Sector Rotation Model

Sector Rotation Model was authored by Giorgos Siligardos in the Stocks and Commodities Magazine, August 2012. Select daily bars only. S&P500 Exchange Traded Funds (ETF’s) Instruments are used as proxies for different sectors: XLF for the financial (bull) sector, XLY for the consumer discretionary (bull) sector, XLE for the energy (bear) sector, XLP for the consumer staples (bear) sector, XLU for the utilities (bear) sector. The Rate of Change (ROC) for each sector is used to form a bullish or bearish value. The difference of these values is plotted as an oscillator. The user may change the input (close), period (75), period length and instruments. This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using the Sector Rotation Model

No trading signals are calculated for this indicator.

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Calculation

//input = price, user defined, default is closing price
//rocPeriod = user defined, default is 75
//instr1 = for financial sector use SP500 XLF
//instr2 = for consumer discretionary sector use SP500 XLY
//instr3 = for energy sector use SP500 XLE
//instr4 = for utilities sector use SP500 XLU
//instr5 = for consumer staples sector use SP500 XLP
//index = current bar number

bull01 = roc(index, period, input, instr1);
bull02 = roc(index, period, input, instr2);
bear01 = roc(index, period, input, instr3);
bear02 = roc(index, period, input, instr4);
bear03 = roc(index, period, input, instr5);
bear = (bear01 + bear02 + bear03) / 3;
bull = (bull01 + bull02) / 2;
Plot: osc = 100 * (bull - bear);

    if (upColor.isEnabled() AND osc moreOrEqual 0) 
      setBarColor(index, OSC, upColor);
    endIf
    if (downColor.isEnabled() AND osc lessOrEqual; 0) 
      setBarColor(index, OSC, downColor);
    endIf