SPY/TLT ratio

SPY/TLT closed down by -1.35% to 2.93 on 23 January 2021 and +-0.53% on a weekly basis. SPY/TLT momentum was last calculated at +50.0/100 indicating positive momentum. SPY/TLT trend is +75.0/100 indicating a positive trend. SPY/TLT momentum exhaustion is 1.42287 indicating SPY/TLT is oversold.SPY/TLT RSI is 59.5251 .

SPY/TLT ratio Chart

SPY/TLT ratio

SPY/TLT ratio Statistics

SecuritySymbolLastMomentumTrendOscillatorRSI1D%1W%1M%1Y%
SPY/TLTSPYTLT2.930.50.751.4228759.5251-1.35-0.53-1.870.01499

SPY/TLT closed at 2.93 on 23 January 2021. SPY/TLT trend was last calculated at +75.0/100 (range: -100 to +100) indicating a positive trend based on MacroVar models. SPY/TLT momentum was last calculated at +50.0/100 (range: -100 to +100) indicating positive momentum. SPY/TLT momentum exhaustion is 1.42287 (normal range: -2.5 to +2.5, overbought values: greater than 2.5, oversold values: less than 2.5) indicating SPY/TLT is oversold and a possible reversal is imminent. SPY/TLT RSI was last calculated at 59.5251. SPY/TLT moving averages were last recorded as follows: 1-month moving average: 2.34736 in a downtrend , 1-quarter moving average: 2.25259 in an uptrend and 1-year moving average: 2.01952 in an uptrend. SPY/TLT annual return was last recorded at None%, daily return was last recorded at -1.35%, and weekly return was last recorded at -0.53%. SPY/TLT histrorical 20-day volatility was last recorded at 13.077%, SPY/TLT alpha None, SPY/TLT beta None and SPY/TLT maximum drawdown was recorded at None%. MacroVar models monitor SPY/TLT statistics based on historical data since 1970.

SPY/TLT Trading Signals

MacroVar estimates the following signals: SPY/TLT momentum, SPY/TLT trend, SPY/TLT oscillator, SPY/TLT RSI and SPY/TLT returns.

SPY/TLT 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.

MacroVar SPY/TLT momentum signal ranges from -100 to +100. The SPY/TLT 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/TLT 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/TLT BADI momentum signal is the aggregate of the the 4 values. A technical momentum rollover is identified when SPY/TLT momentum signal moves from positive to negative value or vice-versa.

SPY/TLT Trend

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

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

SPY/TLT Oscillator

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

SPY/TLT oversold conditions
SPY/TLT is oversold when it is subject to a persistent downward pressure due to extreme fund outflows. When the SPY/TLT is oversold it is often due for a rebound. Values of the SPY/TLT oscillator lower than -2.5 signify oversold conditions. It must be noted that the SPY/TLT oscillator must be analyzed ibn conjunction with the rest of SPY/TLT 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/TLT RSI.
SPY/TLT overbought conditions
SPY/TLT is overbought when it is subject to a persistent upward pressure due to extreme fund inflows. When the SPY/TLT is overbought it is often due for a correction. Values of the SPY/TLT 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/TLT 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/TLT 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/TLT is in a downtrend RSI values between 50-60 signify overbought conditions before the downtrend is ready to resume. During SPY/TLT 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.

SPY/TLT Returns

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

SPY/TLT returns = (SPY/TLT Closing Price Previous Price)/(SPY/TLT Previous Price)

Feedback
Feedback
How would you rate your experience?
Do you have any additional comment?
Next
Enter your email if you'd like us to contact you regarding with your feedback.
Back
Submit
Thank you for submitting your feedback!