SQN Statistics
This comprehensive table shows the average return that has been observed at each time period throughout a regime.
Information regarding the current regime, such as recent return, date of regime switch, and time spent in the regime in the first few columns.
To view per-ticker statistics, please click on the ticker name. To filter, please use the search bar and column headers.
Ticker |
Current Regime |
Date of Regime Entry |
Days Elapsed in Regime |
Current Regime Return [%] |
5D Avg. Returns [%] |
10D Avg. Returns [%] |
15D Avg. Returns [%] |
20D Avg. Returns [%] |
40D Avg. Returns [%] |
60D Avg. Returns [%] |
|---|---|---|---|---|---|---|---|---|---|---|
| MSCI | Bear Volatile | 02/22/2022 | 85 | -21.78 | -1.86 | -5.15 | -6.7 | -12.54 | -49.88 | -33.68 |
| SPY | Bear Volatile | 04/29/2022 | 19 | -0.89 | -1.8 | -1.11 | -3.29 | -4.99 | -10.68 | -32.85 |
| UNG | Bull Quiet | 05/09/2022 | 9 | 16.99 | 3.57 | 5.86 | 6.32 | 1.16 | 5.34 | 5.01 |
| GDX | Neutral | 05/05/2022 | 13 | -9.79 | -0.14 | 0.39 | 2.27 | 2.99 | 1.32 | N/A |
| DIA | Bear Volatile | 05/05/2022 | 13 | -0.95 | -1.67 | -3.75 | -2.96 | -2.48 | -17.56 | -21.3 |
| QQQ | Bear Volatile | 04/07/2022 | 41 | -13.54 | -0.64 | -3.04 | -3.86 | -3.91 | -11.24 | -28.68 |
| IWM | Bear Volatile | 03/23/2022 | 56 | -10.43 | -3.19 | -4.92 | -6.62 | -7.97 | -12.65 | -15.64 |
| SMH | Bear Volatile | 04/06/2022 | 42 | -5.29 | -3.38 | -3.9 | -2.72 | -3.65 | N/A | N/A |
| XLY | Bear Volatile | 04/06/2022 | 42 | -15.22 | -2.77 | -6.15 | -8.01 | -6.56 | -35.06 | -22.59 |
| XME | Bull Quiet | 05/17/2022 | 1 | 0 | 1.59 | 1.57 | 3.12 | 3.1 | 12.27 | 25.25 |
| XLU | Neutral | 04/29/2022 | 19 | 1.59 | 0.12 | 0.34 | 1.01 | 2.32 | 5.21 | N/A |
| XLI | Bear Volatile | 05/05/2022 | 13 | -1.13 | -0.78 | -6 | -5.76 | -7.85 | -15.78 | -13.39 |
| XLK | Bear Volatile | 04/29/2022 | 19 | -2.02 | -1.02 | -2.91 | -3.12 | -7.16 | -9.1 | -29.58 |
| XLE | Bull Volatile | 05/13/2022 | 5 | 3.83 | 1.64 | 3.02 | 2.83 | 3.03 | 14.47 | 15.57 |
| XLF | Bear Volatile | 05/05/2022 | 13 | -2.43 | -2.98 | -6.48 | -6.85 | -7.3 | -14.35 | -18.09 |
| XHB | Bear Volatile | 03/23/2022 | 56 | -7.02 | -3.06 | -8.64 | -8.51 | -5.58 | -10.94 | -11.02 |
| XLP | Neutral | 05/05/2022 | 13 | 0.17 | -0.12 | 0.23 | 0.89 | 0 | 0.92 | N/A |
| XLB | Bear Quiet | 05/12/2022 | 6 | 4.22 | 0.33 | 0.95 | 0.27 | 3.73 | N/A | N/A |
| XLV | Bear Quiet | 05/13/2022 | 5 | 2.12 | 0.29 | 1.61 | 2.66 | N/A | N/A | N/A |
| IBB | Bear Volatile | 12/23/2021 | 146 | -24.68 | -0.42 | -1.91 | -3.4 | -1.73 | 2.84 | 0.39 |
