#ThanksYellen – 10 things about Yellen

#ThanksYellen

#thanksyellen

 

Data based on DJIA simple returns for all the Fed Chairs during their tenure

1)  CAGR ( compounded Annual Returns) during the tenure

Start DJIA Fed Chair End DJIA CAGR Rank
06-Aug-79 849 Paul Volcker 11-Aug-87 2681 15.4 1
03-Feb-14 15373 Janet Yellen 05-Feb-18 26187 14.1 2
15-Apr-48 180 Thomas B. McCabe 02-Apr-51 247 11.2 3
08-Mar-78 751 G. William Miller 06-Aug-79 849 9 4
19-May-33 82 Eugene Robert Black 15-Aug-34 91 9 5
11-Aug-87 2681 Alan Greenspan 31-Jan-06 10865 7.9 6
04-Oct-27 199 Roy A. Young 29-Aug-30 240 6.8 7
02-Apr-51 247 William M. Martin 30-Jan-70 744 6 8
15-Nov-34 100 Marriner S. Eccles 03-Feb-48 174 4.3 9
01-Feb-06 10954 Ben Bernanke 30-Jan-04 10488 2.2 10
01-May-23 97 Daniel R. Crissinger 15-Sep-27 199 0.7 11
30-Jan-70 744 Arthur F. Burns 31-Jan-78 770 0.4 12
30-Jul-14 71 Charles Sumner Hamlin 10-Aug-16 90 0.2 13
10-Aug-16 90 William P. G. Harding 09-Aug-22 97 0.1 14
16-Sep-30 237 Eugene Meyer 10-May-33 81 -33.4 15

2) # ATH closes ( All Time High)

Fed Chair # days in biz #ATH closes % ATH closes Rank
Janet Yellen 1008 152 15.08 1
Roy A. Young 869 95 10.93 2
Daniel R. Crissinger 1331 121 9.09 3
Paul Volcker 2026 148 7.31 4
Alan Greenspan 4698 333 7.09 5
William M. Martin 4752 287 6.04 6
Ben Bernanke 2013 108 5.37 7
William P. G. Harding 2001 25 1.25 8
Arthur F. Burns 2046 16 0.78 9
G. William Miller 357 0 0 10
Thomas B. McCabe 835 0 0 10
Marriner S. Eccles 3978 0 0 10
Eugene Robert Black 444 0 0 10
Eugene Meyer 794 0 0 10
Charles Sumner Hamlin 503 0 0 10

3) Average daily Drawdown from ATH close during the entire tenure

Fed Chair Avg Drawdown from ATH % Rank
Janet Yellen -2.29 1
Paul Volcker -8.29 2
Alan Greenspan -8.69 3
Daniel R. Crissinger -9.63 4
William M. Martin -10.59 5
Roy A. Young -11.98 6
Ben Bernanke -14.28 7
Arthur F. Burns -15.98 8
G. William Miller -20.5 9
Charles Sumner Hamlin -22.13 10
William P. G. Harding -22.42 11
Thomas B. McCabe -47.83 12
Marriner S. Eccles -61.66 13
Eugene Meyer -72.16 14
Eugene Robert Black -74.48 15

4) Maximum Drawdown from ATH close during tenure

Fed Chair Max Drawdown from ATH % Rank
Janet Yellen -14.48 1
Paul Volcker -27.82 2
Daniel R. Crissinger -28.31 3
G. William Miller -28.69 4
William M. Martin -36.34 5
Alan Greenspan -37.85 6
Arthur F. Burns -45.08 7
William P. G. Harding -46.58 8
Roy A. Young -47.87 9
Charles Sumner Hamlin -48.38 10
Ben Bernanke -53.78 11
Thomas B. McCabe -57.6 12
Marriner S. Eccles -75.62 13
Eugene Robert Black -79.03 14
Eugene Meyer -89.19 15

in other words only fed chair under whose tenure there was a never a bear market ( 20% or more correction from ATH)

5) % days above 200-DMA during the tenure

Fed Chair # days in biz cls>200 DMA % days above 200 DMA Rank
Janet Yellen 1008 863 85.6 1
Paul Volcker 2026 1497 73.9 2
Daniel R. Crissinger 1331 974 73.2 3
Thomas B. McCabe 835 609 72.9 4
Ben Bernanke 2013 1455 72.3 5
Alan Greenspan 4698 3392 72.2 6
Roy A. Young 869 613 70.5 7
William M. Martin 4752 3234 68.1 8
Marriner S. Eccles 3978 2588 65.1 9
Eugene Robert Black 444 283 63.7 10
G. William Miller 357 203 56.9 11
Charles Sumner Hamlin 503 276 54.9 12
William P. G. Harding 2001 1012 50.6 13
Arthur F. Burns 2046 1027 50.2 14
Eugene Meyer 794 142 17.9 15

6) % days above 50-DMA during the tenure

Fed Chair # days in biz cls>50 DMA % days above 50 DMA Rank
Janet Yellen 1008 736 73.0 1
Thomas B. McCabe 835 580 69.5 2
Daniel R. Crissinger 1331 870 65.4 3
Roy A. Young 869 567 65.3 4
Ben Bernanke 2013 1313 65.2 5
Alan Greenspan 4698 3040 64.7 6
Paul Volcker 2026 1293 63.8 7
William M. Martin 4752 2941 61.9 8
Marriner S. Eccles 3978 2312 58.1 9
Charles Sumner Hamlin 503 286 56.9 10
Eugene Robert Black 444 251 56.5 11
William P. G. Harding 2001 1106 55.3 12
G. William Miller 357 195 54.6 13
Arthur F. Burns 2046 1014 49.6 14
Eugene Meyer 794 250 31.5 15

7) % days above 20-DMA during the tenure

Fed Chair # days in biz cls>20 DMA % days above 20 DMA Rank
Janet Yellen 1008 660 65.5 1
Thomas B. McCabe 835 545 65.3 2
Daniel R. Crissinger 1331 850 63.9 3
Roy A. Young 869 552 63.5 4
Ben Bernanke 2013 1266 62.9 5
Charles Sumner Hamlin 503 313 62.2 6
Paul Volcker 2026 1246 61.5 7
William M. Martin 4752 2869 60.4 8
Alan Greenspan 4698 2799 59.6 9
Eugene Robert Black 444 257 57.9 10
G. William Miller 357 206 57.7 11
Marriner S. Eccles 3978 2260 56.8 12
William P. G. Harding 2001 1125 56.2 13
Arthur F. Burns 2046 1039 50.8 14
Eugene Meyer 794 309 38.9 15

8) %up days during the tenure since 1950

Fed Chair # days in biz up days % up days Rank
Janet Yellen 1008 549 54.46 1
Ben Bernanke 2013 1084 53.85 2
William M. Martin 4752 2514 52.9 3
G. William Miller 357 188 52.66 4
Alan Greenspan 4698 2445 52.04 5
Paul Volcker 2026 1043 51.48 6
Arthur F. Burns 2046 995 48.63 7

