That sounds like a portfolio of buying and holding. Index makes sense only if others track it and base their performance on it.
In a sense it is buy-and-hold, yes. Its a rule of trend-following that you stay in until the trend starts to fail, so it can look like buy-and-hold or short-and-hold, but that's a superficial similarity only. An index can reflect what others are doing, which is a pointer towards staying on the right side of a trade. It can be an entirely non-public indicator, its not dependent on on multiple players' conscious decisions to track it.
Ok, I seen the reasoning of that now. I really like the idea of using correlations to refine the index and will definitely look into it. Thanks a lot.
One thing I was considering was along the same lines of comparing the indexes, the strongest vs the weakest, and looking at those pairs. I'm also interested in using the indexes with Relative Strength.