Anatomy of Russell 2000 Index Bear Markets

Anatomy of Russell 2000 Index Bear Markets

ps: if some one can educate me the difference between the Russell 2000 data from finance.yahoo.com and to that of  Russell 2000® Price Index (RU2000PR) from Fred , would be grateful

As FRED Russell data provides a a bit longer term dating back to 1978 , while yahoo data only goes back to 1987, this $STUDY is done on RU2000PR data from FRED

above table for your editing purposes

 

Bull Start RU2000 Bull End RU2000 Gains % Bear End RU2000 % Bull End % Bull Start 1st All Time High RU2000 Gains %
14-Nov-16 3227.34 31-Aug-18 4326.21 34.05 17-Dec-18 3425.03 -20.83 ongoing
02-Jan-13 2170.66 23-Jun-15 3220.39 48.36 11-Feb-16 2370.22 -26.40 9.19 14-Nov-16 3227.34 36.16
27-Apr-11 2133.11 29-Apr-11 2150.47 0.81 03-Oct-11 1514.74 -29.56 -28.99 02-Jan-13 2170.66 43.30
10-Nov-04 1515.07 13-Jul-07 2126.86 40.38 09-Mar-09 853.09 -59.89 -43.69 27-Apr-11 2133.11 150.05
29-Dec-99 1237.32 09-Mar-00 1508.16 21.89 09-Oct-02 812.90 -46.10 -34.30 10-Nov-04 1515.07 86.38
30-Sep-91 448.16 21-Apr-98 1224.96 173.33 08-Oct-98 773.32 -36.87 72.55 29-Dec-99 1237.32 60.00
03-Aug-89 433.70 09-Oct-89 448.07 3.31 31-Oct-90 295.86 -33.97 -31.78 30-Sep-91 448.16 51.48
12-Dec-85 314.47 21-Aug-87 432.14 37.42 28-Oct-87 263.28 -39.08 -16.28 03-Aug-89 433.70 64.73
04-Nov-82 210.55 24-Jun-83 313.38 48.84 25-Jul-84 231.85 -26.02 10.12 12-Dec-85 314.47 35.64
17-Jul-80 153.46 15-Jun-81 210.17 36.95 12-Aug-82 148.89 -29.16 -2.98 04-Nov-82 210.55 41.41
29-Dec-78 100.00 08-Feb-80 152.81 52.81 27-Mar-80 111.94 -26.75 11.94 17-Jul-80 153.46 37.09
avg 605 45.29 343 -34.06 -5.42 440 60.62
med 406 37.42 310 -29.56 -9.63 452 47.39
min 2 0.81 944 -59.89 -43.69 779 35.64
max 2395 173.33 48 -26.02 72.55 84 150.05

Definitions:

Bull Start -> this is the first all time high closing of index , after going through the bear market

Bull End -> this is the final all time high closing of index

Bear End -> this is the lowest closing value of index , from the all time high closing value , that is at-least 20% lesser value

1st All Time High ->  Bull Start

% Bull End -> this is the percentage loss , from the final all time high to lowest bear market close

% Bull Start -> this is the percentage loss , from the 1st all time high ( i’e from the break out point ) to lowest bear market close , some times this can be positive value , like during the last bear market in Jun 2015 to Feb 2016

Gains % -> percentage gains from the lowest close during the bear market to the next , 1st all time high close

note that all the analysis is done on close values and not on intra-day high or intra-day low values

Average loss & Duration in days during bear market

Bull End RU2000 Bear End RU2000 % Loss Duration Corresponding Values
31-Aug-18 4326.21 17-Dec-18 3425.03 -20.83 108++
23-Jun-15 3220.39 11-Feb-16 2370.22 -26.4 233
29-Apr-11 2150.47 03-Oct-11 1514.74 -29.56 157
13-Jul-07 2126.86 09-Mar-09 853.09 -59.89 605
09-Mar-00 1508.16 09-Oct-02 812.9 -46.1 944
21-Apr-98 1224.96 08-Oct-98 773.32 -36.87 170
09-Oct-89 448.07 31-Oct-90 295.86 -33.97 387
21-Aug-87 432.14 28-Oct-87 263.28 -39.08 68
24-Jun-83 313.38 25-Jul-84 231.85 -26.02 397
15-Jun-81 210.17 12-Aug-82 148.89 -29.16 423
08-Feb-80 152.81 27-Mar-80 111.94 -26.75 48
avg -35.4 343 2795.6 09-Aug-19
med -31.8 310 2952.0 07-Jul-19
min -26.0 48 3200.5 18-Oct-18
max -59.9 944 1735.2 01-Apr-21

 

the average and or median values are just an indication , and to gauge how far the current bear market can do based on previous 10 bear markets since 1980 till date , and not a PREDICTION.

if the median value is used as an approximation , we are looking at RUT price to go down to 2950 ( or the RUT value from yahoo finance to about 1180 , from the current levels of 1380) and the bear market to last till Jul 2019 or there about’s