9) % up months during tenure

Fed Chair # months  in biz up months % up months Rank
Janet Yellen 48 34 70.83 1
Thomas B. McCabe 36 25 69.44 2
G. William Miller 17 11 64.71 3
Ben Bernanke 96 61 63.54 4
Daniel R. Crissinger 53 33 62.26 5
Charles Sumner Hamlin 21 13 61.9 6
Alan Greenspan 222 135 60.81 7
Marriner S. Eccles 161 96 59.63 8
William M. Martin 225 133 59.11 9
Roy A. Young 35 20 57.14 10
William P. G. Harding 81 46 56.79 11
Paul Volcker 96 53 55.21 12
Eugene Robert Black 18 9 50 13
Arthur F. Burns 98 47 47.96 14
Eugene Meyer 32 12 37.5 15

10) humour quotient

as is evident from

1) Janet Yellen’s Humor, from Victor Niederhoffer and M. Chuprin

2) Humor From Yellen, from Alex Castaldo

3) i’m biased may be , as I once won $500 for a tweet , to add to Yellen’s humor collection of @VicNiederhoffer

Fed Chair humour quotient rank
Janet Yellen 1
Charles Sumner Hamlin 2
William P. G. Harding 2
Daniel R. Crissinger 2
Roy A. Young 2
Eugene Meyer 2
Eugene Robert Black 2
Marriner S. Eccles 2
Thomas B. McCabe 2
William M. Martin 2
Arthur F. Burns 2
G. William Miller 2
Paul Volcker 2
Alan Greenspan 2
Ben Bernanke 2

 

when $DIA posts an NR7ID on thu ?

when $DIA posts an NR7ID on thu ?

with the aid of $DIA tickalert file generated on on 20 Jun 2017 close tickalertbelow trading strategy caught our attention , and the trading strategy rules

1) $DIA posts an NR7 ( that is current days range ( high minus low ) is the lowest in the seven trading days including current trading day ) ID ( inside day , a lower high and higher low , that is current days high less than prev days high and current days low is greater than prev days low ) , and in short is called an NR7ID day

2) current trading day is thursday

below the trading odds for $DIA  longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K

$DIA posts NR7ID on thu , since Y2K

or for editable purposes

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 26 16 61.5 0.27 0.22 0.91 -0.75 1.21 -1.35 1.51 1.32
t+2% 26 15 57.7 0.38 0.19 1.05 -0.52 2.00 -0.88 1.92 1.66
t+3% 26 14 53.8 0.34 0.02 1.30 -0.78 1.66 -3.63 1.49 1.15
t+4% 26 13 50.0 -0.01 0.02 1.00 -1.01 0.98 -3.16 0.67 -0.03
t+5% 26 13 50.0 -0.34 -0.09 1.05 -1.72 0.61 -5.80 0.44 -0.87
t+10% 26 13 50.0 -0.11 -0.03 2.01 -2.22 0.90 -6.44 0.74 -0.21
t+20% 26 12 46.2 -0.85 -0.61 3.31 -4.40 0.75 -15.13 0.59 -0.87
1st +’ve in 5 days 26 25 96.2 0.66 0.32 0.71 -0.71 1.01 -0.71 22.27 4.39

25/26 times , since Y2K , $DIA closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 66 bps 

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below prior $DIA instances of NR7ID and the returns over the next 1/2/3/4/5 trading days , since Y2K

Date Close t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% # days to 1st +’ve cls
22-Jun-17 213.73 ?? ?? ?? ?? ?? ?? ??
22-Aug-13 136.83 0.29 -0.13 -1.27 -0.91 -0.77 0.29 1
31-Mar-11 106.06 0.36 0.60 0.51 0.93 0.72 0.36 1
27-Jan-11 102.69 -1.35 -0.87 0.38 0.39 0.61 0.38 3
4-Mar-10 87.53 1.21 1.04 1.15 1.21 1.70 1.21 1
30-Oct-08 74.30 1.08 1.01 4.01 -0.70 -5.80 1.08 1
22-May-08 100.16 -1.12 -0.47 -0.14 0.17 0.09 0.17 4
20-Dec-07 104.26 1.47 2.21 2.28 0.97 0.77 1.47 1
3-May-07 102.67 0.26 0.49 0.55 0.89 0.08 0.26 1
22-Mar-07 96.43 0.19 -0.07 -0.46 -1.17 -0.92 0.19 1
22-Dec-05 82.01 0.04 -0.88 -0.79 -0.95 -1.62 0.04 1
25-Aug-05 78.20 -0.52 0.18 -0.43 0.42 0.14 0.18 2
31-Mar-05 77.91 -0.89 -0.73 -0.37 0.04 0.51 0.04 4
3-Feb-05 78.29 1.03 1.05 1.28 0.79 1.51 1.03 1
18-Nov-04 77.92 -1.03 -0.81 -0.63 -0.59 -0.71 -0.71 5
26-Aug-04 74.59 0.28 -0.46 0.01 0.00 1.14 0.28 1
10-Jun-04 75.97 -0.62 -0.13 -0.25 -0.29 0.07 0.07 5
4-Mar-04 76.81 0.29 -0.66 -1.18 -2.89 -4.15 0.29 1
12-Feb-04 77.63 -0.55 0.21 -0.12 -0.18 -0.57 0.21 2
5-Jun-03 64.74 0.14 -0.56 0.32 1.51 1.87 0.14 1
14-Mar-02 73.34 0.87 0.41 1.39 -0.27 -0.63 0.87 1
28-Feb-02 70.36 2.71 4.76 3.64 4.78 4.46 2.71 1
23-Aug-01 70.65 2.12 1.43 -0.13 -1.23 -3.11 2.12 1
11-Jan-01 72.35 -0.57 0.47 0.03 0.73 -0.25 0.47 2
2-Nov-00 74.02 -0.39 1.27 1.01 0.11 -0.39 1.27 2
6-Apr-00 75.33 -0.45 0.58 1.65 -0.81 -2.14 0.58 2
2-Mar-00 68.65 2.16 0.03 -3.63 -3.16 -1.34 2.16 1

highlighted in red is the one instance where $DIA failed to close above the entry , over the next five days at close

you might want to consider subscribing to our daily quant rants email  !!

tickalert

when $DIA posts 4 red candles in row

when $DIA posts 4 red candles in row 

$DIA stock chart on 12 Jan 2016

with $DIA posttng , 4 consecutive red candles in row as on 12 th Jan 2016, below

trading strategy rules

1) $DIA closes below open for 4 or more trading days in row

below the trading odds for $DIA longs , for the next 1/2/3/4/5/10/20 trading days , since last 4 years ( i.e since 12th jan 2012 ) , when $DIA posts 4 consecutive red candles in row .

