Ranking Performance, Tracking Trend Signals and Finding Mean-Reversion Opportunities

The ETF Ranking, Signals and Setups Table makes it easy to separate the leaders from the laggards, track trend signals and find mean-reversion candidates. This article will explain the key features of this customizable table and show how to get the most out of it. We will finish with a chart example showing the origins for signals and numbers on the table. A complete table is shown at the end of this article and features include:

  • sort and rank by StochClose values
  • separate uptrends from downtrends 
  • find recent StochClose signals
  • identify ETFs with mean-reversion setups
  • link to current SharpChart
  • search for a specific symbol or term

StochClose and RSI

StochClose (125,5), which is detailed in this article, determines trend direction. A move above 60 signals an uptrend and this signal remains valid until there is a move below 40, which signals the start of a downtrend. StochClose values are also used to rank price performance for the ETFs. 14-day RSI is used to identify oversold conditions when it dips into the 30-50 zone. Such conditions serve as an alert for further chart analysis. This technique is covered in this article and video.

The chart below shows an example using QQQ. StochClose turned bullish with a move above 60 in mid April and remains bullish (green shading). The blue shading shows when RSI dips into the 30-50 zone. The first dip below 50 does not always lead to a bounce, but tells us that the ETF pulled back or consolidated and we should watch for a bullish setup or catalyst.

Core ETF Chart List

This table covers ETFs in the Core list, which contains over 110 names and is detailed in this article. Well over half are industry group ETFs with a number of high beta names, such as the ARK ETFs, the Grayscale Bitcoin Trust, Autonomous/Electric Vehicles, eSports, and Cannabis. This list also includes the usual suspects: the major index ETFs, the sector SPDRs, bond ETFs, commodity ETFs, international ETFs and currency ETFs.

Working with the Table

Users can sort by clicking any of the column headings. For example, click on “StochClose” to sort by this value and rank the ETFs from top to bottom. ETFs with StochClose values above 90 are near six month highs, and ETFs with StochClose values below 10 are near six month lows. 

The default setting shows 30 ETFs per page, which accounts for around 25% of the total. This makes it easy to find ETFs in the upper quartile. Users can change “Show 30 entries” to “Show 50 entries” to see more ETFs per page.

Users can hold the SHIFT key and click two column headings for a first and second sort. For example, hold the SHIFT key, click “Trend” for the first sort and then click “RSI” for the sub-sort. This can be used to show ETFs in Uptrends with relatively low RSI values. Note that the blue shading at the top of the column darkens when sorted.

“5day Chg” shows the absolute change in the StochClose value over the last five trading days. The image below shows a sort with the biggest gainers at the top.

“Trend” defines ETFs by uptrend or downtrend

“Date” reflects the date when the uptrend or downtrend started

“Bars” represents the number of trading bars (days) since the trend signal

“Change” is the percentage change in price since the trend signal

“RSI” is the last value for 14-day RSI

The image below shows a sort by “Bars”, which puts the most recent StochClose signals at the top (fewest bars since signal).

Finding Mean-Reversion Candidates

The “Up&OS Down&OB” column highlights ETFs with possible mean-reversion setups (short-term pullback within long-term uptrend). A bullish mean-reversion setup is present when the trend is up and RSI dips into the 30-50 zone over the last five days.

Note that RSI could be above 50 currently, but still show as “oversold” because it dipped into the 30-50 zone at some point over the last five days. Identifying setups over a five day period insures that we will not miss setups between updates. A bearish mean-reversion setup is present when the trend is down and RSI moves into the 50-70 zone over the last five days.

The 52wk Range column quantifies the location of the last close relative to the 255-day high-low range (closing prices only). A value of 100 means the ETF closed at a 52-week high and a value of 0 means the ETF closed at a 52-week low. A value of 50 means the ETF is in the middle of its 52-week range.

Note that the 52wk Range can be at 100 and StochClose can be at 99.6 (just below 100). This is because StochClose is smoothed with a 5-day SMA and the 52wk Range indicator is not smoothed. This five day smoothing in StochClose adds a little lag.

Table and Chart Example

The table below shows results when searching for “xhb”, the Homebuilders ETF (XHB). In addition to symbols (code), users can also search for oversold, overbought, uptrend or downtrend to filter by a certain term.

The XHB chart below shows the origins of the signals and values on the table. First, we can see that StochClose (125,5) is 89.6 on the table and the chart. Second, StochClose fell 8.8 points and the 5-day Chg is -8.8. Third, Stochclose triggered bullish on May 26th (Uptrend) and XHB is up 36.7% over the last 154 days. RSI is in the oversold zone (44.2) and the trend is up, which means a mean-reversion setup materialized (oversold). And finally, the 52wk Range is 92.4, which means XHB is close to a 52-week high.

Mean-reversion setups serve as alerts to take a closer look at the chart and perhaps put the ETF on our watch list. Oversold RSI means there was a pullback or consolidation within the uptrend and a bullish continuation pattern could be forming (flag, pennant, triangle, wedge).

The last column links to a daily SharpChart from StockCharts with dividend adjusted data (sigh). This chart includes RSI(14) and the Full Stochastic (125,5,1), the latter can be used as a proxy for StochClose (125,5). The Full Stochastic uses the high-low range based on intraday highs and lows, while StochClose uses the high-low range based on closing prices.

