The retail stocks that have the most to lose from Amazon's success have shown signs of improvement, as the U.S. consumer is spending more and has benefited from tax cuts and job growth in recent months.

Bespoke created an index of some 60 retail companies that were waging an uphill battle against Amazon and its online sales business. But don't write these companies off. The "Death by Amazon" index chopped higher after stocks sold off in February.

Bespoke notes that Amazon, up some 60 percent this year so far, continues to see accelerating profits and is generating huge revenue. But as the consumer has picked up, so have Amazon's rivals.

Walmart on Thursday was a case in point. Its stock jumped more than 9 percent, after reporting better-than-expected profit and sales, as well as the best comparable store sales in a decade. Walmart did well in groceries but also reported a 40 percent jump in online sales.

Bespoke said if the index were updated Thursday, Walmart would have pushed it 3 percent higher.

On the lower end was Macy's, which declined this week after reporting better earnings but higher costs that worried investors.

"It's been a pretty solid run for our "Death By Amazon" index over the last few months. While the last couple of days have seen some less impressive returns thanks to a swan-dive from department stores this week, generally things have been going a bit better than they have since late 2014 when the index topped out and started to lag the market," Bespoke said.

Correction: Walmart stock jumped more than 9 percent on Thursday. An earlier version misstated the day.