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 35 22 62.9 0.24 0.35 0.71 -0.56 1.28 -1.07 1.86 1.98
t+2 35 24 68.6 0.64 0.54 1.24 -0.66 1.87 -1.65 3.13 3.23
t+3 35 25 71.4 0.65 0.49 1.15 -0.61 1.89 -1.16 3.71 3.36
t+4 35 24 68.6 0.63 0.38 1.25 -0.70 1.78 -1.35 3.02 2.96
t+5 35 23 65.7 0.50 0.61 1.24 -0.91 1.36 -2.84 2.11 2.21
t+10 35 20 57.1 0.61 0.64 2.45 -1.86 1.32 -5.12 1.56 1.39
t+20 35 23 65.7 0.97 1.03 3.49 -3.88 0.90 -8.80 1.25 1.33
1st +’ve in 5 days  35 34 97.1 0.57 0.51 0.62 -0.94 0.66 -0.94 21.44 6.95
1st -‘ve in 5 days 35 21 60.0 -0.28 -0.22 -0.55 1.53 0.36 3.44 0.56 -1.38

34/35 times  $DIA closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 57 basis points at the 1st positive close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical instances of $DIA posting 4 or more consecutive red candles in row in the last 4 years , and next 1/2/3/4/5 trading day returns

Date $DIA t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 days %
12-Jan-16 164.95 ?? ?? ?? ?? ?? ??
07-Aug-15 171.90 1.35 0.16 0.21 0.27 0.61 1.35
06-Aug-15 172.27 -0.22 1.13 -0.06 -0.01 0.05 1.13
05-Aug-15 173.40 -0.65 -0.87 0.47 -0.71 -0.66 0.47
27-Jul-15 172.28 1.08 1.74 1.72 1.41 0.87 1.08
24-Jul-15 173.56 -0.73 0.34 0.99 0.97 0.66 0.34
23-Jul-15 175.18 -0.93 -1.65 -0.59 0.06 0.03 0.06
02-Jul-15 174.91 -0.21 0.33 -1.16 -1.01 0.20 0.33
01-Jul-15 175.25 -0.20 -0.41 0.13 -1.35 -1.21 0.13
30-Jun-15 173.69 0.90 0.70 0.49 1.03 -0.47 0.90
29-Jun-15 173.51 0.10 1.00 0.80 0.59 1.13 0.10
09-Jun-15 175.09 1.32 1.65 0.80 0.22 0.84 1.32
06-Mar-15 174.97 0.78 -0.96 -1.15 0.32 -0.47 0.78
06-Jan-15 169.45 1.27 3.10 2.21 1.64 1.49 1.27
05-Jan-15 170.86 -0.83 0.43 2.24 1.36 0.80 0.43
14-Oct-14 158.58 -1.07 -1.26 0.26 0.38 1.70 0.26
04-Sep-14 165.60 0.35 0.23 -0.32 0.01 -0.09 0.35
01-Aug-14 159.41 0.46 -0.39 -0.22 -0.62 0.47 0.46
27-Jan-14 151.42 0.58 -0.58 0.09 -0.80 -2.84 0.58
24-Jan-14 151.86 -0.29 0.29 -0.87 -0.20 -1.09 0.29
13-Jan-14 155.34 0.75 1.44 1.07 1.22 1.00 0.75
12-Dec-13 150.40 0.11 0.91 0.83 2.72 2.80 0.11
25-Sep-13 145.14 0.35 -0.14 -0.93 -0.52 -0.94 0.35
24-Sep-13 145.75 -0.42 -0.07 -0.56 -1.35 -0.94 -0.94
21-Aug-13 141.27 0.51 0.80 0.38 -0.77 -0.40 0.51
20-Aug-13 142.32 -0.74 -0.23 0.05 -0.36 -1.50 0.05
19-Aug-13 142.32 0.01 -0.73 -0.23 0.06 -0.35 0.01
25-Jun-13 139.46 1.01 1.77 0.85 1.44 1.11 1.01
24-Jun-13 138.49 0.70 1.72 2.47 1.55 2.15 0.70
28-Dec-12 120.79 1.17 3.64 3.53 3.87 3.44 1.17
04-Dec-12 120.72 0.66 1.04 1.68 1.82 2.40 0.66
12-Oct-12 123.72 0.67 1.63 1.73 1.68 0.12 0.67
11-Jul-12 116.27 -0.27 1.36 0.96 1.52 2.42 1.36
04-Jun-12 111.34 0.26 2.61 3.10 3.85 2.65 0.26
18-May-12 113.67 1.22 1.23 1.14 1.47 0.77 1.22
17-May-12 114.44 -0.67 0.54 0.55 0.46 0.79 0.54

highlighted in the red were the loss making trades !! 

you might want to consider subscribing to our daily quant rants email  !!

check out the new look of the paststat

when $DIA closes below lower bollinger band for 4 day in row ?

when $DIA closes below lower bollinger band for 4 day in row ?

$DIA stock chart 11 Jan 2016

with $DIA closing below the lower bollinger band ( based on 20 day moving average and 2 standard deviations ) for 4 days in row , below

trading strategy rules

1) $DIA closes below the lower bollinger band for 4 or more days in row

below the trading odds for $DIA longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 34 20 58.8 0.48 0.32 2.47 -2.37 1.04 -6.40 1.16 0.78
t+2 34 17 50.0 0.63 0.38 3.66 -2.41 1.52 -8.37 1.21 0.87
t+3 34 23 67.6 0.72 0.87 2.70 -3.41 0.79 -9.03 1.44 1.07
t+4 34 20 58.8 0.68 0.49 3.11 -2.79 1.12 -8.77 1.36 0.97
t+5 34 18 52.9 0.62 0.56 3.66 -2.81 1.31 -9.79 1.30 0.84
t+10 34 20 58.8 0.89 0.58 3.70 -3.13 1.18 -9.81 1.71 1.14
t+20 34 28 82.4 4.07 3.79 5.57 -2.93 1.90 -6.69 9.20 5.14
1st +’ve in 5 days  34 29 85.3 1.58 0.95 2.51 -3.81 0.66 -9.79 3.02 2.40
1st -‘ve in 5 days 34 26 76.5 0.26 -0.70 -1.87 4.97 0.38 12.80 1.14 0.40

29/34 times  $DIA closed at higher than the current close at some point of time in the next five trading days .. with an average gain of 158 basis points at the 1st positive close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical instances of $DIA closing below lower bollinger bands for 4 or more days in row , since Y2K

