Weekly Futures Momentum Model Signals

I’ve been building a bunch of momentum trading models using equity and rates futures. I’ve focused on simpler models to avoid data-mining issues. The basic strategy is to use returns (lookback windows) to give buy/sell signals. So, if the US stocks are up over the past 3 months, you buy, otherwise you sell (note I use excess returns). I’ll update weekly using Wednesday closes:

• Currently, all timeframes are giving a “buy” signal for the S&P500. The best performing version, the 1-month lookback, will trigger a sell signal if we get to 3,346. Nikkei also has all buy signals, while FTSE has sell signals. The DAX is mixed with a short-term sell signal.
• In rates, the 3m model has now switched to a buy signal for US 10y (TY). The short-term model remains a sell while the long-term model is a buy. The JGB signals are all sells, while Bunds are buys, while gilts re mixed.

Bilal Hafeez is the CEO and Editor of Macro Hive. He spent over twenty years doing research at big banks – JPMorgan, Deutsche Bank, and Nomura, where he had various “Global Head” roles and did FX, rates and cross-markets research.

(The commentary contained in the above article does not constitute an offer or a solicitation, or a recommendation to implement or liquidate an investment or to carry out any other transaction. It should not be used as a basis for any investment decision or other decision. Any investment decision should be based on appropriate professional advice specific to your needs.)