend score. And, I would note that it also registered two new relative highs.

The S&P 500 equal-weighted index registered an increase in its relative score, highlighting broad participation by most stocks.

Small-cap stocks had a lovely week with improvement on an absolute and relative basis.

The relative trend score for energy held steady. However, the sector registered multiple new relative highs.

ABSOLUTE & RELATIVE TRENDS - INDUSTRIES

Suppose you sort the industry table according to the relative trend change. In that case, we see notable improvement from oil & gas exploration and airlines. Airlines, a component in the transportation industry, registered new relative highs on 4/5 days last week.

The metals and steel industries continue to deteriorate.

ABSOLUTE & RELATIVE TRENDS - THEMATIC ETFS

Suppose you sort the thematic ETF table according to the relative trend change. In that case, we see more groups with negative trend scores versus positive ones. And, I would note that some of the better groups lost ground on the week, especially the electric vehicle ETF.

ABSOLUTE & RELATIVE TRENDS - COUNTRIES

Suppose I sort the Country table by the relative trend score column. In that case, it shows significantly more countries with a negative relative trend score than a positive one. 

India and Israel continue to improve, with the latter registering new relative highs on 4/5 days last week.

Vietnam, a former leader in Asia, returned to a -10 relative trend score.

GLOBAL RELATIVE TRENDS

The percentage of countries with a positive relative trend score versus the S&P 500 declined slightly on a w/w basis. The current level continues to suggest an unfavorable environment for the MSCI ACWI World Index ex USA.

ALL COUNTRY RELATIVE TREND CHART

The percentage of countries with a relative trend score of -10 versus the S&P 500 increased slightly on a w/w basis. The Asia Pacific region increased as Europe declined. 

The percentage of countries in Europe with a relative trend score of -10 declined on a w/w basis. 

The percentage of countries in the Asia Pacific region with a relative trend score of -10 increased on a w/w basis. I think this is a must-watch indicator on a go-forward basis as the supply chain and shipping bottlenecks coming out of Asia are noteworthy.

The percentage of countries down 10% or more (in a correction) from a rolling 252-day is an excellent series to monitor. It can highlight a divergence between global indices and the USA. Typically, when the percentage of countries down 10% or more increases to 80% and the S&P 500 is near a high, take note. 

The most recent divergence occurred in October 2018 when 85% of countries were down 10% or more, and the S&P 500 was down less than 2% from its respective high. The S&P 500 subsequently corrected by almost 20%.

In a note on 7/7/21, I shared a study that assessed the forward return outlook for stocks when the percentage of countries outperforming the S&P 500 on a rolling 21-day basis falls to a low level. Here's a snapshot of the indicator broken down by worldwide regions.

Asia deteriorated as Europe improved.

ABSOLUTE AND RELATIVE TREND COLUMN DEFINITIONS

  1. Absolute Trend Count Score - The absolute trend model contains ten indicators to assess absolute trends across several durations.
  2. Absolute Trend 5-Day Change - This indicator measures the 5-day net change in the absolute trend model.
  3. Relative Trend Count Score - The relative trend model contains ten indicators to assess relative trends vs. the S&P across durations.
  4. Relative Trend 5-Day Change - This indicator measures the 5-day net change in the relative trend model.
  5. Relative High Count - This indicator measures the number of 21-day relative highs vs. the S&P 500 in the last 5 days.
  6. Relative Low Count - This indicator measures the number of 21-day relative lows vs. the S&P 500 in the last 5 days.
  7. Absolute and Relative Trend Scores range from 10 (Best) to -10 (Worst)
  8. MA Trend Cnt Above - This indicator counts the number of consecutive days above the 10-day moving average.
  9. MA Trend Cnt Below - This indicator counts the number of consecutive days below the 10-day moving average.

Sorry, you don't have access to this report

Upgrade your subscription plan to get access
Go to Dasboard
DATA &
TECHnologies
IndicatorEdge
‍
BackTestEdge
‍
Other Tools
‍
DataEdge API
RESEARCH
reports
Research Solution
‍
Reports Library
‍
actionable
Strategies
Trading Strategies
‍
Smart Stock Scanner
‍
FREE
RESOUrCES
Simple Backtest
Calculator
Simple Seasonality
Calculator
The Kelly Criterion
Calculator
Sentiment Geo Map
‍
Public Research Reports
‍
Free Webinar
COMPANY
‍
About
‍
Meet our Team
‍
In the News
‍
Testimonials
‍
Client Success Stories
Pricing
Bundle pricing
‍
Announcements
‍
FAQ
© 2024 Sundial Capital Research Inc. All rights reserved.
Setsail Marketing
TermsPrivacyAffiliate Program
Risk Disclosure: Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

Testimonial Disclosure: Testimonials appearing on this website may not be representative of other clients or customers and is not a guarantee of future performance or success.