Date $DIA # closes below LBB t+1% t+2% t+3% t+4% t+5% 1st +’ve in 5 dyas %
11-Jan-16 163.83 4 ?? ?? ?? ?? ?? ??
25-Aug-15 155.24 4 3.94 6.36 6.29 5.55 2.54 3.94
16-Oct-14 156.58 6 1.53 1.66 2.99 2.11 3.40 1.53
15-Oct-14 156.87 5 -0.19 1.35 1.47 2.80 1.92 1.35
14-Oct-14 158.58 4 -1.07 -1.26 0.26 0.38 1.70 0.26
05-Aug-14 158.78 4 0.17 -0.23 0.87 0.99 0.96 0.17
21-Aug-13 141.27 6 0.51 0.80 0.38 -0.77 -0.40 0.51
20-Aug-13 142.32 5 -0.74 -0.23 0.05 -0.36 -1.50 0.05
19-Aug-13 142.32 4 0.01 -0.73 -0.23 0.06 -0.35 0.01
25-Nov-11 102.00 4 2.64 3.05 7.18 7.13 7.06 2.64
08-Aug-11 97.35 8 3.98 -0.83 2.94 4.38 6.24 3.98
05-Aug-11 102.92 7 -5.41 -1.65 -6.20 -2.63 -1.27 -1.27
04-Aug-11 102.43 6 0.47 -4.96 -1.18 -5.75 -2.16 0.47
03-Aug-11 107.01 5 -4.28 -3.83 -9.03 -5.41 -9.79 -9.79
02-Aug-11 106.71 4 0.29 -4.01 -3.55 -8.77 -5.14 0.29
26-Jan-10 88.33 4 0.41 -0.67 -1.31 -0.04 0.98 0.41
23-Feb-09 60.16 5 3.13 2.14 0.97 -0.55 -4.67 3.13
20-Feb-09 62.34 4 -3.50 -0.47 -1.44 -2.56 -4.03 -4.03
10-Oct-08 69.69 6 13.47 11.84 1.34 7.31 4.71 13.47
09-Oct-08 71.19 5 -2.10 11.08 9.49 -0.79 5.05 11.08
08-Oct-08 76.06 4 -6.40 -8.37 3.97 2.48 -7.14 3.97
12-Nov-07 105.49 4 2.60 2.27 1.31 1.58 0.16 2.60
05-Mar-07 96.51 5 1.46 1.41 2.08 2.24 2.37 1.46
02-Mar-07 97.04 4 -0.55 0.91 0.86 1.52 1.68 0.91
15-Mar-04 76.36 6 0.68 1.78 1.83 0.60 -0.61 0.68
12-Mar-04 77.15 5 -1.02 -0.35 0.74 0.79 -0.43 0.74
11-Mar-04 76.40 4 0.99 -0.05 0.63 1.73 1.78 0.99
23-Jul-02 56.14 4 6.39 5.97 7.36 12.38 12.80 6.39
21-Sep-01 59.39 8 4.11 4.95 3.93 4.77 6.70 4.11
20-Sep-01 59.86 7 -0.79 3.28 4.12 3.10 3.94 3.28
19-Sep-01 62.60 6 -4.37 -5.12 -1.23 -0.43 -1.40 -1.40
18-Sep-01 63.98 5 -2.16 -6.43 -7.17 -3.36 -2.58 -2.58
17-Sep-01 63.76 4 0.34 -1.83 -6.12 -6.86 -3.03 0.34
21-Sep-00 75.02 5 2.35 1.74 -0.09 0.25 1.97 2.35
20-Sep-00 75.51 4 -0.64 1.69 1.08 -0.73 -0.39 1.69

highlighted in the red were the loss making trades !! 

you might want to consider subscribing to our daily quant rants email  !!

check out the new look of the paststat

DJIA and triple crown winners

DJIA and triple crown winners

American PharoahBelow the DJIA rest of the year returns , during the years when there was a triple crown winner

Date DJIA Year End DJIA Triple Crown Winner Rest of Year %
06-Jun-15 17849.5 31-Dec-15 ?? American Pharoah ??
10-Jun-78 859.23 29-Dec-78 805.01 Affirmed -6.31
11-Jun-77 910.79 30-Dec-77 831.17 Seattle Slew -8.74
09-Jun-73 920 31-Dec-73 850.86 Secretariat -7.52
05-Jun-48 190.18 31-Dec-48 177.3 Citation -6.77
08-Jun-46 209.96 31-Dec-46 177.2 Assault -15.60
05-Jun-43 142.28 31-Dec-43 135.89 Count Fleet -4.49
07-Jun-41 118 31-Dec-41 110.96 Whirlaway -5.97
05-Jun-37 175.14 31-Dec-37 120.85 War Admiral -31.00
08-Jun-35 114.01 31-Dec-35 144.13 Omaha 26.42
07-Jun-30 263.93 31-Dec-30 164.58 Gallant Fox -37.64
07-Jun-19 107.46 31-Dec-19 107.23 Sir Barton -0.21
# Wins 1/11
        Avg -8.89
        Med -6.77

vs

DJIA rest of year returns , when there was no triple crown winner , since 1900

Winners : 76
Losers : 28
% Winners : 73%
Average Change % : 5.04
Median Change % : 5.44
Maximum Gain % : 41.89
Maximum Loss % : -41.57
Average Gain %if Winner : 11.88
Average Loss % if Loser : -13.52

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out new the look paststat – single click backtesting site 

 

suppose if $DIA hasn’t had 2 straight winning days

suppose if $DIA hasn’t had 2 straight winning days , in over 20 trading days 

Below the interleaving samples of $DIA not having 2 straight winning days in row , in 20 or more trading days , since Y2K

Date # Days , since no 2 winning days t% t+1% t+2% t+3% t+4% t+5% 1st +’ve Close %
17-Oct-14 20 1.53 ?? ?? ?? ?? ?? ??
11-Aug-11 25 3.81 1.39 3.19 2.54 2.71 -1.07 1.39
10-Aug-11 24 -4.62 3.81 5.25 7.12 6.45 6.62 3.81
09-Aug-11 23 3.98 -4.62 -0.99 0.38 2.17 1.53 0.38
08-Aug-11 22 -5.42 3.98 -0.83 2.95 4.38 6.24 3.98
05-Aug-11 21 0.47 -5.42 -1.65 -6.2 -2.63 -1.28 -1.28
04-Aug-11 20 -4.28 0.47 -4.97 -1.19 -5.75 -2.17 0.47
02-Jun-10 23 2.28 0.09 -3.09 -4.23 -3.09 -3.37 0.09
01-Jun-10 22 -1.14 2.28 2.37 -0.88 -2.04 -0.88 2.28
28-May-10 21 -1.21 -1.14 1.12 1.21 -2.01 -3.16 1.12
27-May-10 20 3.04 -1.21 -2.34 -0.11 -0.02 -3.19 -3.19
13-Jul-09 20 2.31 0.41 3.46 4.7 5.13 6.18 0.41
10-Mar-09 21 5.66 0.48 3.81 4.59 4.58 7.14 0.48
09-Mar-09 20 -1.59 5.66 6.17 9.69 10.51 10.5 5.66
30-Oct-08 21 3.76 1.08 1.01 4.01 -0.71 -5.8 1.08
29-Oct-08 20 -2.19 3.76 4.88 4.8 7.92 3.02 3.76
16-Jul-08 22 2.63 1.75 2.62 2.36 3.29 3.77 1.75
15-Jul-08 21 -1.09 2.63 4.42 5.32 5.05 6.01 2.63
14-Jul-08 20 -0.45 -1.09 1.51 3.29 4.17 3.91 1.51
27-Nov-07 20 1.46 2.71 2.97 3.74 3.08 2.4 2.71
30-Apr-02 23 1.31 1.46 1.58 0.47 -1.39 -1.3 1.46
29-Apr-02 22 -0.65 1.31 2.79 2.91 1.79 -0.1 1.31
26-Apr-02 21 -1.66 -0.65 0.65 2.12 2.24 1.13 0.65
25-Apr-02 20 0.25 -1.66 -2.3 -1.02 0.43 0.55 0.43
02-Mar-01 22 0.12 0.73 1.29 2.53 3.63 1.29 0.73
01-Mar-01 21 -0.31 0.12 0.85 1.41 2.65 3.75 0.12
28-Feb-01 20 -1.49 -0.31 -0.2 0.53 1.1 2.33 0.53
avg 0.69 1.29 2.04 2.06 1.69 1.32
med 0.61 1.40 2.45 2.45 1.41 1.10
std 2.42 2.71 3.26 3.59 3.86 1.74
t-test 1.46 2.43 3.20 2.93 2.24 3.87

