S&P500 Sectors Relative Overview
dear fellows,
this indicator is yet another representation of S&P 500 industry sectors.
it is inspired by mr. stanley drukenmiller who in an interview mentioned that he knows no better market forecaster than the inside of the sp500 itself, which are its industry sectors.
thus, we have been for a while thinking on how to represent the performance of these sectors such that one could visually estimated the current stage of the cycle, and grasp the next one.
unfortunatelly, we believe this cannot be achieved by solely looking into SP500 industry sectors. perhaps coupled with a broad market indicator like our MRI, for instance, one can have greater odds of success.
what does it show
it displays colorfully through out time how each sector travels through its 200 period high and lows.
note that an alternative view of the sectors relatively to SPX could be considered, but by now we focused on the relative performance against its recent past (200 period, regardless the timeframe).
over the colored columns we've plotted in white the SPX under the same logic.
how is it calculated
each sector price is converged into a percentage of how near it is to its 200 period low.
so, when the price of the sector index equals the 200 period min, it is valued as 0.
when it equals the 200 period max, it is valued as 100.
same for the white plot of SPX above the colored columns.
thus a flat reading at 100 makes it indistinguishable a continued ATH extension from a pause at the ATH.
how is it colored
when the converted price results in a value lesser or equal 33, its respective bar is colored in red.
when it is between 33 and 66, the bar is colored in yellow.
and when it lies above 66, in green.
on how is it grouped
the specific ordering of the sectors is not yet settled.
we've grouped it visually based on likelihood.
on how to use this indicator
although we believe that it does not suffice for any conclusion on the market, we do not believe that an above chart can improve the resulting insight. so, at least by the time being, we recommend it to be stared alone, although not exclusively, by trader.
we are open to suggestions of any sort.
your feedback is much appreciated.
this is a work we'd have been looking for a while to put it out.
enjoy.
best regards.
this indicator is yet another representation of S&P 500 industry sectors.
it is inspired by mr. stanley drukenmiller who in an interview mentioned that he knows no better market forecaster than the inside of the sp500 itself, which are its industry sectors.
thus, we have been for a while thinking on how to represent the performance of these sectors such that one could visually estimated the current stage of the cycle, and grasp the next one.
unfortunatelly, we believe this cannot be achieved by solely looking into SP500 industry sectors. perhaps coupled with a broad market indicator like our MRI, for instance, one can have greater odds of success.
what does it show
it displays colorfully through out time how each sector travels through its 200 period high and lows.
note that an alternative view of the sectors relatively to SPX could be considered, but by now we focused on the relative performance against its recent past (200 period, regardless the timeframe).
over the colored columns we've plotted in white the SPX under the same logic.
how is it calculated
each sector price is converged into a percentage of how near it is to its 200 period low.
so, when the price of the sector index equals the 200 period min, it is valued as 0.
when it equals the 200 period max, it is valued as 100.
same for the white plot of SPX above the colored columns.
thus a flat reading at 100 makes it indistinguishable a continued ATH extension from a pause at the ATH.
how is it colored
when the converted price results in a value lesser or equal 33, its respective bar is colored in red.
when it is between 33 and 66, the bar is colored in yellow.
and when it lies above 66, in green.
on how is it grouped
the specific ordering of the sectors is not yet settled.
we've grouped it visually based on likelihood.
on how to use this indicator
although we believe that it does not suffice for any conclusion on the market, we do not believe that an above chart can improve the resulting insight. so, at least by the time being, we recommend it to be stared alone, although not exclusively, by trader.
we are open to suggestions of any sort.
your feedback is much appreciated.
this is a work we'd have been looking for a while to put it out.
enjoy.
best regards.
הערות שחרור:
dear fellows,
in this update we added an upper layer of the same sectors in the same order, however, depicting the rate of change from previous period to the current one, i.e. ROC(1).
on how it is calculated
the difference between the current close and the previous one is divided by previous close (function ta.roc does that).
this percentual value is mapped to a color between green and red as follows
1. on the last 20 periods we estimate the average rate of change (roc) and the standard deviation
2. if the average roc is positive, we compare against a rate that is 2 standard deviations above average.
a. in case it matches it or exceeds its, it is pure full green
b. otherwise it decays in shades towards black.
3. if the average roc is negative, we apply the same logic but in regard to red.
on why we did like that
by colouring each sector on 1 period roc, i.e roc(1), based on the last 20 periods average and stdev, we prefered to have higher resolution on recent moves within each sector, regardless the period.
had we done the colouring in absolute values, e.g. 10% is statically mapped to one shade of green while 20% is statically mapped to another, there would be a short adjacent range of timeperiods that would show good resolution on the colouring. shorter timeperiods would tend to black and larger ones to pure full green or red.
also, some sectors are more volatile than others, thus colouring based on their own volatility accounts for such differences.
on how to use this indicator
ideally it is used in full screen, without the chart.
if there is a chart, it makes sense to be SPX, however it is depicted in the bottom layer in relation to its last 200 periods max and min.
we believe it has the potential to indicate entry and exit points in sectors, but we stress that we are not sure about that, nor can we ever assure any usefulness on this indicator.
best regards.
in this update we added an upper layer of the same sectors in the same order, however, depicting the rate of change from previous period to the current one, i.e. ROC(1).
on how it is calculated
the difference between the current close and the previous one is divided by previous close (function ta.roc does that).
this percentual value is mapped to a color between green and red as follows
1. on the last 20 periods we estimate the average rate of change (roc) and the standard deviation
2. if the average roc is positive, we compare against a rate that is 2 standard deviations above average.
a. in case it matches it or exceeds its, it is pure full green
b. otherwise it decays in shades towards black.
3. if the average roc is negative, we apply the same logic but in regard to red.
on why we did like that
by colouring each sector on 1 period roc, i.e roc(1), based on the last 20 periods average and stdev, we prefered to have higher resolution on recent moves within each sector, regardless the period.
had we done the colouring in absolute values, e.g. 10% is statically mapped to one shade of green while 20% is statically mapped to another, there would be a short adjacent range of timeperiods that would show good resolution on the colouring. shorter timeperiods would tend to black and larger ones to pure full green or red.
also, some sectors are more volatile than others, thus colouring based on their own volatility accounts for such differences.
on how to use this indicator
ideally it is used in full screen, without the chart.
if there is a chart, it makes sense to be SPX, however it is depicted in the bottom layer in relation to its last 200 periods max and min.
we believe it has the potential to indicate entry and exit points in sectors, but we stress that we are not sure about that, nor can we ever assure any usefulness on this indicator.
best regards.
הערות שחרור:
minor update. fixed table alignment with the chart