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Sherpa Trend Signal Updates 2024-03-31

Okay. We may have reached the phase of the bull market where everything is already long.

  • Total signal flips: 1
  • New longs: 1 (1 crypto)
  • New shorts: 0
  • Best (aka only) crypto idea: ATOM
    • Best aka only. Chain interoperability still a thing.
    • Small sample size, but solid short term hit rate for a quick swing (19% mean forward return on 18 signals).
  • Best trad idea: N/A

Not much to comment on here. Let’s get to the sig...


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
Cosmos Hub (cosmos) 1m Fwd Return 18 61.1% 19.3% 11.0% 43.8% Long
Cosmos Hub (cosmos) 3m Fwd Return 18 55.6% 67.7% 13.5% 134.2% Long
Cosmos Hub (cosmos) 12m Fwd Return 17 47.1% 112.7% -7.8% 208.5% 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.
macro sherpa

macro sherpa

The Macro Sherpa evolved over years on the desk as an analyst at multiple billion dollar asset managers. Quantitative models, tools, and analysis were de rigueur.