Program 91 | Markplex Sector Tilt indicator

Percentage-Based Calculation

The indicator computes the relative performance of these ETFs as percentages. It calculates the percentage change of each ETF over a specified period (the current bar and the bar LookbackPeriod bars ago). It then computes a weighted average performance of the “growth-oriented” and “defensive” sector ETFs. Finally it subtracts the defensive sector performance from growth-oriented sector performance to get a net sentiment
measure.

The center line represents a neutral level. If the indicator is above the line, it means growth-oriented sector ETFs are outperforming defensive sector (bullish sentiment). If below the line, it means defensive sector ETFs are outperforming growth oriented sector ETFs (bearish sentiment).

Calculation

GrowthComposite = ( SymOn1_PctChange * wSymOn1 + SymOn2_PctChange * wSymOn2 + SymOn3_PctChange * wSymOn3 ) / 3;
DefensiveComposite = ( SymOff1_PctChange * wSymOff1 + SymOff2_PctChange * wSymOff2 + SymOff3_PctChange * wSymOff3 ) / 3;
where wSymOn1, wSymOn2, wSymOn3, wSymOff1, wSymOff2, and wSymOff3 are market weightings (see below) and
SymOn1_PctChange, SymOn2_PctChange etc are the percentage changes of the ETFs over the LookbackPeriod input
number of bars.
Indicator value = GrowthComposite – DefensiveComposite

Plots

Plot a center line at zero.
Color the plot:
User input PosCol when above zero (Growth).
User input NegCol when below zero (Defensive).

Sector Weighting Notes for “Growth-oriented” / “Defensive” ETF Indicator

This indicator uses a weighted average of percentage changes (ROC) in selected ETFs to represent overall market risk sentiment.

“Growth-oriented” ETFs by default: SMH (Semiconductors), XLK (Technology), XLY (Consumer Discretionary) “Defensive” ETFs by default: XLV (Healthcare), XLP (Consumer Staples), XLU (Utilities)

Normalize Across all ETFs

To reflect true market dynamics, ETF weights should be based on their relative sector capitalization within the total group. Normalizing weights within each group (“Growth” and “Defensive”) would give disproportionate influence to smaller sectors like Utilities (XLU), skewing the indicator.

Instead, all selected ETFs are normalized together so their total weight sums to 1. This ensures each ETF contributes proportionally to its actual size in the market.

An example of how to calculate the weighting

Step 1: Get SECTOR Weights (as % of S&P 500)

These numbers should be updated regularly (for example, quarterly or semiannually), as sector weights do shift over time.

How to find up-to-date weights:
Visit: https://www.ssga.com/us/en/intermediary/etfs/fund-finder
Look for: “Holdings” or “Sector Breakdown” tabs on ETF detail pages
Or use Finviz’s S&P 500 sector map to get quick overviews.

As of recent data (rounded), example sector weights might look like this:

The percentages (e.g., XLK = 27%, XLY = 10%, etc.) were based on the S&P 500 sector weights, not the individual ETF’s total assets under management (AUM).

So for example:

XLK = 27% refers to the Technology sector’s weight in the S&P 500.

It doesn’t mean XLK itself holds 27% of the total ETF market but that it represents that sector, which is 27% of the S&P 500.

These weights are used to approximate how much each sector contributes to the overall market, and thus how much influence each ETF has when representing those sectors.

Step 2: Add Up the Weights for Your Selected ETFs

Six sectors are included here. Add them together:

Total = 20 + 10 + 7 + 14 + 6 + 3 = 60%

Note that the weight for semiconductors is subtracted from the technology weight.

Step 3: Normalize each ETF’s Weight

To get normalized weights (i.e., proportions that add up to 1.0), divide each sector’s weight by the total (60%):

Normalize each ETF’s Weight