RTSI Index

RTSI closed down by -2.44% to 1586.12 on 23 January 2021 and +-4.81% on a weekly basis. RTSI momentum was last calculated at +50.0/100 indicating positive momentum. RTSI trend is +75.0/100 indicating a positive trend. RTSI momentum exhaustion is 0.75496 indicating RTSI is oversold.RTSI RSI is 59.1601 .

RTSI Index Chart

RTSI Index

RTSI Index Statistics

MacroVar multi-factor statistical models monitor financial factors which are used to analyze and predict the RTSI. Click here to explore the financial factors monitored and their current signals.

Click here to explore the methodology used for estimating the RTSI trading signals presented in the RTSI statistics table.

SecuritySymbolLastMomentumTrendOscillatorRSI1D%1W%1M%1Y%
RTSIRTS1586.120.50.750.7549659.1601-2.44-4.814.62-0.09932

RTSI closed at 1586.12 on 23 January 2021. RTSI trend was last calculated at +75.0/100 (range: -100 to +100) indicating a positive trend based on MacroVar models. RTSI momentum was last calculated at +50.0/100 (range: -100 to +100) indicating positive momentum. RTSI momentum exhaustion is 0.75496 (normal range: -2.5 to +2.5, overbought values: greater than 2.5, oversold values: less than 2.5) indicating RTSI is oversold and a possible reversal is imminent. RTSI RSI was last calculated at 59.1601. RTSI moving averages were last recorded as follows: 1-month moving average: 1380.94 in an uptrend , 1-quarter moving average: 1258.02 in an uptrend and 1-year moving average: 1261.53 in a downtrend. RTSI annual return was last recorded at None%, daily return was last recorded at -2.44%, and weekly return was last recorded at -4.81%. RTSI histrorical 20-day volatility was last recorded at 23.2748%, RTSI alpha None, RTSI beta None and RTSI maximum drawdown was recorded at None%. MacroVar models monitor RTSI statistics based on historical data since 1970.

RTSI Index News

RTSI Factors

RTSI

FactorSymbolLast ValuePredicted ValueR2MacroVar Signal
Russia PMI vs StocksRU.FACT.STPMI1311.0553.1089-1.3915

RTSI related Indicators

RTSI

SecurityTypeSymbolLastMomentumTrendOscillatorRSI1D%1W%1M%1Y%
Russia ETFStock Index ETFRSX28.110.751.3435563.2073-2.53-3.175.01-0.01378
Russia PMI vs StocksStock Index vs PMI FactorRU.FACT.STPMI1311.05

Russia Markets

MarketSymbolLastMomTrendExhRSI1D%1W%1M%1Y%
RTSIRTS1586.120.50.750.7549659.1601-2.44-4.814.62-0.09932
Russia ETFRSX28.110.751.3435563.2073-2.53-3.175.01-0.01378
Russian Ruble US Dollar (RUB/USD)RUBUSD73.96-100.2627945.5344-0.231.83-0.640.20409
Russia 10-Year Bond YieldRU.10Y7.12-0.5-0.25-0.5219947.5003-1.25-0.280.85-0.06725
Russia 5-Year Bond YieldRU.5Y6.8800.25-0.4659647.664-2.69-0.862.99-0.11398
Russia 2-year bond yieldRU.2Y6.79-1-1-0.9418632.6087-0.882.5715.28-0.22518
Russia Yield CurveRU.YC0.3300.751.2052464.77-8.33-36.54-71.791.38281
Russia Credit Default SwapsCDS.Russia85.5-0.5-0.25-0.5248552.0676-0.87-0.58-11.860.4674

