- Published on
Sherpa Trend Signal Updates 2024-03-02
Now we are cooking. After an inauspicious debut over the last two weeks, Macro Sherpa's trend models were lighting up across the board. Traditional and crypto markets are well-represented in this week's update. No surprise there as both are at or flirting with all-time highs. If you're new here, peep the bottom of the page for some notes on the models and our methodology. And as always, obviously not financial advice.
- Total signal flips: 30
- New longs: 30 (23 trad, 7 crypto)
- New shorts: 0
- Best crypto idea: Long Litecoin (LTC)
- High beta to bitcoin
- Huge signal sample by crypto standards
- High hit rate and expected return over all forward time horizons
- Best trad idea: Long Cisco Systems (CSCO)
- Legacy tech infrastructure provider, entering AI chip race
- Huge weight in Nasdaq-100 (flows beget flows)
- Preference for long term signals
- Lighter sample size but high hit rate and forward returns
Interested to see how breadth plays out over time in this report. Our hunch is thirty longs and zero shorts will go down as a fairly prolific signal. Remember, not only does the price momentum need to flip, but we only validate signals that persist for five days to limit chop.
TRAD
Short Term Trend (3 month lookback)
| Asset | Fwd Return Horizon | Num Signals | Signal Hit Rate | Mean Fwd Return | Median Fwd Return | Fwd Return Std | Signal Direction |
|---|---|---|---|---|---|---|---|
| Carnival Corp (Paired Stock) (CCL) | 1m Fwd Return | 133 | 52.6% | 1.5% | 0.4% | 13.7% | Long |
| Carnival Corp (Paired Stock) (CCL) | 3m Fwd Return | 132 | 57.6% | 4.5% | 4.2% | 21.0% | Long |
| Carnival Corp (Paired Stock) (CCL) | 12m Fwd Return | 129 | 58.1% | 7.8% | 10.8% | 37.0% | Long |
| Copart Inc (CPRT) | 1m Fwd Return | 106 | 61.3% | 2.5% | 1.6% | 10.4% | Long |
| Copart Inc (CPRT) | 3m Fwd Return | 106 | 66.0% | 6.7% | 7.4% | 18.6% | Long |
| Copart Inc (CPRT) | 12m Fwd Return | 103 | 77.7% | 30.1% | 24.4% | 44.4% | Long |
| Costar Group Inc (CSGP) | 1m Fwd Return | 89 | 57.3% | 0.8% | 1.2% | 13.4% | Long |
| Costar Group Inc (CSGP) | 3m Fwd Return | 88 | 59.1% | 4.3% | 3.3% | 22.4% | Long |
| Costar Group Inc (CSGP) | 12m Fwd Return | 85 | 64.7% | 16.3% | 13.1% | 38.5% | Long |
| Expeditors International Of Washington Inc (EXPD) | 1m Fwd Return | 159 | 57.2% | 1.0% | 1.1% | 7.8% | Long |
| Expeditors International Of Washington Inc (EXPD) | 3m Fwd Return | 159 | 60.4% | 4.0% | 3.2% | 13.0% | Long |
| Expeditors International Of Washington Inc (EXPD) | 12m Fwd Return | 153 | 79.7% | 19.8% | 18.5% | 27.9% | Long |
| Factset Research Systems Inc (FDS) | 1m Fwd Return | 102 | 58.8% | 3.3% | 2.7% | 10.0% | Long |
