How it works — methodology, formulas and data source
What it is. Sector Orb ranks the 11 GICS sector SPDR ETFs (XLK, XLE, XLF, XLI, XLP, XLV, XLY, XLB, XLU, XLRE, XLC) every trading day. Each sector gets a score from three technical signals:
- Money Flow Index, 14 days (MFI) — a 0–100 oscillator. It takes the typical price (high + low + close) ÷ 3, multiplies by volume to get “money flow”, splits flows into up-days and down-days, then computes the ratio over 14 sessions. Above 50 = net buying pressure; below 50 = net selling pressure. The closer to 100 or 0, the stronger the conviction.
- Relative strength vs the S&P 500, 20 days — the sector’s return over the last 20 trading days minus SPY’s return over the same window. Positive = outperforming the market.
- Volume pressure, 20-day z-score — today’s volume compared with its 20-day average: (V − mean) ÷ standard deviation. A z-score of +2 means volume is 2 standard deviations above normal — unusual attention.
Orb size. Each orb’s size = signal strength, a weighted blend scaled to 0–1: 50% how far MFI is from neutral (50), 30% the strength of relative strength, 20% how unusual the volume is. Bigger orb = stronger signal.
Why MFI is the core. The Money Flow Index was built by practitioners in 1989 as a volume-weighted RSI and keeps resurfacing in peer-reviewed quant research — portfolio rebalancing, deep-learning trading agents, option pricing, sentiment measurement. How we read it, with sources: the MFI research note.
Colors. Green = accumulation (MFI ≥ 60 and relative strength positive). Red = distribution (MFI ≤ 40 and relative strength negative). Grey = neutral.
Market rotation signal. A breadth rule over classifications: RISK ON when at least 3 cyclical sectors are in accumulation and more than defensive; RISK OFF when at least 2 defensive sectors are in accumulation and more than cyclical; otherwise MIXED.
Data source. Daily OHLCV for the 11 SPDR sector ETFs and SPY from Yahoo Finance (via yfinance, adjusted for splits and dividends). The pipeline runs on trading days after the US market close (16:00 ET) and recomputes everything from scratch each run — no look-ahead, no smoothing. History: last 30 trading days.
Honest labels. These are technical rotation signals computed from price and volume — not dollar capital flows and not investment advice. One more honest note: 30+ exit rules were evaluated in 28 years of data and the two entry rules carried the strongest records — read the full 28-year back-test report. See also the disclaimer.
