Sector Sigma Spike Screener for Relative Daily or Weekly Returns

Summary

This indicator screens a configurable set of market indices, including a benchmark and sector indices, on a daily or weekly timeframe. For each index, it calculates the current period return relative to the standard deviation of prior returns over a chosen lookback, producing a sigma value. It then groups sectors into significant gains, weaker gains, weaker losses, and significant losses according to a user-set positive or negative threshold. Optional labels report the current period return and the cumulative return over a separately chosen number of periods.

The display identifies the screening period and shows the benchmark’s sigma and returns alongside sector classifications. Inputs control the timeframe, lookback, threshold, offset, return display, and symbols. The example symbol set is based on Malaysian market indices, though users can change it. This is a cross-sectional monitoring and ranking aid, not a complete trading or portfolio strategy: it supplies no entry, exit, or sizing rules and includes no backtest or evidence that sigma spikes predict future returns. Results depend on symbol selection and threshold choices.

Key ideas

• The indicator compares each index’s current return with the recent standard deviation of returns.
• A configurable sigma threshold separates stronger moves from more moderate gains or losses.
• Users can screen daily or weekly data and select a period offset.
• The display can include current period returns and returns over a chosen multi-period window.
• The screener organizes relative moves but provides no trade rules or predictive validation.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.