India - S&P BSE Sensex Index Momentum Thrust Signal
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
- Percentage of members cross below 25. i.e., the reset to screen out duplicates
- 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.
