CRB Index closed up by 0.01% to 559.3 on 23 January 2021 and +0.85% on a weekly basis. CRB Index momentum was last calculated at +100.0/100 indicating positive momentum. CRB Index trend is +100.0/100 indicating a positive trend. CRB Index momentum exhaustion is 2.10968 indicating CRB Index is oversold.CRB Index RSI is 89.0344 .
CRB Index Chart
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CRB Index closed at 559.3 on 23 January 2021. CRB Index trend was last calculated at +100.0/100 (range: -100 to +100) indicating a positive trend based on MacroVar models. CRB Index momentum was last calculated at +100.0/100 (range: -100 to +100) indicating positive momentum. CRB Index momentum exhaustion is 2.10968 (normal range: -2.5 to +2.5, overbought values: greater than 2.5, oversold values: less than 2.5) indicating CRB Index is oversold and a possible reversal is imminent. CRB Index RSI was last calculated at 89.0344. CRB Index moving averages were last recorded as follows: 1-month moving average: 436.843 in an uptrend , 1-quarter moving average: 423.363 in an uptrend and 1-year moving average: 391.14 in an uptrend. CRB Index annual return was last recorded at None%, daily return was last recorded at 0.01%, and weekly return was last recorded at 0.85%. CRB Index histrorical 20-day volatility was last recorded at 4.80744%, CRB Index alpha None, CRB Index beta None and CRB Index maximum drawdown was recorded at None%. MacroVar models monitor CRB Index statistics based on historical data since 1970.
Momentum trading is used to capture moves in shorter timeframes than trends. Momentum is the relative change occurring in markets. Relative change is different to a trend. A long-term trend can be up but the short-term momentum of a specific market can be 0. If a market moves down and then moves up and then moves back down the net relative change in price is 0. That means momentum is 0. A short-term positive momentum, with a long-term downtrend results in markets with no momentum.
MacroVar CRB Index momentum signal ranges from -100 to +100. The
CRB Index momentum signal is derived as the mean value from 4 calculations for the China Import Dry Bulk Freight Index CDFI. The timeframes monitored are the following: 1 Day (1 trading day), 1 Week (5 trading days), 1 Month (20 trading days), 3 Months (60 trading days)
For each timeframe, the following calculations are performed: 1. CRB Index return is calculated for the specific timeframe and 2. if the return calculated is higher than 0, signal value output is 1 else signal value is -1. CRB Index BADI momentum signal is the aggregate of the the 4 values. A technical momentum rollover is identified when CRB Index momentum signal moves from positive to negative value or vice-versa.
CRB Index Trend
CRB Index trend signal ranges from -100 to +100. CRB Index trend indicator is the mean value of the 8 calculations described below. The timeframes monitored are the following: 1-month (20 trading days), 3-months (60 trading days), 6-months (125 trading days), 1-year (250 trading days)
For each timeframe, the following calculations are performed: 1. CRB Index Closing price vs CRB Index moving average (MA) calculation: If CRB Index is greater than CRB Index MA value is +1, else -1, 2. CRB Index Moving average slope calculation: if current CRB Index moving average is higher than the previous MA, CRB Index upward slope +1, else -1
CRB Index trend model can be used as a trend strength indicator. CRB Index trend strength values ranging between +75 and +100 or -75 and -100 show strong trend strength.
A technical trend rollover is identified when CRB Index trend strength indicator moves from positive to negative value or vice-versa.
The most important trend indicator
The CRB Index 52-week simple moving average and its slope are the most important indicators defining a market’s trend. CRB Index is in an uptrend when CRB Index price is higher than the 52-week moving average and the CRB Index 52-week moving average has an upward slope. If fundamentals of the market have not changed and the moving average slope is still in uptrend, a price drop signifies a market correction and not a change of trend. Traders should watch oscillators like the CRB Index oscillator and CRB Index RSI to buy the dip and still follow the trend. The moving average slope turn signifies a change of trend.
CRB Index Oscillator
The CRB Index oscillator estimated by MacroVar is the z-score of the current CRB Index price versus CRB Index 1-year simple moving average price. The formula for the CRB Index oscillator is: CRB Index oscillator = (Current Price – 250 trading days CRB Index simple moving average price) / (250 days CRB Index price standard deviation)
CRB Index oversold conditions
CRB Index is oversold when it is subject to a persistent downward pressure due to extreme fund outflows. When the CRB Index is oversold it is often due for a rebound. Values of the CRB Index oscillator lower than -2.5 signify oversold conditions. It must be noted that the CRB Index oscillator must be analyzed ibn conjunction with the rest of CRB Index quantitative factors. Traders should pay less attention to overbought or oversold conditions during strong trends. They should pay close attention during counter trends and all combined with the CRB Index RSI.
CRB Index overbought conditions
CRB Index is overbought when it is subject to a persistent upward pressure due to extreme fund inflows. When the CRB Index is overbought it is often due for a correction. Values of the CRB Index oscillator higher than +2.5 signify overbought conditions. It must be noted that the MacroVar oscillator must be compared to the rest of the CRB Index quantitative factors. Traders should pay less attention to overbought or oversold conditions during strong trends. They should pay close attention during counter trends and all combined with the RSI.
CRB Index RSI Indicator
The RSI indicator measures the speed and change of price movements. The RSI indicator oscillates between 0 and 100. RSI is a useful indicator during normal trending market conditions when an asset price oscillates around its trend value. During big moves and strong trends however, like short squeezes or price spikes RSI and other oscillators don’t work.
During normal trend market conditions and when CRB Index is in a downtrend RSI values between 50-60 signify overbought conditions before the downtrend is ready to resume. During CRB Index uptrend, RSI values of 40 to 50 signify oversold conditions before the uptrend is ready to resume. It is strongly not recommended to enter a position when the RSI is “overbought” and falling or vice versa.
CRB Index Returns
MacroVar calculates CRB Index returns for the following timeframes: Daily, Weekly, Monthly, Yearly. The formula for calculating returns is:
CRB Index returns = (CRB Index Closing Price Previous Price)/(CRB Index Previous Price)