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Sherpa Trend Signal Updates 2024-03-16

12-month median forward return for new crypto market trend model long signals

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

12-month median forward return for new trad market trend model long signals
12-month median forward return for new trad market trend model long signals

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

12-month median forward return for new crypto trend model long signals
12-month median forward return for new crypto trend model long signals

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 πŸ€™πŸΌ

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.