24/26 times $DIA closed above the entry price , in the next five trading days , at some point over the next five trading days , with an average gain of 1.32% and a median gain of 1.1%

assuming we close in the red ( just assuming , i’ve no idea ) , and front running the above trading strategy again at close

  • $DIA hasn’t had a 2 straight winning days , in over 20 trading days
  • $DIA closed in red as on current trading day at close

Below the prior instances , since Y2K

Date # Days , since no 2 winning days t% t+1% t+2% t+3% t+4% t+5% 1st +’ve Close %
20-Oct-14 ~21 ~<-0.01 ?? ?? ?? ?? ?? ??
10-Aug-11 24 -4.62 3.81 5.25 7.12 6.45 6.62 3.81
08-Aug-11 22 -5.42 3.98 -0.83 2.95 4.38 6.24 3.98
04-Aug-11 20 -4.28 0.47 -4.97 -1.19 -5.75 -2.17 0.47
01-Jun-10 22 -1.14 2.28 2.37 -0.88 -2.04 -0.88 2.28
28-May-10 21 -1.21 -1.14 1.12 1.21 -2.01 -3.16 1.12
09-Mar-09 20 -1.59 5.66 6.17 9.69 10.51 10.5 5.66
29-Oct-08 20 -2.19 3.76 4.88 4.8 7.92 3.02 3.76
15-Jul-08 21 -1.09 2.63 4.42 5.32 5.05 6.01 2.63
14-Jul-08 20 -0.45 -1.09 1.51 3.29 4.17 3.91 1.51
29-Apr-02 22 -0.65 1.31 2.79 2.91 1.79 -0.1 1.31
26-Apr-02 21 -1.66 -0.65 0.65 2.12 2.24 1.13 0.65
01-Mar-01 21 -0.31 0.12 0.85 1.41 2.65 3.75 0.12
28-Feb-01 20 -1.49 -0.31 -0.2 0.53 1.1 2.33 0.53
avg 1.42 1.56 2.68 2.50 2.55 2.00
med 0.89 1.32 2.52 2.45 2.68 1.41
std 2.14 2.82 2.85 4.26 3.74 1.64
t-test 2.39 2.00 3.39 2.12 2.46 4.40

a sample since of 13 only , but in all those 13 instances , $DIA closed higher at some point of time over the next five trading days , with an average gain of 2% and a median gain of 1.4%

suppose if $DIA hasn’t had 2 straight winning days , in over 20 trading days , and $DIA closed in red as on today

$DIA hasn't had a 2 straight winning days ,in more than 20 trading days , and $DIA closed in red as on current trading day , since Y2K

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

 

Dow Jones Erases All of 2014′s Gains – next what ?

Dow Jones Erases All of 2014′s Gains – next what ?

dow

chart from the blog -> Dow Jones Erases All of 2014′s Gains

Below the prior instances of $DJIA erasing the yearly gains and closing negative YTD , in the months of June/July/Aug ( just to get apple to apple comparison to +/- one month here are there to the current scenario )

data since 1900

below the trading odds of going long at the first negative YTD close in the months of Jun/Jul/Aug and exiting at the last trading day of the year

  • Winners : 18
  • Losers : 12
  • % Winners : 60%
  • Average Change % : 1.53
  • Median Change % : 3.52
  • Maximum Gain % : 48.54
  • Maximum Loss % : -33.42
  • Average Gain %if Winner : 12.88
  • Average Loss % if Loser : -15.50
  • Payoff Ratio 0.83

for the data since our generation , or since 1990 ..

  • Winners : 8
  • Losers : 2
  • % Winners : 80%
  • Average Change % : 8.34
  • Median Change % : 7.73
  • Maximum Gain % : 21.78
  • Maximum Loss % : -6.25
  • Average Gain %if Winner : 11.59
  • Average Loss % if Loser : -4.65
  • Payoff Ratio 2.49

as we would be telling “it’s bullish again ” stories all the time ,

for your own analysis , below the $DJIA erasing the YTD gains during the half year ending , since 1900

Date DJIA Year Start Ytd Gains % YTD Max so far YTD Max Gains % End of Year Close Rest of Year Gains %
31-07-2014 16563.3 16576.66 -0.08 17138.2 3.39 16563.3 ??
01-06-2012 12118.57 12217.56 -0.81 13279.32 8.69 13104.14 8.13
04-08-2011 11383.68 11577.51 -1.67 12810.54 10.65 12217.56 7.33
22-06-2010 10293.52 10428.05 -1.29 11205.03 7.45 11577.51 12.47
15-06-2009 8612.13 8776.39 -1.87 9015.1 2.72 10428.05 21.09
13-06-2006 10706.14 10717.5 -0.11 11642.65 8.63 12463.15 16.41
24-06-2004 10443.81 10453.92 -0.10 10737.7 2.71 10783.01 3.25
14-06-2001 10690.13 10786.85 -0.90 11337.92 5.11 10021.5 -6.25
31-08-1998 7539.06 7908.24 -4.67 9337.97 18.08 9181.43 21.78
08-06-1994 3749.45 3754.09 -0.12 3978.36 5.97 3834.44 2.27
06-08-1990 2716.34 2753.2 -1.34 2999.75 8.96 2633.66 -3.04
24-08-1982 874.9 875 -0.01 891.17 1.85 1046.54 19.62
02-07-1981 959.19 963.99 -0.50 1024.05 6.23 875 -8.78
20-06-1978 830.04 831.17 -0.14 866.51 4.25 805.01 -3.02
12-06-1974 848.56 850.86 -0.27 891.66 4.80 616.24 -27.38
17-06-1968 903.45 905.11 -0.18 919.9 1.63 943.75 4.46
14-06-1965 868.71 874.13 -0.62 939.62 7.49 969.26 11.57
24-06-1957 497.08 499.47 -0.48 513.19 2.75 435.69 -12.35
12-07-1950 199.09 200.13 -0.52 228.38 14.12 235.41 18.24
03-08-1949 177.19 177.3 -0.06 181.54 2.39 200.13 12.95
02-08-1948 181.13 181.16 -0.02 193.16 6.62 177.3 -2.11
24-06-1947 174.54 177.2 -1.50 184.49 4.11 181.16 3.79
27-08-1946 191.04 192.91 -0.97 212.5 10.15 177.2 -7.24
26-08-1937 178.52 179.9 -0.77 194.4 8.06 120.85 -32.30
19-06-1934 99.02 99.9 -0.88 110.74 10.85 104.04 5.07
12-06-1930 247.18 248.48 -0.52 294.07 18.35 164.58 -33.42
18-06-1928 201.96 202.4 -0.22 220.96 9.17 300 48.54
15-07-1926 155.84 156.66 -0.52 162.31 3.61 157.2 0.87
06-06-1921 71.18 71.95 -1.07 80.03 11.23 81.1 13.94
18-06-1917 94.89 95 -0.12 99.18 4.40 74.38 -21.61
28-07-1914 76.28 78.78 -3.17 83.43 5.90 54.58 -28.45
11-08-1911 80.71 81.36 -0.80 87.06 7.01 81.68 1.20
13-06-1904 48.88 49.11 -0.47 50.5 2.83 69.61 42.41
23-06-1902 64.2 64.56 -0.56 68.44 6.01 64.29 0.14
15-07-1901 69.46 70.71 -1.77 78.26 10.68 64.56 -7.05