| Factset Research Systems Inc (FDS) | 3m Fwd Return | 102 | 55.9% | 5.9% | 5.5% | 15.5% | Long |
| Factset Research Systems Inc (FDS) | 12m Fwd Return | 97 | 81.4% | 24.6% | 19.2% | 31.0% | Long |
| Invitation Homes Inc (INVH) | 1m Fwd Return | 35 | 42.9% | -1.2% | -1.4% | 5.5% | Long |
| Invitation Homes Inc (INVH) | 3m Fwd Return | 33 | 60.6% | 0.4% | 2.2% | 10.7% | Long |
| Invitation Homes Inc (INVH) | 12m Fwd Return | 28 | 64.3% | 12.2% | 9.8% | 24.3% | Long |
| Paycom Software Inc (PAYC) | 1m Fwd Return | 24 | 54.2% | 3.4% | 6.6% | 13.1% | Long |
| Paycom Software Inc (PAYC) | 3m Fwd Return | 24 | 58.3% | 10.2% | 8.2% | 24.7% | Long |
| Paycom Software Inc (PAYC) | 12m Fwd Return | 21 | 71.4% | 39.1% | 29.6% | 59.7% | Long |
Long Term Trend (12 month lookback)
| Asset | Fwd Return Horizon | Num Signals | Signal Hit Rate | Mean Fwd Return | Median Fwd Return | Fwd Return Std | Signal Direction |
|---|---|---|---|---|---|---|---|
| Bank Of America Corp (BAC) | 1m Fwd Return | 65 | 58.5% | 1.1% | 1.3% | 8.1% | Long |
| Bank Of America Corp (BAC) | 3m Fwd Return | 63 | 63.5% | 3.0% | 3.5% | 14.7% | Long |
| Bank Of America Corp (BAC) | 12m Fwd Return | 62 | 59.7% | 15.0% | 16.5% | 34.9% | Long |
| Charles River Laboratories International Inc (CRL) | 1m Fwd Return | 42 | 57.1% | 1.1% | 2.2% | 9.3% | Long |
| Charles River Laboratories International Inc (CRL) | 3m Fwd Return | 41 | 70.7% | 5.0% | 4.9% | 14.1% | Long |
| Charles River Laboratories International Inc (CRL) | 12m Fwd Return | 38 | 71.1% | 20.5% | 17.7% | 29.8% | Long |
| Cisco Systems Inc (CSCO) | 1m Fwd Return | 41 | 68.3% | 0.9% | 2.8% | 10.5% | Long |
| Cisco Systems Inc (CSCO) | 3m Fwd Return | 40 | 72.5% | 6.4% | 10.1% | 17.9% | Long |
| Cisco Systems Inc (CSCO) | 12m Fwd Return | 38 | 71.1% | 27.5% | 24.3% | 47.9% | Long |
| Dollar Tree Inc (DLTR) | 1m Fwd Return | 60 | 56.7% | 1.5% | 2.2% | 12.0% | Long |
| Dollar Tree Inc (DLTR) | 3m Fwd Return | 60 | 56.7% | 6.4% | 3.5% | 18.7% | Long |
| Dollar Tree Inc (DLTR) | 12m Fwd Return | 58 | 75.9% | 22.4% | 21.9% | 28.8% | Long |
| ISHARES MSCI MALAYSIA ETF (EWM) | 1m Fwd Return | 60 | 48.3% | -1.4% | -0.3% | 5.0% | Long |
| ISHARES MSCI MALAYSIA ETF (EWM) | 3m Fwd Return | 60 | 60.0% | 1.8% | 2.2% | 13.0% | Long |
| ISHARES MSCI MALAYSIA ETF (EWM) | 12m Fwd Return | 56 | 53.6% | 3.4% | 3.1% | 22.1% | Long |
| Carmax Inc (KMX) | 1m Fwd Return | 44 | 52.3% | 2.5% | 1.2% | 14.0% | Long |
| Carmax Inc (KMX) | 3m Fwd Return | 43 | 55.8% | 6.3% | 2.6% | 21.3% | Long |
| Carmax Inc (KMX) | 12m Fwd Return | 42 | 83.3% | 40.2% | 30.5% | 50.4% | Long |
| Southwest Airlines Company (LUV) | 1m Fwd Return | 71 | 45.1% | -0.9% | -0.3% | 9.6% | Long |
| Southwest Airlines Company (LUV) | 3m Fwd Return | 71 | 50.7% | -0.0% | 0.1% | 19.0% | Long |
| Southwest Airlines Company (LUV) | 12m Fwd Return | 69 | 47.8% | 9.7% | -2.7% | 39.1% | Long |
| Mohawk Industries Inc (MHK) | 1m Fwd Return | 59 | 61.0% | 1.9% | 2.2% | 10.3% | Long |
| Mohawk Industries Inc (MHK) | 3m Fwd Return | 58 | 62.1% | 2.7% | 5.5% | 19.7% | Long |
| Mohawk Industries Inc (MHK) | 12m Fwd Return | 58 | 67.2% | 20.8% | 18.1% | 36.8% | Long |
| Robert Half Inc (RHI) | 1m Fwd Return | 43 | 37.2% | -1.7% | -2.6% | 7.3% | Long |
| Robert Half Inc (RHI) | 3m Fwd Return | 43 | 55.8% | 2.5% | 1.3% | 16.1% | Long |
| Robert Half Inc (RHI) | 12m Fwd Return | 37 | 62.2% | 11.2% | 8.2% | 41.6% | Long |
| SPDR Dividend ETF (SDY) | 1m Fwd Return | 25 | 64.0% | 1.7% | 1.9% | 2.9% | Long |
| SPDR Dividend ETF (SDY) | 3m Fwd Return | 23 | 73.9% | 3.7% | 4.2% | 4.9% | Long |
| SPDR Dividend ETF (SDY) | 12m Fwd Return | 18 | 83.3% | 13.4% | 17.5% | 13.4% | Long |
| Steel Dynamics Inc (STLD) | 1m Fwd Return | 39 | 56.4% | 0.7% | 1.0% | 13.3% | Long |
| Steel Dynamics Inc (STLD) | 3m Fwd Return | 39 | 64.1% | 6.0% | 5.0% | 23.7% | Long |
| Steel Dynamics Inc (STLD) | 12m Fwd Return | 39 | 69.2% | 29.5% | 20.0% | 47.7% | Long |
| Thermo Fisher Scientific Inc (TMO) | 1m Fwd Return | 52 | 61.5% | 2.2% | 2.0% | 9.9% | Long |
| Thermo Fisher Scientific Inc (TMO) | 3m Fwd Return | 51 | 60.8% | 4.3% | 4.0% | 12.0% | Long |
| Thermo Fisher Scientific Inc (TMO) | 12m Fwd Return | 49 | 79.6% | 23.5% | 27.1% | 35.2% | Long |
| T. Rowe Price Group Inc (TROW) | 1m Fwd Return | 75 | 56.0% | 1.8% | 1.6% | 11.1% | Long |
| T. Rowe Price Group Inc (TROW) | 3m Fwd Return | 73 | 61.6% | 4.8% | 4.2% | 16.0% | Long |
| T. Rowe Price Group Inc (TROW) | 12m Fwd Return | 68 | 70.6% | 21.3% | 20.0% | 32.9% | Long |
| Vanguard Real Estate Index Fund ETF (VNQ) | 1m Fwd Return | 39 | 69.2% | 0.9% | 1.0% | 5.2% | Long |
| Vanguard Real Estate Index Fund ETF (VNQ) | 3m Fwd Return | 38 | 71.1% | 1.2% | 4.7% | 11.3% | Long |
| Vanguard Real Estate Index Fund ETF (VNQ) | 12m Fwd Return | 35 | 71.4% | 7.9% | 12.4% | 19.1% | Long |
CRYPTO
Short Term Trend (3 month lookback)
| Asset | Fwd Return Horizon | Num Signals | Signal Hit Rate | Mean Fwd Return | Median Fwd Return | Fwd Return Std | Signal Direction |
|---|---|---|---|---|---|---|---|
| Aave (aave) | 1m Fwd Return | 15 | 20.0% | -12.8% | -14.5% | 19.2% | Long |
| Aave (aave) | 3m Fwd Return | 15 | 40.0% | -6.3% | -20.4% | 41.0% | Long |
| Aave (aave) | 12m Fwd Return | 10 | 10.0% | -49.6% | -47.6% | 28.5% | Long |
| ApeCoin (apecoin) | 1m Fwd Return | 6 | 66.7% | 1.5% | 1.9% | 16.8% | Long |
| ApeCoin (apecoin) | 3m Fwd Return | 5 | 20.0% | -23.4% | -20.6% | 32.3% | Long |
| ApeCoin (apecoin) | 12m Fwd Return | 3 | 0.0% | -72.6% | -71.9% | 5.3% | Long |
| Cronos (crypto-com-chain) | 1m Fwd Return | 13 | 53.8% | 17.0% | 0.8% | 36.8% | Long |
| Cronos (crypto-com-chain) | 3m Fwd Return | 13 | 46.2% | 40.8% | -11.1% | 106.2% | Long |
| Cronos (crypto-com-chain) | 12m Fwd Return | 10 | 80.0% | 144.7% | 81.2% | 192.6% | Long |
| Kava (kava) | 1m Fwd Return | 19 | 42.1% | -3.3% | -12.2% | 27.6% | Long |
| Kava (kava) | 3m Fwd Return | 19 | 31.6% | -3.0% | -18.1% | 56.2% | Long |
| Kava (kava) | 12m Fwd Return | 13 | 38.5% | 8.7% | -55.6% | 113.7% | Long |
| Litecoin (litecoin) | 1m Fwd Return | 52 | 61.5% | 19.6% | 3.4% | 73.3% | Long |
| Litecoin (litecoin) | 3m Fwd Return | 52 | 61.5% | 116.3% | 8.4% | 233.0% | Long |
| Litecoin (litecoin) | 12m Fwd Return | 44 | 77.3% | 855.5% | 144.8% | 1657.1% | Long |
| Quant (quant-network) | 1m Fwd Return | 22 | 50.0% | 23.5% | 6.0% | 58.9% | Long |
| Quant (quant-network) | 3m Fwd Return | 20 | 65.0% | 71.2% | 33.5% | 140.8% | Long |
| Quant (quant-network) | 12m Fwd Return | 17 | 82.4% | 565.4% | 69.8% | 1220.9% | Long |
| Synthetix Network (havven) | 1m Fwd Return | 25 | 40.0% | 12.4% | -13.1% | 66.6% | Long |
| Synthetix Network (havven) | 3m Fwd Return | 25 | 40.0% | 101.9% | -23.6% | 247.1% | Long |
| Synthetix Network (havven) | 12m Fwd Return | 20 | 40.0% | 373.1% | -26.8% | 737.3% | Long |
Long Term Trend (12 month lookback)
| Asset | Fwd Return Horizon | Num Signals | Signal Hit Rate | Mean Fwd Return | Median Fwd Return | Fwd Return Std | Signal Direction |
|---|---|---|---|---|---|---|---|
| Chiliz (chiliz) | 1m Fwd Return | 3 | 33.3% | 10.0% | -14.4% | 42.2% | Long |
| Chiliz (chiliz) | 3m Fwd Return | 3 | 33.3% | 286.1% | -3.8% | 524.6% | Long |
| Chiliz (chiliz) | 12m Fwd Return | 3 | 100.0% | 2354.6% | 2503.6% | 407.9% | Long |
Fertile ground out there in trend land... 🟢📈
until next week 🤙🏼
macro sherpa
Quick recap on the models:
- On the site we maintain daily time series momentum models with 3-month and 12-month lookback windows for hundreds of assets, ranging from s&p 500 constituents, sector, asset class, and country ETF's, to the top 100 cryptocurrencies by market cap. These signals come from this universe.
- The signals are calculated on a daily close basis, and for the purposes of this report, a new signal must persist for 5 days in order to be considered valid. The five days is arbitrary, but its a solid first-pass naive filter to help reduce chop and reduce market noise.