 

Average Recovery in days from bear market

 

Bull End RU2000 Bull Start RU2000 Duration Corresponding Value
31-Aug-18 4326.21
23-Jun-15 3220.39 14-Nov-16 3227.34 510
29-Apr-11 2150.47 02-Jan-13 2170.66 614
13-Jul-07 2126.86 27-Apr-11 2133.11 1384
09-Mar-00 1508.16 10-Nov-04 1515.07 1707
21-Apr-98 1224.96 29-Dec-99 1237.32 617
09-Oct-89 448.07 30-Sep-91 448.16 721
21-Aug-87 432.14 03-Aug-89 433.7 713
24-Jun-83 313.38 12-Dec-85 314.47 902
15-Jun-81 210.17 04-Nov-82 210.55 507
08-Feb-80 152.81 17-Jul-80 153.46 160
avg 784 22-Oct-20
med 665 26-Jun-20
min 160 07-Feb-19
max 1707 04-May-23

this is just again an indication based on the past bear markets , guessing when the next all time high value will be recaptured , based on the worst bear market , it can take till May- 2023 ( roughly 4 years and 5 months from now on ), and optimistically if we use a median value , we are looking at Jun-2020

finally as  John Bogle says “Stay The Course” , and don’t do silly things of timing the markets , like getting out now, and thinking will reenter at a lower value than the current RUT close , as no one except liars know when and where the exact bear market bottom is , remember the quote by Bernard Baruch

Don’t try to buy at the bottom and sell at the top. It can’t be done except by liars. 

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economics of publishing of a quant trading book

economics of publishing of a quant trading book

Anatomy of $SPY on First Trading Day of the Month

just to help out the quant trading book authors out there ( as many author’s don’t reveal the actual numbers , I’ve asked many , all that I get a response is not bad/ohk/sales are picking up/down etc. ) , here are the numbers behind self publishing of a quant trading related book.

firstly , the book  Anatomy of $SPY on First Trading Day of the Month might be very specialized , as it is useful ( I think , am not sure about the readers , they may think it is useless for the entire decade too !) for only , one trading day in a month and that too for the traders trading $SPY , so a wannabe author might want to interpret and extrapolate the numbers presented below , in his/her stride …

  • Published date : 4 Nov 2013
  • Book Size : ~75 pages
  • Effort taken for the concept and writing and editing : roughly 25 working days say 200 hours
  • List Price : $ 24.99
  • Royalty received for the first month :  $234.38 (woo hoo !! )

ps: there is 100 USD /100 GBP/ 100 Euro threshold for the authors from India , hence the numbers from UK / Europe and Alaska 🙂 are not included .

Anatomy of $SPY on First Trading Day of the Month RoyaltyI’ll update after a quarter again , if that helps the would be quant trading authors to decide about the economics in writing a book , feel free to write to me by commenting here , if you have any further questions … ( but sorry I can’t help you , if you are looking to write How to date Avatar-2 etc ..)

{Re-Post } Anatomy of $SPX 5-Day losing streaks : e-book

Anatomy of $SPX 5-Day losing streaks : e-book

Anatomy of S&P 500 Index 5- Day losing streaks

 hopefully the $SPX dip buyers will RT the blog post to crash the servers , lets see !!!

Anatomy of $SPX 5-Day losing streaks : e-book Table of Contents

  1. Disclaimer……6
  2. Feedback……6
  3. Introduction……9
  4. 5 Day Losing Streaks……10
  5. Moving Averages……12
  6. Current Day’s Loss %……15
  7. Magnitude Of Current Day’s Loss……18
  8. Magnitude Of Loss % Over Last 5 Trading Days……20
  9. Month Low And Year Low……23
  10. Month High And Year High……25
  11. Volume……26
  12. Narrow Range And Wide Range……28
  13. ROC……31
  14. Bollinger Bands……34
  15. Lower Highs And Lower Lows……37
  16. After Not Having Done So……39
  17. For The First Time In The Year……41
  18. Seasonality – Day Of The Week……44
  19. Seasonality – Month……46
  20. Seasonality – By # Trading Week/Day……49
  21. Seasonality – By Quarter / Half……52
  22. 20 Trading Strategies Collection with 75% Win Rate ……54
  23. Self – Promo’s/ Coupon Codes……55
  24. Sayonara……58
ps: we would publish the results of our Pay What You Want experiment , after 1000 downloads ,  please make it happen , by being social , the share buttons are right below !! 
pps: your e-mail will be shared with NSA only upon request 🙂 and will not be used for purposes other than sending an alert , when this e-book is updated or a similar e-book of any kind is published #HTH

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Customer Reviews on Anatomy of $SPY on First Trading Day of the Month

Customer Reviews on Anatomy of $SPY on First Trading Day of the Month

Anatomy of $SPY on First Trading Day of the Month

{self promo} but feels good to receive the following customer reviews on “Anatomy of $SPY on First Trading Day of the Month”

