XLB/SPY ratio

XLB/SPY closed up by 0.69% to 0.19 on 23 January 2021 and +-2.43% on a weekly basis. XLB/SPY momentum was last calculated at +100.0/100 indicating positive momentum. XLB/SPY trend is +100.0/100 indicating a positive trend. XLB/SPY momentum exhaustion is 1.84374 indicating XLB/SPY is oversold.XLB/SPY RSI is 60.355 .

XLB/SPY ratio Chart

XLB/SPY ratio

XLB/SPY ratio Statistics

SecuritySymbolLastMomentumTrendOscillatorRSI1D%1W%1M%1Y%
XLB/SPYXLBSPY0.19111.8437460.3550.69-2.43-4.860.07458

XLB/SPY closed at 0.19 on 23 January 2021. XLB/SPY trend was last calculated at +100.0/100 (range: -100 to +100) indicating a positive trend based on MacroVar models. XLB/SPY momentum was last calculated at +100.0/100 (range: -100 to +100) indicating positive momentum. XLB/SPY momentum exhaustion is 1.84374 (normal range: -2.5 to +2.5, overbought values: greater than 2.5, oversold values: less than 2.5) indicating XLB/SPY is oversold and a possible reversal is imminent. XLB/SPY RSI was last calculated at 60.355. XLB/SPY moving averages were last recorded as follows: 1-month moving average: 0.19368 in an uptrend , 1-quarter moving average: 0.19336 in an uptrend and 1-year moving average: 0.18508 in an uptrend. XLB/SPY annual return was last recorded at None%, daily return was last recorded at 0.69%, and weekly return was last recorded at -2.43%. XLB/SPY histrorical 20-day volatility was last recorded at 12.0768%, XLB/SPY alpha None, XLB/SPY beta None and XLB/SPY maximum drawdown was recorded at None%. MacroVar models monitor XLB/SPY statistics based on historical data since 1970.

XLB/SPY Trading Signals

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

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

XLB/SPY Trend

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

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

XLB/SPY Oscillator

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

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

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

XLB/SPY Returns

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

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

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