| NYA | Bear Volatile | 05/05/2022 | 13 | -0.71 | -1.32 | -5.19 | -2.65 | -1.6 | -18.51 | -34.42 |
| CCMP | Bear Volatile | 05/05/2022 | 13 | -0.95 | -1.67 | -3.75 | -2.96 | -2.48 | -17.56 | -21.3 |
| RTY | Bear Volatile | 03/23/2022 | 56 | -10.33 | -3.47 | -5.8 | -5.11 | -7.93 | -15.95 | -15.87 |
| CLA | Bull Quiet | 03/17/2022 | 62 | 14.89 | 1.14 | 2.77 | 2.04 | 3.98 | 9.65 | 13.46 |
| GCA | Neutral | 05/02/2022 | 16 | -2.76 | 0.47 | 0.68 | 1.68 | 1.18 | 5.99 | N/A |
| SIA | Bear Quiet | 05/11/2022 | 7 | 0.25 | 0.44 | -0.72 | 2.08 | 0.26 | N/A | N/A |
| TNX | Bull Volatile | 04/11/2022 | 37 | 7.55 | 2.12 | 3.61 | 9.27 | 12.61 | 14.95 | N/A |
| EURUSD | Bear Volatile | 04/04/2022 | 44 | -4.1 | -0.28 | -1.02 | -1.2 | -2.62 | -3.87 | -4.35 |
| XBTUSD | Bear Volatile | 05/15/2022 | 3 | -4.83 | -4.39 | -4.43 | -6.29 | -8.38 | -10.51 | -21.95 |
| GBPUSD | Bear Volatile | 04/18/2022 | 30 | -4.67 | -0.61 | -1.08 | -1.95 | -2.55 | -3.17 | -4.87 |
| UKX | Neutral | 03/09/2022 | 70 | 4.06 | 0.17 | 0.55 | 1.16 | 1.22 | 1.86 | N/A |
| ETHUSD | Bear Volatile | 05/15/2022 | 3 | -6.49 | -2.9 | -9.14 | -6.62 | -7.59 | -2.83 | -10.05 |
| HGA | Bear Quiet | 05/18/2022 | 0 | 0 | -1.19 | 0.02 | N/A | N/A | N/A | N/A |
| MMEA | Bear Volatile | 03/02/2022 | 77 | -11.32 | -0.86 | -4.86 | -3.85 | -4.76 | -5.36 | 1.62 |
| TLT | Bear Volatile | 03/09/2022 | 70 | -16.1 | -1.04 | -0.98 | -0.87 | -2.28 | -3.04 | -4.04 |
| MXNUSD | Neutral | 04/21/2022 | 27 | 1.27 | 0.06 | 0.27 | 0.31 | 0.5 | 2.17 | 7.13 |
| AUDUSD | Bear Quiet | 05/13/2022 | 5 | 0.94 | -0.04 | 0.49 | 1.22 | 0.18 | N/A | N/A |
Per-Ticker Statistics
The first figure and attendant table denotes the average return observed at each time period per regime.
This lets an operator know how many times the underlying has achieved a return in a given time period.
Example: If the underlying is in a bull-quiet regime, and has been observed to return 10% in 20 days several times in the past,
confidence is statistically high for it to return ~10% the next time it is in a bull-quiet regime.
When frequency falls below the dashed line (5 occurences), future returns may deviate sharply from historical data.
EURUSD Returns for all Regimes and Time Periods
Period [Days] |
Bear Vol [%] |
Bear Quiet [%] |
Neutral [%] |
Bull Quiet [%] |
Bull Volatile [%] |
|---|---|---|---|---|---|
| 5 | -0.28 | -0.04 | -0 | 0.28 | 0.8 |
| 10 | -1.02 | 0.3 | 0.04 | 0.72 | 1.42 |
| 15 | -1.2 | -0.01 | 0.18 | 0.55 | 1.57 |
| 20 | -2.62 | N/A | -0.12 | 0.95 | 1.51 |
| 40 | -3.87 | N/A | 0.85 | 2.24 | 0.8 |
| 60 | -4.35 | N/A | N/A | 1.34 | N/A |