& a big thanQ 2

1) @SJosephBurns of http://newtraderu.com

2) @bucksbbq ( John Buckley) & finally 

3) @ukarlewitz of http://fat-pitch.blogspot.com

do check out the reviews @ Customer Reviews : Anatomy of $SPY on First Trading Day of the Month: various quantified trading strategies around first trading day of the month

Anatomy of $SPY 5 day gaining streaks : e-book

Anatomy of $SPY 5 day gaining streaks : e-book

Anatomy of $SPY 5-Day Gaining  Streaks : e-book

 

Anatomy of  $SPY 5 day gaining streaks : e-book : e-book Table of Contents

Feedback………………………………….5
Data Sources………………………………….6
Introduction………………………………….9
5 Day Gaining Streaks………………………………….10
Moving Averages………………………………….12
Current Day’s Gain %………………………………….15
Magnitude Of Current Day’s Gain………………………………….19
Magnitude Of Gain % Over Last 5 Trading Days………………………………….21
Month High And Year High………………………………….24
Month High And Year High………………………………….26
Volume………………………………….28
Narrow Range And Wide Range………………………………….31
ROC………………………………….33
Bollinger Bands………………………………….37
Higher Highs And Higher Lows………………………………….38
After Not Having Done So………………………………….41
Seasonality – Day Of The Week………………………………….43
Seasonality – Month………………………………….46
Seasonality – By # Trading Week/Day………………………………….50
Other Products ………………………………….52
Sayonara………………………………….56

ps: we would publish the results of our Pay What You Want experiment , after 1000 downloads ,  please make it happen , by being social , the share buttons are right below !! 
pps: your e-mail will be shared with NSA only upon request 🙂 and will not be used for purposes other than sending an alert , when this e-book is updated or a similar e-book of any kind is published #HTH

Anatomy of $SPY on First Trading Day of the Month : e-book

Anatomy of $SPY on First Trading Day of the Month : e-book

Anatomy of $SPY on First Trading Day of the Month

 

Anatomy of $SPY on First Trading Day of the Month : e-book Table of Contents

  • Disclaimer…………….4
  • Feedback…………….4
  • Data Sources And Data Normalization…………….5
  • Introduction To Backtesting Metrics Used In This Book…………….6
  • Introduction…………….11
  • First Trading Day Of The Month…………….12
  • Previous Trading Day – Down Vs. Up…………….13
  • Previous Trading Day – Gain Vs. Loss (%)…………….15
  • Moving Averages…………….19
  • N Day High / Low…………….27
  • Volume…………….31
  • Narrow Range And Wide Range…………….35
  • Previous Month Returns…………….39
  • Seasonality – Day Of The Week…………….41
  • Seasonality – Month…………….46
  • Seasonality – By Quarter…………….47
  • Start Of The Quarter…………….51
  • 67% Win Rate Collection…………….54
  • Self – Promo’S/ Coupon Codes…………….55
  • Sayonara…………….59
ps: we would publish the results of our Pay What You Want experiment , after 1000 downloads ,  please make it happen , by being social , the share buttons are right below !! 
pps: your e-mail will be shared with NSA only upon request 🙂 and will not be used for purposes other than sending an alert , when this e-book is updated or a similar e-book of any kind is published #HTH

Anatomy of S&P 500 Index 5-Day losing streaks : e-book

Anatomy of S&P 500 Index 5-Day losing streaks : e-book

Anatomy of S&P 500 Index 5- Day losing streaks

 

Anatomy of S&P 500 Index 5-Day losing streaks : e-book Table of Contents

  1. Disclaimer……6
  2. Feedback……6
  3. Introduction……9
  4. 5 Day Losing Streaks……10
  5. Moving Averages……12
  6. Current Day’s Loss %……15
  7. Magnitude Of Current Day’s Loss……18
  8. Magnitude Of Loss % Over Last 5 Trading Days……20
  9. Month Low And Year Low……23
  10. Month High And Year High……25
  11. Volume……26
  12. Narrow Range And Wide Range……28
  13. ROC……31
  14. Bollinger Bands……34
  15. Lower Highs And Lower Lows……37
  16. After Not Having Done So……39
  17. For The First Time In The Year……41
  18. Seasonality – Day Of The Week……44
  19. Seasonality – Month……46
  20. Seasonality – By # Trading Week/Day……49
  21. Seasonality – By Quarter / Half……52
  22. 20 Trading Strategies Collection with 75% Win Rate ……54
  23. Self – Promo’s/ Coupon Codes……55
  24. Sayonara……58
ps: we would publish the results of our Pay What You Want experiment , after 1000 downloads ,  please make it happen , by being social , the share buttons are right below !! 
pps: your e-mail will be shared with NSA only upon request 🙂 and will not be used for purposes other than sending an alert , when this e-book is updated or a similar e-book of any kind is published #HTH
ppps: in case you are confused about what to pay , feel free to download it from Scribd Store