RRG and Bullish Percent Indexes for TSE

TSellers

In The StockCharts Outlook Webinar - 2017-05-13, Julius introduces an interesting discussion on using $BPSPX as the benchmark for looking at sector rotation precursors using sector bullish percent indexes ($BPDISC, $BPSTAP........).

In Canada we have the $BPTSE to use as the Bullish Percent Index for the TSE. Can that be useful as a benchmark for looking at possible rotation for Canadian sectors? As there do not appear to be bullish percent indexes available for TSE sectors, is there any meaningful information to be had if one were to use Canadian sector ETF's (such as XMA.TO for example) in the RRG with $BPTSE as the benchmark? Or would there be any meaningful comparisons to result from using $BPTSE as the benchmark and the available S&P bullish percent indexes (such as $BPMATE) instead?

Julius_RRG

Hi TSellers,

When experimenting with these type of setups please be careful to compare apples with apples and oranges with oranges!

As you correctly point out in your first paragraph you need to compare the BP indices for the sectors with the BP index for the overall index. As far as I know these individual sector BP figures are only available for US sectors.

Comparing a price based item like XMA.TO with a BP number makes no sense.

I would not advise to compare US based BP data for sectors with the BP for the Canadian TSE. Again apples and oranges !!

Julius

TSellers

Thanks for clarifying that Julius. That's what I suspected.

1: So in this same vein: at 2014 Chartcon Gatis Roze said he preferred to use the Vanguard Total Market Index (VTI ) instead of SPY. Can one infer from that that if you wanted to look at the RRG for the S&P 500 Sectors, in addition to $SPY, VTI would also be suitable to use as a benchmark (when I just did that, the results from both setups appear to be identical)?
2: Also, if you wanted to have a look at the Fidelity Select Funds (such as FDFAX, FSCPX, etc.), then again, is it safe to assume that VTI would be a suitable benchmark for that setup?

Julius_RRG

No problem at all!

1. Yes that is certainly a possibility. The reason why the setups are (almost) identical is because there is a high correlation between VTI and SPY.

2. Yes same story.

You may want to refer to an old blog post which I wrote regarding open- and closed universes..

http://stockcharts.com/articles/rrg/2014/11/boeing-on-final-approach-for-landing-at-lagging-runway.html?st=rrg++open++closed++universe

Let me know if that makes sense?

Julius

TSellers

You may recall in today's Webinar I asked about finding a benchmark for DIA, SPY, MDY, IJR, and QQQ. I first did look at the VBINX, but that led me on to looking at the CRSP Indexes .

However, I cannot seem to enter any of them as a benchmark (for example "CRSPTMT"). Just wondering about your thoughts of using an open universe such as CRSPTMT for diverse Index ETF's such as those mentioned above?

TSellers

Apparently Stockcharts does not offer the CRSP Indexes. Is it possible to use RRG with CRSP Indexes by using another RRG Partner such as Optuma, Thomson Reuters, etc.?

Julius_RRG

Hi TSellers,

Both Bloomberg and TR Eikon seem to support CRSP indices. I can load a graph of CRSPTMT on both systems. Optuma depends on what you feed into it. It can, for example, take in a BB data feed but it can also use locally stored data in various formats. If you have the data stored locally you could even use our (atm in beta) standalone desktop application to run RRGs on those data.
I have quickly checked on their website but I could not quickly figure out if it is a paid for service or if the data are freely available (for personal use). If the latter is the case you could set up your own database and use one of the applications mentioned to RRGs.

wr to the choice of benchmark. I always try to find a benchmark that is representative of the universe of securities displayed on the RRG.
So for the DIA, SPY, MDY, IJR, and QQQ probably a broad-based equity index like S&P 1500 or Russel 3000 etc. It will still be an open-universe but the majority of securities (even by looking "thru" the ETF) will be included in your bm.

Julius

TSellers

Thanks for that Julius!

Your presentation on MarketWatchers was quite the hit yesterday, they did not want to let you go!

The symbols above I grabbed from one of Arthur Hill's strategy's for using mean reversion for participating in sector rotation. Another that I plugged in today as an alternative benchmark for that group was VTI. But I also wonder about what Gatis Roze, in his ChartCon presentation, calls the "Gorillas Gorilla", and using Fidelity's 'FSTMX '. Obviously there are a plethora of options for choosing your benchmark, and I'm just trying to develop a sense of to best choose from all the options that are available for different scenarios. Given that Stockcharts does not offer CRSP indexes, perhaps the wide array of Fidelity instruments would be worth considering as an alternative?