Conclusions and Summary

The ETF Ranking, Signals and Setups Table is designed to define trends, rank performance, track signals and identify mean-reversion setups. At its most basic, ETFs with bullish StochClose signals (uptrends) should be favored over ETFs with bearish signals. Taking it one step further, ETFs with higher values for StochClose and 52wk Range would be favored over ETFs with lower values. ETFs with uptrends and relative strength should be on our watch list for bullish setups (pennants, flags, wedges, retracements, oversold RSI). ETFs with downtrends and/or serious relative weakness should be avoided. Even though ETFs that are short-term overbought and in downtrends have bearish mean-reversion setups, I generally avoid shorting equity-related ETFs.

Thanks for tuning in and have a great day!
---------------- Sample Table ----------------
  • ETF Rankings, Signals and Setups - Sample

    Sort Prefix and Name -------CodeStoch Close5day ChgTrendDateBarsChangeRSIUp&OS Down&OB52wk RangeLink
    1010 S&P 500 SPDRSPY97.12.1Uptrend5/21/202015725.93%58.298.3 SPY
    1015 Nasdaq 100 Trust ETFQQQ97.80.0Uptrend4/17/202018144.86%61.398.7 QQQ
    2010 Technology SPDRXLK95.1-3.6Uptrend4/30/202017240.83%58.497.0 XLK
    2020 Consum Discretion SPDRXLY98.26.0Uptrend4/30/202017237.74%60.899.8 XLY
    2030 Financial SPDRXLF97.70.5Uptrend8/24/20209217.36%60.985.5 XLF
    2040 Industrials SPDRXLI90.8-1.6Uptrend6/5/202014716.67%48.8Oversold94.2 XLI
    2080 Energy SPDRXLE76.12.1Uptrend12/7/202019-0.05%58.3Oversold43.1 XLE
    2090 Basic Materials SPDRXLB97.63.0Uptrend5/21/202015738.29%62.7100.0 XLB
    3010 TE Internet ETFFDN82.6-12.1Uptrend4/17/202018151.52%52.9Oversold92.9 FDN
    3010 TE Mobile Payments ETFIPAY97.81.3Uptrend5/22/202015642.31%66.498.1 IPAY
    3010 TE Semiconductor iSharesSOXX95.74.3Uptrend4/29/202017358.15%69.1100.0 SOXX
    3010 TE Software ETFIGV83.0-12.1Uptrend4/30/202017244.69%53.090.8 IGV
    3020 CD Home Construction ETFITB72.9-12.8Uptrend5/22/202015630.47%41.7Oversold85.0 ITB
    3020 CD Homebuilders SPDRXHB87.8-9.4Uptrend5/26/202015537.25%45.9Oversold93.1 XHB
    3020 CD Online Retail ETFIBUY92.4-5.1Uptrend4/17/2020181132.99%65.698.3 IBUY
    3040 IN CE Green Energy ETFQCLN97.6-1.4Uptrend5/21/2020157178.40%72.5100.0 QCLN
    3040 IN CE Solar Energy ETFTAN97.7-1.6Uptrend6/3/2020149201.94%75.1100.0 TAN
    3040 IN CE Wind Energy ETFFAN99.8-0.2Uptrend6/1/202015172.77%91.5100.0 FAN
    3060 HC Biotech ETFIBB80.7-16.1Uptrend11/10/2020379.48%52.189.7 IBB
    3090 BM Metals & Mining SPDRXME97.26.1Uptrend7/20/202011756.70%71.2100.0 XME
    3090 BM Rare Metals SPDRREMX97.4-2.2Uptrend6/8/202014690.71%81.8100.0 REMX
    3200 ARK Genomic Revolut ETFARKG78.1-19.4Uptrend4/13/2020185181.46%53.886.2 ARKG
    3200 ARK Industrial Revolut ETFARKQ96.4-2.3Uptrend4/28/2020174105.27%72.6100.0 ARKQ
    3200 ES Vid Games eSports ETFESPO97.14.8Uptrend4/8/202018780.43%71.7100.0 ESPO
    3200 ES Video Game Tech ETFGAMR98.72.3Uptrend4/13/202018582.54%72.9100.0 GAMR
    3200 EV Autonomous EV ETFDRIV99.70.0Uptrend5/29/202015281.95%80.9100.0 DRIV
    3200 MJ Alternative Harvest ETFMJ79.2-4.2Uptrend11/19/20203014.10%57.2Oversold64.1 MJ
    4014 Treas 20+YR T-Bond ETFTLT12.80.3Downtrend10/6/202062-2.01%43.356.4 TLT
    5021 PM Gold Trust SPDRGLD47.213.8Downtrend11/27/2020257.88%70.0Overbought80.3 GLD
    6010 Asia China Technology ETFCQQQ96.611.0Uptrend5/12/202016457.69%68.5100.0 CQQQ
    6010 Asia India MSCI Index ETFINDA100.05.3Uptrend7/7/202012633.12%76.1100.0 INDA
    6010 EM Emerge Mkts eCom ETFEMQQ96.05.9Uptrend4/20/202018089.93%65.7100.0 EMQQ
    7100 Bitcoin Trust GrayscaleGBTC98.54.3Uptrend5/7/2020167229.10%77.6100.0 GBTC
    7100 US Dollar Bullish ETFUUP2.0-4.0Downtrend6/1/2020151-9.32%31.90.0 UUP
    Sort Prefix and Name -------CodeStoch Close5day ChgTrendDateBarsChangeRSIUp&OS Down&OB52wk RangeLink
  • -Arthur Hill, CMT
    Choose a Strategy, Develop a Plan and Follow a Process

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