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.

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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 [%]
UNG	Bull Quiet	05/09/2022	9	16.99	3.57	5.86	6.32	1.16	5.34	5.01
CLA	Bull Quiet	03/17/2022	62	14.89	1.14	2.77	2.04	3.98	9.65	13.46
TNX	Bull Volatile	04/11/2022	37	7.55	2.12	3.61	9.27	12.61	14.95	N/A
XLB	Bear Quiet	05/12/2022	6	4.22	0.33	0.95	0.27	3.73	N/A	N/A
UKX	Neutral	03/09/2022	70	4.06	0.17	0.55	1.16	1.22	1.86	N/A
XLE	Bull Volatile	05/13/2022	5	3.83	1.64	3.02	2.83	3.03	14.47	15.57
XLV	Bear Quiet	05/13/2022	5	2.12	0.29	1.61	2.66	N/A	N/A	N/A
XLU	Neutral	04/29/2022	19	1.59	0.12	0.34	1.01	2.32	5.21	N/A
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
SIA	Bear Quiet	05/11/2022	7	0.25	0.44	-0.72	2.08	0.26	N/A	N/A
XLP	Neutral	05/05/2022	13	0.17	-0.12	0.23	0.89	0	0.92	N/A
XME	Bull Quiet	05/17/2022	1	0	1.59	1.57	3.12	3.1	12.27	25.25
HGA	Bear Quiet	05/18/2022	0	0	-1.19	0.02	N/A	N/A	N/A	N/A
NYA	Bear Volatile	05/05/2022	13	-0.71	-1.32	-5.19	-2.65	-1.6	-18.51	-34.42
SPY	Bear Volatile	04/29/2022	19	-0.89	-1.8	-1.11	-3.29	-4.99	-10.68	-32.85
DIA	Bear Volatile	05/05/2022	13	-0.95	-1.67	-3.75	-2.96	-2.48	-17.56	-21.3
CCMP	Bear Volatile	05/05/2022	13	-0.95	-1.67	-3.75	-2.96	-2.48	-17.56	-21.3
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
XLF	Bear Volatile	05/05/2022	13	-2.43	-2.98	-6.48	-6.85	-7.3	-14.35	-18.09
GCA	Neutral	05/02/2022	16	-2.76	0.47	0.68	1.68	1.18	5.99	N/A
EURUSD	Bear Volatile	04/04/2022	44	-4.1	-0.28	-1.02	-1.2	-2.62	-3.87	-4.35
GBPUSD	Bear Volatile	04/18/2022	30	-4.67	-0.61	-1.08	-1.95	-2.55	-3.17	-4.87
XBTUSD	Bear Volatile	05/15/2022	3	-4.83	-4.39	-4.43	-6.29	-8.38	-10.51	-21.95
SMH	Bear Volatile	04/06/2022	42	-5.29	-3.38	-3.9	-2.72	-3.65	N/A	N/A
ETHUSD	Bear Volatile	05/15/2022	3	-6.49	-2.9	-9.14	-6.62	-7.59	-2.83	-10.05
XHB	Bear Volatile	03/23/2022	56	-7.02	-3.06	-8.64	-8.51	-5.58	-10.94	-11.02
GDX	Neutral	05/05/2022	13	-9.79	-0.14	0.39	2.27	2.99	1.32	N/A
RTY	Bear Volatile	03/23/2022	56	-10.33	-3.47	-5.8	-5.11	-7.93	-15.95	-15.87
IWM	Bear Volatile	03/23/2022	56	-10.43	-3.19	-4.92	-6.62	-7.97	-12.65	-15.64
MMEA	Bear Volatile	03/02/2022	77	-11.32	-0.86	-4.86	-3.85	-4.76	-5.36	1.62
QQQ	Bear Volatile	04/07/2022	41	-13.54	-0.64	-3.04	-3.86	-3.91	-11.24	-28.68
XLY	Bear Volatile	04/06/2022	42	-15.22	-2.77	-6.15	-8.01	-6.56	-35.06	-22.59
TLT	Bear Volatile	03/09/2022	70	-16.1	-1.04	-0.98	-0.87	-2.28	-3.04	-4.04
MSCI	Bear Volatile	02/22/2022	85	-21.78	-1.86	-5.15	-6.7	-12.54	-49.88	-33.68
IBB	Bear Volatile	12/23/2021	146	-24.68	-0.42	-1.91	-3.4	-1.73	2.84	0.39

Showing 1 to 37 of 37 entries

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Per-Ticker Statistics

The first figure and attendant table denotes the average return observed at each time period per regime.

The second figure denotes the number of times a ticker has stayed in the same regime as a function of time.
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.
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XLE Returns for all Regimes and Time Periods

Period [Days]	Bear Vol [%]	Bear Quiet [%]	Neutral [%]	Bull Quiet [%]	Bull Volatile [%]
5	-1.42	-0.38	-0.19	1.27	1.64
10	-4.85	1	0.33	1.92	3.02
15	-7.04	-1.17	1.28	2.49	2.83
20	-6.32	2.75	1.19	2.49	3.03
40	-16.45	N/A	N/A	2.27	14.47
60	-16.9	N/A	N/A	4.08	15.57

To select a different ticker, please select from the field below.

Note: N/A denotes insufficent statistical data to accurately calculate returns for period.
Data updates daily after market close.

SQN Statistics

Per-Ticker Statistics

The first figure and attendant table denotes the average return observed at each time period per regime.

XLE Returns for all Regimes and Time Periods

Note: N/A denotes insufficent statistical data to accurately calculate returns for period.Data updates daily after market close.

Note: N/A denotes insufficent statistical data to accurately calculate returns for period.
Data updates daily after market close.