May

2

Franz Marc's The BullFor the first time since October 2006 there were no declines of 1% or more in the month of March 2010. One hypothesizes that the number of such declines will increase from the three in April 2010. Indeed, one hypothesizes that a month with zero such declines like March 2010 is inordinately associated with the end of a bull market in Birinyian terms – assuming such exist.

Kim Zussman writes:

To clarify, these dates are for 21D periods which had one or more daily decline <-1% and were following a 21D period which had no declines <-1% (like March and April 2010). The first column after "Date" is count of declines <-1% in that period. Next col is that 21D period return. 3rd column is count of declines <-1% in the next 21D period, and the last column is the return for the next 21D period.

The last 4/5 mean returns for subsequent 21D periods have been negative:

Date    count -1%   21d ret  nxt 21-1% nxt21 ret
05/31/07        1        0.030     4       -0.018
01/30/07        1        0.001     1       -0.018
11/27/06        1       -0.005     0        0.032
04/28/06        1        0.006     4       -0.039
01/27/06        1        0.022     1       -0.002
10/26/05        3       -0.020     1        0.065
08/26/05        1       -0.031     0        0.009
11/26/04        1        0.051     1        0.026
07/29/04        2       -0.031     3        0.007
03/29/04        5       -0.020     3        0.000
01/28/04        1        0.030     0        0.015


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