Sector Performance Pro

Sector Performance Pro is a quantitative mean-reversion indicator designed to compare the relative performance of major U.S. equity sectors in a standardized and objective way.

The indicator analyzes a set of sector ETFs (XLP, XLU, XLRE, XLV, XLE, XLB, XLF, XLC, XLI, XLY, XLK) and converts their historical behavior into z-scores. For each sector, logarithmic returns and volatility are calculated over a user-defined lookback period (default: 252 bars, approximately one trading year on a daily chart). These values are then normalized using a normal distribution, allowing all sectors to be compared on the same statistical scale.

The plotted lines represent the log return z-scores of each sector. Positive values indicate above-average relative performance, while negative values indicate underperformance relative to the sector’s own historical distribution. Dashed volatility z-scores are calculated as well and can be enabled if additional risk context is desired.

Horizontal reference lines at ±1, ±2, and ±3 standard deviations (sigma levels) help identify statistically significant deviations. Extreme z-scores may highlight potential overbought or oversold conditions and possible mean-reversion opportunities.

This indicator is intended for market regime analysis, sector rotation strategies, and relative strength comparison, rather than precise entry or exit timing. It provides a high-level statistical view of how sectors are positioned relative to their historical norms.