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India - S&P BSE Sensex Index Momentum Thrust Signal

Dean Christians
2021-06-02
The percentage of S&P BSE Sensex Index members trading above their respective 50-day moving average registered a new buy signal on 6/1/21.

The percentage of S&P BSE Sensex Index members trading above their respective 50-day moving average registered an overbought momentum buy signal on the close of trading on 6/1/21. 

THE CONCEPT

The percentage of members trading above their respective 50-day moving average signal indentifies when trend participation amongst index members is strong on an intermediate-term basis. The model will issue an alert based upon the following conditions.

 SIGNAL CRITERIA

  1. Percentage of members cross below 25. i.e., the reset to screen out duplicates
  2. Percentage of members cross above 92.75.

Let's take a look at the historical chart and signal performance.

HISTORICAL CHART

The trading statistics in the table below reflect the optimal days-in-trade holding period of 41 days. When I run optimizations for trading signals, I cap the max number of days at 42.

HOW THE SIGNALS PERFORMED

The 3-month timeframe looks good, especially during the last major emerging market bull cycle between 2003-07. Several unprofitable trades between the 2010-13 period impacted the 1-8 week timeframe.

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