Russia Economic Indicators

IndicatorActualPreviousM/M%Y/Y%TrendSlopeZS5YUpdate
balance of trade1020610591-0.03635161.723051.01.00.9833332021-05-31
bank lending rate6.426.030.0646766-0.113261.0-1.00.752021-05-31
business confidence0.3-0.3-2-1.042861.01.00.01666672021-05-31
capacity utilization606000.0344828-1.01.00.9166672021-05-31
capital flows2486959923.15037-0.2179071.0-1.00.4666672021-01-01
car registrations1519641486760.02211522.90432-1.01.00.9833332021-04-30
cash reserve ratio8800-1.0-1.00.2666672019-12-31
central bank balance sheet50061100495002000.0113313-0.01448711.0-1.00.2166672021-03-31
composite pmi5556.2-0.02135230.1247441.01.00.92021-06-30
consumer confidence-18-21-0.1428571.25-1.0-1.00.72021-04-01
consumer price index cpi647.46430.006842920.06497781.01.00.9666672021-06-30
core inflation rate6.556.040.08443711.266441.01.00.9333332021-06-30
current account550031810.729016-0.572351-1.0-1.00.22020-12-31
current account to gdp3.96.8-0.426471-0.338983-1.0-1.002019-01-31
deposit interest rate3.333.36-0.00892857-0.189781-1.0-1.00.452021-05-31
exports3481636863-0.05552990.6587741.01.012021-05-31
external debt471.4459.30.0263444-0.02904221.0-1.00.42021-04-01
fiscal expenditure16756800137343000.2200690.118126-1.01.00.7333332021-05-31
foreign direct investment388622750.7081320.784206-1.01.00.72020-10-01
foreign exchange reserves591529605232-0.02264090.03982791.01.00.12021-06-30
gdp1483.51687.45-0.120863-0.106783-1.0-1.002020-01-31
Real GDP20514.824995.5-0.179260.0211093-1.01.00.352021-01-01
gdp growth1.5-3.2-1.468751.51.01.00.9333332020-05-01
gdp growth annual-0.7-1.8-0.611111-1.36842-1.0-1.00.42021-01-01
gold reserves2295.422298.53-0.001353040.2139941.01.00.1666672021-01-01
government budget-3.81.8-3.11111-1.92683-1.0-1.002019-02-28
Government budget625.91312.071.00567-1.760391.01.00.252021-06-30
government debt16945.214572.80.1627960.4658861.01.002020-06-01
government debt to gdp17.814.60.2191781.738461.01.002020-01-31
government revenues17950200144671000.240760.167569-1.01.00.8166672021-05-31
housing index86.30.269841-0.658121.0-1.002019-01-31
housing starts56-0.1666670.388889-1.01.00.9833332021-05-31
imports2461026272-0.06326130.4274111.01.00.9833332021-05-31
industrial production11.87.60.552632-2.229171.01.00.32021-05-31
industrial production mom-2.1-4.1-0.487805-0.637931-1.01.00.2666672021-05-31
inflation cpi6.560.08333331.024921.01.00.852021-06-30
interbank rate4.614.52-0.104854-0.00646552-1.0-1.00.4333332021-03-31
interest rate4.254.5-0.0555556-0.433333-1.0-1.00.01666672020-07-24
loans to private sector35632200348483000.02249460.1321951.01.00.9166672021-04-30
manufacturing pmi49.251.9-0.0520231-0.00404858-1.0-1.00.452021-06-30
money supply m012752.312859.9-0.008367090.1376541.01.00.7666672021-05-31
money supply m133276.733030.30.007459820.2570811.01.00.8166672021-05-31
money supply m259194.159206.3-0.0002060590.1154391.01.00.6833332021-05-31
Producer Price Index729.77050.03503550.1014341.01.00.92021-02-28
PPI Index31.135.3-0.11898-3.205671.01.00.12021-06-30
retail sales MoM9.2-2.4-4.83333-0.09803921.0-1.00.352021-03-31
retail sales27.235.1-0.225071-2.416671.01.00.152021-05-31
services pmi56.557.5-0.01739130.1820081.01.00.9252021-06-30
total vehicle sales1578081473780.07077040.2869471.01.00.952021-06-30
unemployment rate4.95.2-0.0576923-0.196721-1.0-1.00.01666672021-05-31

RTSI Trading Signals


MacroVar estimates the following signals: RTSI momentum, RTSI trend, RTSI oscillator, RTSI RSI and RTSI returns.

RTSI Momentum

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.

MacroVarRTSI momentum signal ranges from -100 to +100. The RTSI momentum signal is derived as the mean value from 4 calculations for the RTSI. 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. RTSI 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. RTSI momentum signal is the aggregate of the the 4 values. A technical momentum rollover is identified when RTSI momentum signal moves from positive to negative value or vice-versa.

RTSI trend

RTSI trend signal ranges from -100 to +100. RTSI 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. RTSI Closing price vs RTSI moving average (MA) calculation: If RTSI is greater than RTSI MA value is +1, else -1, 2. RTSI Moving average slope calculation: if current RTSI moving average is higher than the previous MA, RTSI upward slope +1, else -1
RTSI trend model can be used as a trend strength indicator. RTSI trend strength values ranging between +75 and +100 or -75 and -100 show strong trend strength.
A technical trend rollover is identified when RTSI trend strength indicator moves from positive to negative value or vice-versa.

The most important trend indicator
The RTSI 52-week simple moving average and its slope are the most important indicators defining a market’s trend. RTSI is in an uptrend when RTSI price is higher than the 52-week moving average and the RTSI 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 RTSI oscillator and RTSI RSI to buy the dip and still follow the trend. The moving average slope turn signifies a change of trend.

RTSI oscillator

The RTSI oscillator estimated by MacroVar is the z-score of the current RTSI price versus RTSI 1-year simple moving average price. The formula for the RTSI oscillator is:
RTSI oscillator = (Current Price – 250 trading days RTSI simple moving average price) / (250 days RTSI price standard deviation)

RTSI oversold conditions
RTSI is oversold when it is subject to a persistent downward pressure due to extreme fund outflows. When the RTSI is oversold it is often due for a rebound. Values of the RTSI oscillator lower than -2.5 signify oversold conditions. It must be noted that the RTSI oscillator must be analyzed ibn conjunction with the rest of RTSI 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 RTSI RSI.
RTSI overbought conditions
RTSI is overbought when it is subject to a persistent upward pressure due to extreme fund inflows. When the RTSI is overbought it is often due for a correction. Values of the RTSI oscillator higher than +2.5 signify overbought conditions. It must be noted that the MacroVar oscillator must be compared to the rest of the RTSI 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.

RTSI 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 RTSI is in a downtrend RSI values between 50-60 signify overbought conditions before the downtrend is ready to resume. During RTSI 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.

RTSI returns

MacroVar calculates RTSI returns for the following timeframes: Daily, Weekly, Monthly, Yearly. The formula for calculating returns is:

RTSI returns = (RTSI Closing Price – RTSI Previous Price)/(RTSI Previous Price)
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