FED MODEL BLEND CNY Chart MA crossover

Research
1

Has anyone been looking at the BLEND CNY Fed Model chart? It is showing a 20wk, and 40wk avg crossover occurred Nov-Dec '14. I’m not sure what to make of this except that it looks like it has been a reliable indicator since '99. What is the definition of BLEND CNY? I assume it’s a blend of current, and next year EPS, but what are the details?

LINK TO BLEND CNY FED MODEL CHART

Regards,
Stu

2

Please see this post

https://www.portfolio123.com/mvnforum/viewthread_thread,5218#24529

I also added documentation for the series. Click on ‘Full Description’ in the Rules Reference under:

MISC->SERIES IDS->S&P500 IDS

3

The calcs are here .

I use this signal in one of my private ports and it kicked in on Feb 9. I’m down 1% on the hedge so far.

EDIT: Marco beat me to the link.

4

The correlation looks to be very high but it looks like the CNY tops and bottoms are coincident with or lag the tops and bottoms of the SP500.

Can an MA crossover indicator of CNY be significantly better than an MA crossover indicator of the SP500 itself if CNY is coincident or lagging indicator? Maybe: if there is less noise in the CNY signal for example.

Other reasons why that would work?

5

#SPEPSCY is described as:

[quote]
num = Sum { CurFYEPSMean (i) * Shares (i) }
den = Sum { MktCap (i) }

#SPEPSCY = ( S&P500 Close * (num/dem) )
[/quote]Why multiply by the S&P 500 close?