MacroVar Price Dynamics Models

MacroVar uses quantitative models to monitor trends, momentum and possible inflection points for all financial assets monitored. Our Models are open-source, transparent and MacroVar displays these signals in this dashboard and will alert you through MacroVar Newsfeed and Daily newsletter automatically when new signals are generated. You can also access raw data for each financial series including signals from these models by accessing MV database.

If you are new to investing check our introduction on trends and momentum.

MacroVar index (MV)

The MacroVar index is a synthetic variable derived by a combination of the Momentum, Trend and Bubble models described below. It ranges between -150 and +150. MacroVar displays signals schematically as follows:   Value currently 0 meaning that trend is flat.
  Value is -25 meaning a strong -ve momentum is currently present.
  Value is -50 meaning a strong -ve momentum is currently present.
  Value is -75 meaning a strong -ve momentum and long-term is currently present.
  Value is -100 meaning a strong -ve momentum and long-term is currently present.
  Value is +25 meaning a strong +ve momentum is currently present.
  Value is +50 meaning a strong +ve momentum is currently present.
  Value is +75 meaning a strong +ve momentum and long-term is currently present.
  Value is +100 meaning a strong +ve momentum and long-term is currently present.
  Value is either +125 (when Momentum and Trend is +100) or -125 (when Momentum and Trend is -100) meaning that there is a moderate possibility of price reversal from the current trend.
  Value is either +150 (when Momentum and Trend is +100) or -150 (when Momentum and Trend is -100) meaning that there is a very high probability of price reversal from the current trend.

MacroVar Momentum Model (M)

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 momentum signal ranges from -100 to +100. The market trend signal is derived as the mean value from 4 calculations for each asset. 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:

• Calculations of the return for the specific timeframe
• If return calculated is higher than 0, signal value 1 else signal value -1

Finally, the 4 values are aggregated daily.

A technical rollover is identified when MacroVar momentum strength indicator moves from positive to negative value or vice-versa.   Value currently 0 meaning that momentum is flat.
  Value is -25 meaning a weak -ve momentum is currently present.
  Value is -50 meaning a strong -ve momentum is currently present.
  Value is -75 meaning a strong -ve momentum is currently present.
  Value is -100 meaning a strong -ve momentum is currently present.
  Value is +25 meaning a strong +ve momentum is currently present.
  Value is +50 meaning a strong +ve momentum is currently present.
  Value is +75 meaning a strong -ve momentum is currently present.
  Value is +100 meaning a strong -ve momentum is currently present.

MacroVar Trend model (T)

MacroVar Trend signal ranges from -100 to +100. The market trend signal is derived as the mean value from 8 calculations for each asset. 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:

• Closing price vs moving average (MA): if price greater than MA value is +1, else -1
• Moving average slope: if current MA is higher than previous MA, upward slope +1, else -1

MacroVar trend model can be used as a trend strength indicator. MacroVar trend strength values ranging between +75 and +100 or -75 and -100 show strong trend strength.

A technical rollover is identified when MacroVar trend strength indicator moves from positive to negative value or vice-versa.   Value currently 0 meaning that trend is flat.
  Value is -25 meaning a weak -ve trend is currently present.
  Value is -50 meaning a strong -ve trend is currently present.
  Value is -75 meaning a strong -ve trend is currently present.
  Value is -100 meaning a strong -ve trend is currently present.
  Value is +25 meaning a strong +ve trend is currently present.
  Value is +50 meaning a strong +ve trend is currently present.
  Value is +75 meaning a strong -ve trend is currently present.
  Value is +100 meaning a strong -ve trend is currently present.

MacroVar Bubble model (B)

MacroVar bubble model monitors a financial asset’s price relative to its 252-day moving average to identify possible inflection point. Extreme moves often followed by price reversals have a high probability of occuring when MacroVar bubble indicator is greater than 2.5 or less than -2.5.

The MacroVar bubble model is calculated using the formula: Latest Price – (252-day Moving Average) / (252-day Standard Deviation). It represents a z-score and extreme values are greater than 2.5 and less than -2.5. Other thresholds include -3, +3.   Value is higher than +2.5 or lower than -2.5 meaning that there is a moderate possibility of price reversal from the current trend.
  Value is higher than +3 (when Momentum and Trend is +100) or -3 (when Momentum and Trend is -100) meaning that there is a very high probability of price reversal from the current trend.

MacroVar Trend model for Macroeconomic Indicators
A macroeconomic indicator is in an uptrend when last value is higher than its twelve month moving average and its twelve month moving average slope is positive (last twelve month moving average is higher than the previous month’s twelve month moving average)
Lastly, MacroVar calculates the number of months the current value has recorded highs or lows. Trend change is assumed when a specific indicator has recorded a 3-month high / low or more.

MacroVar Momentum model for Macroeconomic Indicators
A macroeconomic indicator’s momentum is monitored by calculating its long-term year over year (Y/Y) return and its short-term month on month (M/M) return.

Momentum vs Trend
A trend can last for day(s), weeks and even months and doesn’t necessarily need momentum to continue moving. Trend is a sustained directional movement over a time. Momentum typically refers to the building of energy in a particular direction. For example, as part of an overall trend up, the market might be experiencing a lot of momentum to the upside, whereas the market may be in an overall trend up, but lacking any current momentum to push prices up and thus moving sideways but still in an uptrend. You can have a trend without momentum, and have momentum without a trend.