you might want to consider subscribing to our daily quant rants email  !!

contact us for your quant trading programming needs in python and or R 

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

Full Moon and Friday the 13th and Stock Markets

Full Moon and Friday the 13th and Stock Markets 

Friday the 13th and full moon

Source for the Full Moon and Friday the 13th data -> http://earthsky.org/space/when-does-friday-the-13th-have-a-full-moon

Below the historical Down Jones Index movements from the 13th Friday and Full Moon till next Friday , since 1900

13 Fri & Full Moon Date DJIA Next Fri DJIA Chg %
13-Mar-03 64.11 20-Mar-03 65.75 2.56
13-Oct-05 81.54 20-Oct-05 82.27 0.9
13-Jun-19 102.85 20-Jun-19 106.13 3.19
13-Jan-22 80.82 20-Jan-22 82.95 2.64
13-Nov-70 759.79 20-Nov-70 761.57 0.23
13-Jul-84 1109.87 20-Jul-84 1101.37 -0.77
13-Feb-87 2183.35 20-Feb-87 2235.24 2.38
13-Mar-98 8602.51 20-Mar-98 8906.42 3.53
13-Oct-00 10192.18 20-Oct-00 10226.59 0.34
13-Jul-14 16775.74 20-Jun-14         ??      ??
avg 1.67
med 2.38
max 3.53
min -0.77

Below the trading odds for $DJIA longs , for a week holding period from 13th Fri and Full Moon date’s close till next Friday’s close

  • Winners : 8
  • Losers : 1
  • % Winners : 89%
  • Average Change % : 1.67
  • Median Change % : 2.38
  • Maximum Gain % : 3.53
  • Maximum Loss % : -0.77
  • Average Gain %if Winner : 1.97
  • Average Loss % if Loser : -0.77
  • Payoff Ratio 2.56

Full Moon and Friday the 13th and Stock Markets Colorful table 

Full Moon and Fri the 13th and Stock Markets

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

Congrats California Chrome , but no triple crown pls ….

Congrats California Chrome

triple-crown-affirmed-horizontal-gallery

Congrats California Chrome , for winning the Preakness Stakes after the Kentucky Derby, and good luck in the Belmont Stakes ! 

here is a look at the DJIA index performance , in those years when there was a triple crown winner , assuming one goes long at May end ( I know ,there is a slight problem using May end closing values , as the Belmont Stakes happen on the Saturday between June 5 and June 11., but for the sake of simplicity ) 

below the trading odds for the DJIA longs , from May end till Dec end, when there was a triple crown winner , data since 1900 ,

  • # : 11
  • Winners : 2
  • Losers : 9
  • % Winners : 18%
  • Average Change % : -8.05
  • Median Change % : -5.61
  • Maximum Gain % : 30.27
  • Maximum Loss % : -40.17
  • Average Gain %if Winner : 15.96
  • Average Loss % if Loser : -13.38
  • Payoff Ratio 1.19

below the trading odds for the DJIA longs , from May end till next May end ( i.e 12 months holding period), when there was a triple crown winner , data since 1900 ,

  • #: 11
  • Winners : 2
  • Losers : 9
  • % Winners : 18%
  • Average Change % : -11.89
  • Median Change % : -11.73
  • Maximum Gain % : 37.96
  • Maximum Loss % : -53.30
  • Average Gain %if Winner : 19.05
  • Average Loss % if Loser : -18.76
  • Payoff Ratio 1.02

looks bit rough periods ahead if this “triple crown indicator ” triggers :(

for apple to apple comparison , below the trading odds for the DJIA longs , from May end till next May end ( i.e 12 months holding period), when there was NOT a triple crown winner , data since 1900 ,

  • # : 102
  • Winners : 70
  • Losers : 32
  • % Winners : 69%
  • Average Change % : 9.89
  • Median Change % : 8.54
  • Maximum Gain % : 96.94
  • Maximum Loss % : -65.17
  • Average Gain %if Winner : 19.95
  • Average Loss % if Loser : -12.13
  • Payoff Ratio 1.64

below the DJIA returns in those years when there was a triple crown winner , since 1900

Year Horse May end – Dec End % May End – Next May End (%)
1919 Sir Barton 1.64 -12.74
1930 Gallant Fox -40.17 -53.3
1935 Omaha 30.27 37.96
1937 War Admiral -30.83 -38.33
1941 Whirlaway -4.15 -12.85
1943 Count Fleet -4.34 0.13
1946 Assault -16.53 -20.27
1948 Citation -7.05 -11.73
1973 Secretariat -5.61 -11.01
1977 Seattle Slew -7.51 -6.46
1978 Affirmed -4.24 -2.17
2014 California Chrome ? ?? ??

not to be a spoil sport , sorry no triple crown for California Chrome pls !!

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

 

dissecting that scary 1929 market chart

Scary 1929 market chart gains traction

{ disclosure : borrowed heading from Mark Hulbert from the Scary 1929 market chart gains traction }

here is that Scary 1929 market chart , for your eye-candy purposes , that is making headlines and doing rounds across the trading desks

Scary 1929 market chart

Below is what we understood by reading the Scary 1929 market chart gains traction 

Exercise 1 ) 

“The chart was first publicized in late November of last year” -> so we took 29-Nov-2013 weekly closing value of DJIA as the base

“this chart of the DJIA (DIA) of the last 18 months superimposed on a chart of the index during the same time frame in 1928-1929″ from ( Scary chart draws parallels with 1929) -> so we are slicing DJIA closing values into 18 month non-overlapping periods ( 78 weekly closing value percent changes, so we will get about 75 observations )

Step 1) download DJIA closing weekly values  from http://research.stlouisfed.org/fred2/series/DJIA/downloaddata?cid=32255

Step 2) Calculate the correlation between a) 78 weekly percent changes of DJIA with the period from 29-Nov-13 to 08-Jun-12 and b) the previous 78 weeks starting from 01-Jun-12 to 10-Dec-10

Step 3) repeat this process for 75 times , till Jan 1900 , with each 18 month period to that of the DeMark  Eureka/Benzene  moment :) i.e late November 2013 , 18 month period .

below the table we got , for your convenience we have also given the next 18 month returns ..  and ranked the correlation to that of current 78 weeks period

Start End Correl Rank DJIA Fwd 18 months DJIA returns %
29-Nov-13 08-Jun-12 1.00 15536.18 ??
10-Dec-10 01-Jun-12 -0.05 52 12331.87 30.41
12-Jun-09 03-Dec-10 0.00 37 11374.84 8.41
14-Dec-07 05-Jun-09 0.09 20 8767.35 29.74
16-Jun-06 07-Dec-07 0.09 19 13498.3 -35.05
17-Dec-04 09-Jun-06 -0.08 57 10869.08 24.19
20-Jun-03 10-Dec-04 -0.13 63 10672.36 1.84
21-Dec-01 13-Jun-03 -0.05 51 9263.21 15.21
23-Jun-00 14-Dec-01 0.14 7 9996.27 -7.33
25-Dec-98 16-Jun-00 -0.06 54 10454.33 -4.38
27-Jun-97 18-Dec-98 -0.02 43 9113.33 14.71
29-Dec-95 20-Jun-97 -0.15 66 7678.85 18.68
01-Jul-94 22-Dec-95 0.03 28 5105.41 50.41
01-Jan-93 24-Jun-94 -0.01 41 3658.76 39.54
05-Jul-91 25-Dec-92 0.12 10 3316.58 10.32
05-Jan-90 28-Jun-91 0.01 31 2949.58 12.44
08-Jul-88 29-Dec-89 0.09 18 2797.3 5.44
09-Jan-87 01-Jul-88 -0.02 44 2129.4 31.37
12-Jul-85 02-Jan-87 0.06 24 1989.65 7.02
13-Jan-84 05-Jul-85 0.00 35 1331.9 49.38
16-Jul-82 06-Jan-84 -0.03 48 1278.29 4.19
16-Jan-81 09-Jul-82 -0.19 70 826.69 54.63
20-Jul-79 09-Jan-81 -0.12 61 968.72 -14.66
20-Jan-78 13-Jul-79 -0.05 50 829.47 16.79
23-Jul-76 13-Jan-78 -0.06 55 778.53 6.54
24-Jan-75 16-Jul-76 0.10 14 990.11 -21.37
27-Jul-73 17-Jan-75 -0.08 56 653.07 51.61
28-Jan-72 20-Jul-73 0.01 32 927.23 -29.57
31-Jul-70 21-Jan-72 0.08 22 897.38 3.33
31-Jan-69 24-Jul-70 0.10 13 733.19 22.39
04-Aug-67 24-Jan-69 -0.12 60 940.43 -22.04
04-Feb-66 28-Jul-67 -0.01 40 917.05 2.55
07-Aug-64 28-Jan-66 -0.03 46 981.85 -6.60
08-Feb-63 31-Jul-64 0.28 3 831.75 18.05
11-Aug-61 01-Feb-63 0.10 15 680.97 22.14
12-Feb-60 04-Aug-61 0.14 8 720.09 -5.43
15-Aug-58 05-Feb-60 -0.26 74 622.41 15.69
15-Feb-57 08-Aug-58 -0.21 71 509.25 22.22
19-Aug-55 08-Feb-57 -0.18 68 460.81 10.51
19-Feb-54 12-Aug-55 0.04 26 453.66 1.58
22-Aug-52 12-Feb-54 0.00 36 290.97 55.91
23-Feb-51 15-Aug-52 0.02 29 274.34 6.06
26-Aug-49 16-Feb-51 -0.03 47 252.39 8.70
27-Feb-48 19-Aug-49 0.09 21 179.21 40.83
30-Aug-46 20-Feb-48 -0.14 64 167.63 6.91
02-Mar-45 23-Aug-46 0.10 16 191.54 -12.48
03-Sep-43 23-Feb-45 0.13 9 159.58 20.03
06-Mar-42 27-Aug-43 -0.11 59 136.59 16.83
06-Sep-40 27-Feb-42 -0.02 45 105.36 29.64
10-Mar-39 30-Aug-40 0.28 4 131.71 -20.01
10-Sep-37 03-Mar-39 0.15 6 150.46 -12.46
13-Mar-36 03-Sep-37 0.01 34 164.93 -8.77
14-Sep-34 06-Mar-36 0.10 17 154.52 6.74
17-Mar-33 07-Sep-34 -0.17 67 89.21 73.21
11-Sep-31 03-Mar-33 -0.10 58 61.93 44.05
14-Mar-30 04-Sep-31 0.02 30 128.29 -51.73
14-Sep-28 07-Mar-30 0.00 39 274.25 -53.22
18-Mar-27 07-Sep-28 -0.21 72 240.38 14.09
18-Sep-25 11-Mar-27 -0.14 65 161.04 49.27
21-Mar-24 11-Sep-25 -0.01 42 145.99 10.31
22-Sep-22 14-Mar-24 -0.12 62 96.66 51.03
25-Mar-21 15-Sep-22 0.07 23 99.38 -2.74
26-Sep-19 18-Mar-21 0.23 5 76.87 29.28
29-Mar-18 19-Sep-19 -0.06 53 106.83 -28.04
29-Sep-16 22-Mar-18 0.12 11 76.46 39.72
02-Apr-15 22-Sep-16 0.00 38 102.05 -25.08
23-May-13 26-Mar-15 0.29 2 60.58 68.45
24-Nov-11 16-May-13 0.05 25 79.09 -23.40
27-May-10 17-Nov-11 0.01 33 81.35 -2.78
27-Nov-08 20-May-10 0.11 12 88.69 -8.28
31-May-07 20-Nov-08 0.33 1 86.95 2.00
01-Dec-05 24-May-07 -0.03 49 78 11.47
03-Jun-04 24-Nov-05 -0.22 73 89.13 -12.49
05-Dec-02 27-May-04 -0.19 69 48.18 84.99
07-Jun-01 28-Nov-02 0.04 27 62.08 -22.39

points to note are

1) highest correlation value is o.33 ( highlighted in green ) with that of period starting from 31st May 1907 to 20th Nov 1908 , when DJIA returned 2% over the next 18 months.

2) the correlation values to those subsequent 50% crashes ( highlighted in red) over the 18 months period are mere 0.00 and 0.02

3) rule of thumb -> if n*abs(correl)>10 , that can be considered something to serious , investigate further.

in this case, n being 75 , (sample size ), DeMark moment’s, correl being 0.02 , and 74*0.04 being 1.5 , that analogue statistically doesn’t make sense to us 

Exercise 2 ) 

assuming this chart is gaining more traction now , as the original purpose was fun , but now it is serious,  as quoted here ->

“Originally, I drew [the chart] for entertainment purposes only … Now it’s evolved into something more serious.” from Scary chart draws parallels with 1929 

doing the same steps mentioned above but calculating the 78 weekly change % correlations with the period starting from 07th Feb, 2014 to 17th Aug, 2012 , we got the below table

Start End Correl Rank DJIA Fwd 18 month DJIA returns %
07-Feb-14 17-Aug-12 1.00 16082.27 ??
18-Feb-11 10-Aug-12 -0.11 59 13206.33 17.64
21-Aug-09 11-Feb-11 0.06 21 12298.48 7.38
22-Feb-08 14-Aug-09 0.03 28 9297.69 32.27
25-Aug-06 15-Feb-08 0.06 20 12357.45 -24.76
25-Feb-05 18-Aug-06 -0.11 58 11314.26 9.22
29-Aug-03 18-Feb-05 -0.19 69 10718.85 5.55
01-Mar-02 22-Aug-03 -0.08 53 9356.38 14.56
01-Sep-00 22-Feb-02 0.08 18 10172.71 -8.02
05-Mar-99 25-Aug-00 -0.08 52 11204.97 -9.21
05-Sep-97 26-Feb-99 -0.05 44 9420.35 18.94
08-Mar-96 29-Aug-97 -0.03 42 7817.29 20.51
09-Sep-94 01-Mar-96 -0.02 41 5596.89 39.67
12-Mar-93 02-Sep-94 -0.07 49 3890.76 43.85
13-Sep-91 05-Mar-93 0.05 23 3460.94 12.42
16-Mar-90 06-Sep-91 0.02 33 2994.05 15.59
16-Sep-88 09-Mar-90 -0.10 54 2697.21 11.01
20-Mar-87 09-Sep-88 -0.07 50 2089.3 29.10
20-Sep-85 13-Mar-87 0.04 26 2290.65 -8.79
23-Mar-84 13-Sep-85 0.08 17 1302.49 75.87
24-Sep-82 16-Mar-84 0.01 38 1165.74 11.73
27-Mar-81 17-Sep-82 -0.31 75 924.8 26.05
28-Sep-79 20-Mar-81 -0.19 68 1003.22 -7.82
31-Mar-78 21-Sep-79 0.01 35 884.88 13.37
01-Oct-76 24-Mar-78 -0.16 63 758.16 16.71
04-Apr-75 24-Sep-76 -0.01 40 993.87 -23.72
05-Oct-73 28-Mar-75 -0.10 57 757.95 31.13
07-Apr-72 28-Sep-73 -0.17 64 959.47 -21.00
09-Oct-70 31-Mar-72 0.10 16 952.18 0.77
11-Apr-69 02-Oct-70 0.10 14 777.71 22.43
13-Oct-67 04-Apr-69 -0.19 66 927.65 -16.16
15-Apr-66 06-Oct-67 -0.08 51 922.31 0.58
16-Oct-64 08-Apr-66 -0.13 61 942.25 -2.12
19-Apr-63 09-Oct-64 0.23 5 874.19 7.79
20-Oct-61 12-Apr-63 0.00 39 710.48 23.04
22-Apr-60 13-Oct-61 0.16 9 703.96 0.93
24-Oct-58 15-Apr-60 -0.26 73 622.27 13.13
26-Apr-57 17-Oct-58 -0.26 74 542.09 14.79
28-Oct-55 19-Apr-57 -0.18 65 491.62 10.27
30-Apr-54 21-Oct-55 0.14 10 456.71 7.64
31-Oct-52 23-Apr-54 0.03 31 315.87 44.59
04-May-51 24-Oct-52 0.02 32 266.41 18.57
04-Nov-49 27-Apr-51 -0.06 46 261.02 2.06
07-May-48 28-Oct-49 0.03 30 191.26 36.47
08-Nov-46 30-Apr-48 -0.06 47 181.28 5.51
11-May-45 01-Nov-46 0.17 8 171.24 5.86
12-Nov-43 04-May-45 0.03 29 165.2 3.66
15-May-42 05-Nov-43 0.05 24 132.72 24.47
15-Nov-40 08-May-42 0.01 34 98.13 35.25
19-May-39 08-Nov-40 0.28 3 136.94 -28.34
19-Nov-37 12-May-39 0.11 13 130.64 4.82
22-May-36 12-Nov-37 0.04 27 126.9 2.95
23-Nov-34 15-May-36 0.11 12 149.43 -15.08
26-May-33 16-Nov-34 -0.16 62 100.04 49.37
20-Nov-31 19-May-33 -0.20 70 82.94 20.62
23-May-30 13-Nov-31 -0.10 56 103.03 -19.50
23-Nov-28 16-May-30 0.04 25 267.97 -61.55
27-May-27 16-Nov-28 -0.24 72 283.21 -5.38
27-Nov-25 20-May-27 -0.12 60 171.63 65.01
30-May-24 20-Nov-25 0.10 15 150.32 14.18
01-Dec-22 23-May-24 -0.04 43 90.24 66.58
03-Jun-21 24-Nov-22 0.28 2 93.81 -3.81
05-Dec-19 27-May-21 0.19 7 73.1 28.33
07-Jun-18 28-Nov-19 0.05 22 105.53 -30.73
08-Dec-16 31-May-18 0.12 11 78.85 33.84
11-Jun-15 01-Dec-16 -0.06 48 106.52 -25.98
01-Aug-13 04-Jun-15 0.23 4 68.92 54.56
02-Feb-12 25-Jul-13 -0.10 55 78.62 -12.34
05-Aug-10 26-Jan-12 0.08 19 80.84 -2.75
05-Feb-09 29-Jul-10 0.21 6 77.01 4.97
09-Aug-07 29-Jan-09 0.31 1 84.63 -9.00
09-Feb-06 02-Aug-07 -0.05 45 76.23 11.02
12-Aug-04 02-Feb-06 -0.20 71 99.87 -23.67
13-Feb-03 05-Aug-04 -0.19 67 53.08 88.15
16-Aug-01 06-Feb-03 0.01 36 66.98 -20.75
16-Feb-00 09-Aug-01 0.01 37 70.6 -5.13

points to note are

1) highest correlation value is o.31 ( highlighted in green ) with that of period starting from 9 Aug 1907 to 29th Jan 1909 , when DJIA fallen by 9% , over the next 18 months.

2) the correlation values with current 18 months period and to to that of DeMark Benzene-Eureka movement ( highlighted in red where DJIA crashed 60% over subsequent 18 months period ) is a mere 0.04.

3) re-read rule of thumb , written above pls ..

charts are from DeMark , Correlations are calculated on my excel sheets , wallet is yours !!! 

you might want to consider subscribing to our daily quant rants email  !!

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

have you bought the Anatomy of $SPY on First Trading Day of the Month  , written the co-founder of this site, on Amazon yet ?