Sector Spy Conditional
In plain terms
Whether the market overall is trending up or down conditions how strongly sector leadership translates into individual stock performance.
How it works
Individual stock momentum is conditional on SPY regime: in bull-SPY periods (SPY 20d RS > 0), sector leaders are amplified; in bear periods, sector laggards are accelerated to the downside. Conditioning on SPY removes regime noise from pure sector RS signals.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Sector ETF prices
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Tested over
- 2005-2019 (Brown-Davies-Ringgenberg)
SPY-conditional sector signal reduces drawdown by ~30% vs unconditional sector RS.
Related families
Stocks in sectors with the strongest relative strength versus the S&P 500 tend to outperform those in the weakest sectors over the next 1-3 months.
Stocks with disproportionately high ETF ownership experience predictable price dislocations when ETFs rebalance, creating short-term mean-reversion opportunities.
Explore Sector Spy Conditional on alphactor.ai
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