SPY/IEF closed down by -0.93% to 3.71 on 23 January 2021 and +1.17% on a weekly basis. SPY/IEF momentum was last calculated at +50.0/100 indicating positive momentum. SPY/IEF trend is +100.0/100 indicating a positive trend. SPY/IEF momentum exhaustion is 1.47043 indicating SPY/IEF is oversold.SPY/IEF RSI is 58.3167 .
SPY/IEF closed at 3.71 on 23 January 2021. SPY/IEF trend was last calculated at +100.0/100 (range: -100 to +100) indicating a positive trend based on MacroVar models. SPY/IEF momentum was last calculated at +50.0/100 (range: -100 to +100) indicating positive momentum. SPY/IEF momentum exhaustion is 1.47043 (normal range: -2.5 to +2.5, overbought values: greater than 2.5, oversold values: less than 2.5) indicating SPY/IEF is oversold and a possible reversal is imminent. SPY/IEF RSI was last calculated at 58.3167. SPY/IEF moving averages were last recorded as follows: 1-month moving average: 3.08213 in an uptrend , 1-quarter moving average: 2.96987 in an uptrend and 1-year moving average: 2.68554 in an uptrend. SPY/IEF annual return was last recorded at None%, daily return was last recorded at -0.93%, and weekly return was last recorded at 1.17%. SPY/IEF histrorical 20-day volatility was last recorded at 10.6549%, SPY/IEF alpha None, SPY/IEF beta None and SPY/IEF maximum drawdown was recorded at None%. MacroVar models monitor SPY/IEF 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 SPY/IEF momentum signal ranges from -100 to +100. The
SPY/IEF 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. SPY/IEF 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.
SPY/IEF BADI momentum signal is the aggregate of the the 4 values. A technical momentum rollover is identified when
SPY/IEF momentum signal moves from positive to negative value or vice-versa.
SPY/IEF trend signal ranges from -100 to +100. SPY/IEF 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. SPY/IEF Closing price vs
SPY/IEF moving average (MA) calculation: If
SPY/IEF is greater than SPY/IEF MA value is +1, else -1, 2. SPY/IEF Moving average slope calculation: if current
SPY/IEF moving average is higher than the previous MA,
SPY/IEF upward slope +1, else -1
SPY/IEF trend model can be used as a trend strength indicator.
SPY/IEF trend strength values ranging between +75 and +100 or -75 and -100 show strong trend strength.
A technical trend rollover is identified when SPY/IEF trend strength indicator moves from positive to negative value or vice-versa.
The most important trend indicator
The SPY/IEF 52-week simple moving average and its slope are the most important indicators defining a market’s trend.
SPY/IEF is in an uptrend when SPY/IEF price is higher than the 52-week moving average and the
SPY/IEF 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
SPY/IEF oscillator and SPY/IEF RSI to buy the dip and still follow the trend. The moving average slope turn signifies a change of trend.
The SPY/IEF oscillator estimated by MacroVar is the z-score of the current
SPY/IEF price versus SPY/IEF 1-year simple moving average price. The formula for the
SPY/IEF oscillator is:
SPY/IEF oscillator = (Current Price – 250 trading days
SPY/IEF simple moving average price) / (250 days SPY/IEF price standard deviation)
SPY/IEF oversold conditions
SPY/IEF is oversold when it is subject to a persistent downward pressure due to extreme fund outflows. When the
SPY/IEF is oversold it is often due for a rebound. Values of the
SPY/IEF oscillator lower than -2.5 signify oversold conditions. It must be noted that the
SPY/IEF oscillator must be analyzed ibn conjunction with the rest of
SPY/IEF 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
SPY/IEF overbought conditions
SPY/IEF is overbought when it is subject to a persistent upward pressure due to extreme fund inflows. When the
SPY/IEF is overbought it is often due for a correction. Values of the
SPY/IEF oscillator higher than +2.5 signify overbought conditions. It must be noted that the MacroVar oscillator must be compared to the rest of the
SPY/IEF 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.
SPY/IEF 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 SPY/IEF is in a downtrend RSI values between 50-60 signify overbought conditions before the downtrend is ready to resume. During
SPY/IEF 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.
MacroVar calculates SPY/IEF returns for the following timeframes: Daily, Weekly, Monthly, Yearly. The formula for calculating returns is: