- Published on
Sherpa Trend Signal Updates 2024-03-16
Keep eating my words on this – 30, 33, now 46 new longs this week. Once again, traditional markets brought most of the thunder. As always, if you're new here, peep the bottom of the page to learn about the trend models and our process.
- Total signal flips: 46
- New longs: 46 (41 trad, 5 crypto)
- New shorts: 0
- Best crypto idea: RUNE
- Obviously not dealing with a huge sample size here (15 historical signals), but eye watering movement. A slugging percentage play.
- Thorchain has cemented itself as a player in the cross-chain interoperability space. Reliant on pronounced alt-szn. Size accordingly.
- Honorable mention: Following the short term flip a few weeks ago, Litecoin saw a confirming long signal on the 12-month lookback model. Similarly cartoonish forward returns.
- Best trad idea: Long CF
- Low sample size (17 signals) but high hit rate (83%) and forward returns (28% median return over next 12 months). We love the volatility in fast markets like this.
- Honorable mention: Exxon, like Litecoin, signaled long on the long term lookback after flipping long on the short term model a month ago.
In terms of trad markets, pretty broad participation sector-wise, but some interesting clusters emerged. For instance, last week it was utilities, this week it was damn near the entire energy complex. From traditional E&P's (COP, EOG, MRO, XOM), to the services majors (HAL, SLB). Exxon is particularly interesting because it signaled long on the short term model a month ago, and just put in a confirming signal on the long term model. The forward returns aren't popping off the page, but the trend is established and you'd clip a nice dividend along the way.
Emerging markets are another notable theme. China, Turkey, and the UAE all put in fresh longs this week. Based on signal performance, the latter two seem to bias toward mean-reversion than momentum. Not
We got the tobacco boys (MO, PM) also stamping longs. Typically these are the classic dividend darlings, so interesting to see some juice from them. What inning of the ZYN trade are we in?
Let’s get to the sigs...
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 |
|---|---|---|---|---|---|---|---|
| Becton Dickinson & Company (BDX) | 1m Fwd Return | 178 | 59.0% | 1.0% | 1.3% | 6.4% | Long |
| Becton Dickinson & Company (BDX) | 3m Fwd Return | 178 | 62.4% | 3.4% | 3.7% | 11.5% | Long |
| Becton Dickinson & Company (BDX) | 12m Fwd Return | 175 | 77.1% | 14.6% | 12.5% | 21.3% | Long |
| Comcast Corp - Class A (CMCSA) | 1m Fwd Return | 141 | 61.0% | 1.5% | 2.1% | 8.6% | Long |
| Comcast Corp - Class A (CMCSA) | 3m Fwd Return | 140 | 65.7% | 5.1% | 5.0% | 14.2% | Long |
| Comcast Corp - Class A (CMCSA) | 12m Fwd Return | 136 | 75.0% | 17.1% | 15.6% | 29.3% | Long |
| Conoco Phillips (COP) | 1m Fwd Return | 152 | 57.2% | 1.4% | 1.3% | 8.5% | Long |
| Conoco Phillips (COP) | 3m Fwd Return | 152 | 63.2% | 4.1% | 4.9% | 13.2% | Long |
| Conoco Phillips (COP) | 12m Fwd Return | 149 | 73.8% | 13.6% | 14.8% | 27.2% | Long |
| DuPont de Nemours Inc (DD) | 1m Fwd Return | 231 | 54.1% | 1.1% | 0.8% | 6.4% | Long |
| DuPont de Nemours Inc (DD) | 3m Fwd Return | 230 | 55.2% | 2.2% | 1.6% | 12.0% | Long |
| DuPont de Nemours Inc (DD) | 12m Fwd Return | 227 | 59.5% | 5.7% | 3.3% | 24.8% | Long |
| Deere & Company (DE) | 1m Fwd Return | 198 | 54.5% | 0.2% | 0.9% | 8.5% | Long |
| Deere & Company (DE) | 3m Fwd Return | 196 | 58.7% | 3.9% | 3.3% | 14.3% | Long |
| Deere & Company (DE) | 12m Fwd Return | 194 | 68.6% | 16.1% | 14.1% | 30.9% | Long |
| EOG Resources Inc (EOG) | 1m Fwd Return | 121 | 51.2% | 0.6% | 0.1% | 10.8% | Long |
| EOG Resources Inc (EOG) | 3m Fwd Return | 121 | 57.9% | 2.3% | 2.8% | 17.7% | Long |
| EOG Resources Inc (EOG) | 12m Fwd Return | 118 | 62.7% | 16.1% | 9.6% | 37.9% | Long |
| First Solar Inc (FSLR) | 1m Fwd Return | 54 | 53.7% | -1.2% | 1.1% | 15.8% | Long |
| First Solar Inc (FSLR) | 3m Fwd Return | 53 | 54.7% | 4.1% | 4.0% | 26.3% | Long |
| First Solar Inc (FSLR) | 12m Fwd Return | 51 | 35.3% | 2.6% | -11.5% | 48.5% | Long |
| ISHARES CHINA LARGE-CAP ETF (FXI) | 1m Fwd Return | 77 | 49.4% | 0.5% | -0.0% | 8.0% | Long |
| ISHARES CHINA LARGE-CAP ETF (FXI) | 3m Fwd Return | 77 | 59.7% | 3.5% | 3.6% | 15.3% | Long |
| ISHARES CHINA LARGE-CAP ETF (FXI) | 12m Fwd Return | 69 | 68.1% | 14.9% | 13.1% | 29.9% | Long |
| Halliburton Company (HAL) | 1m Fwd Return | 177 | 55.4% | 0.6% | 0.9% | 10.3% | Long |
| Halliburton Company (HAL) | 3m Fwd Return | 177 | 58.8% | 4.1% | 6.1% | 20.0% | Long |
| Halliburton Company (HAL) | 12m Fwd Return | 172 | 63.4% | 15.6% | 14.4% | 42.3% | Long |
| Altria Group Inc (MO) | 1m Fwd Return | 196 | 64.8% | 1.7% | 2.1% | 6.6% | Long |
| Altria Group Inc (MO) | 3m Fwd Return | 194 | 66.5% | 5.3% | 6.4% | 12.1% | Long |
| Altria Group Inc (MO) | 12m Fwd Return | 190 | 75.8% | 17.4% | 19.0% | 26.6% | Long |
| Marathon Oil Corporation (MRO) | 1m Fwd Return | 229 | 51.5% | -0.1% | 0.5% | 9.5% | Long |
| Marathon Oil Corporation (MRO) | 3m Fwd Return | 228 | 50.0% | -0.3% | 0.1% | 18.3% | Long |
| Marathon Oil Corporation (MRO) | 12m Fwd Return | 225 | 51.6% | 7.4% | 0.9% | 37.6% | Long |
| Oracle Corp (ORCL) | 1m Fwd Return | 152 | 59.2% | 1.4% | 2.4% | 10.6% | Long |
| Oracle Corp (ORCL) | 3m Fwd Return | 150 | 60.0% | 4.6% | 4.1% | 19.7% | Long |
| Oracle Corp (ORCL) | 12m Fwd Return | 150 | 66.7% | 29.0% | 16.9% | 69.5% | Long |
| Philip Morris International Inc (PM) | 1m Fwd Return | 60 | 63.3% | 1.6% | 1.6% | 5.6% | Long |
| Philip Morris International Inc (PM) | 3m Fwd Return | 59 | 59.3% | 1.3% | 2.6% | 10.2% | Long |
| Philip Morris International Inc (PM) | 12m Fwd Return | 56 | 78.6% | 13.0% | 9.2% | 17.8% | Long |
| SLB (SLB) | 1m Fwd Return | 188 | 57.4% | 0.8% | 1.2% | 9.3% | Long |
| SLB (SLB) | 3m Fwd Return | 188 | 55.9% | 2.9% | 2.0% | 15.8% | Long |
| SLB (SLB) | 12m Fwd Return | 186 | 57.0% | 9.7% | 6.3% | 33.4% | Long |
| ISHARES MSCI TURKEY ETF (TUR) | 1m Fwd Return | 53 | 45.3% | -1.2% | -0.7% | 8.1% | Long |
| ISHARES MSCI TURKEY ETF (TUR) | 3m Fwd Return | 52 | 50.0% | -1.8% | -0.4% | 18.6% | Long |
| ISHARES MSCI TURKEY ETF (TUR) | 12m Fwd Return | 49 | 44.9% | 5.8% | -1.9% | 33.8% | 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 |
|---|---|---|---|---|---|---|---|
| Best Buy Co. Inc (BBY) | 1m Fwd Return | 61 | 52.5% | 1.8% | 1.0% | 10.7% | Long |
| Best Buy Co. Inc (BBY) | 3m Fwd Return | 61 | 55.7% | 3.2% | 3.4% | 27.5% | Long |
| Best Buy Co. Inc (BBY) | 12m Fwd Return | 56 | 46.4% | 20.9% | -7.1% | 67.6% | Long |
| Franklin Resources Inc (BEN) | 1m Fwd Return | 55 | 43.6% | -2.2% | -1.8% | 9.5% | Long |
| Franklin Resources Inc (BEN) | 3m Fwd Return | 53 | 41.5% | -1.5% | -2.0% | 13.2% | Long |
| Franklin Resources Inc (BEN) | 12m Fwd Return | 49 | 57.1% | 12.3% | 9.7% | 36.8% | Long |
| CF Industries Holdings Inc (CF) | 1m Fwd Return | 18 | 61.1% | 2.6% | 3.5% | 7.0% | Long |
| CF Industries Holdings Inc (CF) | 3m Fwd Return | 18 | 61.1% | 7.7% | 9.4% | 22.0% | Long |
| CF Industries Holdings Inc (CF) | 12m Fwd Return | 18 | 72.2% | 37.0% | 28.1% | 80.0% | Long |
| DuPont de Nemours Inc (DD) | 1m Fwd Return | 134 | 53.0% | 0.1% | 0.8% | 7.0% | Long |
| DuPont de Nemours Inc (DD) | 3m Fwd Return | 134 | 56.0% | 1.0% | 0.8% | 11.1% | Long |
| DuPont de Nemours Inc (DD) | 12m Fwd Return | 132 | 59.1% | 1.9% | 3.9% | 20.8% | Long |
| EPAM Systems Inc (EPAM) | 1m Fwd Return | 11 | 72.7% | 6.0% | 5.7% | 10.9% | Long |
| EPAM Systems Inc (EPAM) | 3m Fwd Return | 11 | 81.8% | 12.0% | 11.6% | 24.4% | Long |
| EPAM Systems Inc (EPAM) | 12m Fwd Return | 9 | 100.0% | 59.9% | 51.0% | 38.4% | Long |
| Firstenergy Corp (FE) | 1m Fwd Return | 46 | 54.3% | 0.1% | 1.2% | 7.2% | Long |
| Firstenergy Corp (FE) | 3m Fwd Return | 46 | 50.0% | -0.6% | 0.0% | 10.9% | Long |
| Firstenergy Corp (FE) | 12m Fwd Return | 42 | 59.5% | 4.3% | 3.5% | 16.1% | Long |
| Federal Realty Investment Trust. (FRT) | 1m Fwd Return | 86 | 58.1% | 0.6% | 0.7% | 6.7% | Long |
| Federal Realty Investment Trust. (FRT) | 3m Fwd Return | 85 | 56.5% | 1.7% | 3.0% | 8.9% | Long |
| Federal Realty Investment Trust. (FRT) | 12m Fwd Return | 77 | 71.4% | 12.3% | 10.6% | 18.5% | Long |
| Hasbro Inc (HAS) | 1m Fwd Return | 49 | 63.3% | 1.6% | 2.9% | 7.6% | Long |
| Hasbro Inc (HAS) | 3m Fwd Return | 49 | 57.1% | 4.6% | 2.7% | 13.3% | Long |
| Hasbro Inc (HAS) | 12m Fwd Return | 49 | 67.3% | 11.8% | 14.1% | 27.3% | Long |
| Lamb Weston Holdings Inc (LW) | 1m Fwd Return | 7 | 57.1% | 2.1% | 1.0% | 5.1% | Long |
| Lamb Weston Holdings Inc (LW) | 3m Fwd Return | 7 | 71.4% | 6.6% | 5.1% | 12.9% | Long |
| Lamb Weston Holdings Inc (LW) | 12m Fwd Return | 7 | 42.9% | 2.6% | -5.7% | 26.6% | Long |
| M & T Bank Corp (MTB) | 1m Fwd Return | 48 | 52.1% | -0.5% | 0.2% | 7.8% | Long |
| M & T Bank Corp (MTB) | 3m Fwd Return | 47 | 61.7% | 2.5% | 3.9% | 16.4% | Long |
| M & T Bank Corp (MTB) | 12m Fwd Return | 47 | 76.6% | 12.8% | 6.6% | 24.5% | Long |
| Northrop Grumman Corp (NOC) | 1m Fwd Return | 57 | 52.6% | 1.4% | 0.7% | 7.4% | Long |
| Northrop Grumman Corp (NOC) | 3m Fwd Return | 55 | 56.4% | 2.9% | 1.2% | 16.1% | Long |
| Northrop Grumman Corp (NOC) | 12m Fwd Return | 51 | 64.7% | 14.1% | 18.5% | 33.9% | Long |
| PG&E Corp (PCG) | 1m Fwd Return | 80 | 47.5% | 0.2% | 0.0% | 7.7% | Long |
| PG&E Corp (PCG) | 3m Fwd Return | 80 | 48.8% | -0.1% | -1.0% | 13.6% | Long |
| PG&E Corp (PCG) | 12m Fwd Return | 80 | 63.7% | 9.4% | 9.0% | 20.6% | Long |
| Public Storage. (PSA) | 1m Fwd Return | 65 | 50.8% | 0.2% | 0.1% | 6.4% | Long |
| Public Storage. (PSA) | 3m Fwd Return | 64 | 56.2% | 2.8% | 2.5% | 9.8% | Long |
| Public Storage. (PSA) | 12m Fwd Return | 61 | 72.1% | 15.7% | 15.8% | 23.8% | Long |
| Sirius XM Holdings Inc (SIRI) | 1m Fwd Return | 57 | 64.9% | 7.3% | 3.0% | 18.5% | Long |
| Sirius XM Holdings Inc (SIRI) | 3m Fwd Return | 56 | 66.1% | 15.5% | 4.5% | 46.3% | Long |
| Sirius XM Holdings Inc (SIRI) | 12m Fwd Return | 56 | 71.4% | 25.1% | 14.6% | 47.5% | 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 |
| ISHARES MSCI UAE ETF (UAE) | 1m Fwd Return | 18 | 38.9% | -0.9% | -1.2% | 5.3% | Long |
| ISHARES MSCI UAE ETF (UAE) | 3m Fwd Return | 17 | 35.3% | -3.8% | -2.2% | 11.8% | Long |
| ISHARES MSCI UAE ETF (UAE) | 12m Fwd Return | 13 | 46.2% | 2.5% | -0.3% | 16.5% | Long |
| Unitedhealth Group Inc (UNH) | 1m Fwd Return | 36 | 58.3% | 2.6% | 1.7% | 9.2% | Long |
| Unitedhealth Group Inc (UNH) | 3m Fwd Return | 35 | 54.3% | 4.8% | 2.6% | 17.2% | Long |
| Unitedhealth Group Inc (UNH) | 12m Fwd Return | 32 | 75.0% | 15.1% | 20.3% | 31.1% | Long |
| U.S. Bancorp. (USB) | 1m Fwd Return | 62 | 69.4% | 6.4% | 2.6% | 22.8% | Long |
| U.S. Bancorp. (USB) | 3m Fwd Return | 61 | 70.5% | 13.9% | 5.4% | 36.7% | Long |
| U.S. Bancorp. (USB) | 12m Fwd Return | 61 | 78.7% | 17.6% | 20.8% | 34.1% | Long |
| Exxon Mobil Corp (XOM) | 1m Fwd Return | 87 | 57.5% | 0.7% | 1.5% | 5.3% | Long |
| Exxon Mobil Corp (XOM) | 3m Fwd Return | 86 | 60.5% | 1.5% | 2.2% | 10.2% | Long |
| Exxon Mobil Corp (XOM) | 12m Fwd Return | 86 | 70.9% | 9.3% | 10.4% | 18.7% | 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 |
|---|---|---|---|---|---|---|---|
| OKB (okb) | 1m Fwd Return | 24 | 41.7% | 1.5% | -4.9% | 26.0% | Long |
| OKB (okb) | 3m Fwd Return | 24 | 70.8% | 40.3% | 11.6% | 67.6% | Long |
| OKB (okb) | 12m Fwd Return | 19 | 84.2% | 145.1% | 150.4% | 116.4% | Long |
| THORChain (thorchain) | 1m Fwd Return | 19 | 52.6% | 41.0% | 1.7% | 77.7% | Long |
| THORChain (thorchain) | 3m Fwd Return | 19 | 57.9% | 211.1% | 96.1% | 291.2% | Long |
| THORChain (thorchain) | 12m Fwd Return | 15 | 66.7% | 3331.4% | 1134.8% | 4511.6% | 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 |
| XRP (ripple) | 1m Fwd Return | 43 | 46.5% | 47.8% | -3.9% | 201.9% | Long |
| XRP (ripple) | 3m Fwd Return | 43 | 55.8% | 111.4% | 8.2% | 463.4% | Long |
| XRP (ripple) | 12m Fwd Return | 39 | 56.4% | 473.8% | 37.0% | 1329.0% | 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 |
|---|---|---|---|---|---|---|---|
| Litecoin (litecoin) | 1m Fwd Return | 19 | 26.3% | -1.6% | -5.1% | 21.9% | Long |
| Litecoin (litecoin) | 3m Fwd Return | 18 | 55.6% | 19.5% | 1.9% | 77.2% | Long |
| Litecoin (litecoin) | 12m Fwd Return | 15 | 66.7% | 756.2% | 7.9% | 1803.7% | Long |
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.