Comments on: Stock Market History Of High Momentum Thrusts http://www.tradersnarrative.com/stock-market-history-of-high-momentum-thrusts-2815.html Freshly squeezed market commentary & analysis Sat, 20 Mar 2010 12:54:06 +0000 http://wordpress.org/?v=2.0.2 by: wayne http://www.tradersnarrative.com/stock-market-history-of-high-momentum-thrusts-2815.html#comment-53634 Wed, 12 Aug 2009 22:09:53 +0000 http://www.tradersnarrative.com/stock-market-history-of-high-momentum-thrusts-2815.html#comment-53634 Advance decline 2/1 calculations are on NYSE data which is what most analyst use for breadth and A/D analysis. The following % changes are on S&P data, because that is what I trade and I have closing day price data on. Many analyst do similar analysis on other indexes that are informative as well. For example you had many 2/1s on Nasdaq in the 90s that you didn't get on the NYSE. Some analyst with the research staff will actually go to the trouble of taking out the preferred stocks and such. I have the 10 day AD line on Jan 22, 1985 at 1.95 and on Jan 6 1992 at 1.97 It could be data entry or different data providers but I notice that my numbers are same as another report I have seen on the subject. There's nothing magic about 2/1, it just makes for easier story. The 1.95's are decent as well. Pick out whatever works for you. The 3 month forward performance was actually a 63 forward trading days performance and I should have labeled as such. Similarly the 6 month was 126 days and the forward 12 months was 252 days. Over the last 20 years, most calendar years have 250-253 trading days in them. Exception would be 2001 when we shut down for a week. Glad to see someone is following up Advance decline 2/1 calculations are on NYSE data which is what most analyst use for breadth and A/D analysis. The following % changes are on S&P data, because that is what I trade and I have closing day price data on. Many analyst do similar analysis on other indexes that are informative as well. For example you had many 2/1s on Nasdaq in the 90s that you didn’t get on the NYSE. Some analyst with the research staff will actually go to the trouble of taking out the preferred stocks and such.

I have the 10 day AD line on Jan 22, 1985 at 1.95 and on Jan 6 1992 at 1.97 It could be data entry or different data providers but I notice that my numbers are same as another report I have seen on the subject. There’s nothing magic about 2/1, it just makes for easier story. The 1.95’s are decent as well. Pick out whatever works for you.

The 3 month forward performance was actually a 63 forward trading days performance and I should have labeled as such. Similarly the 6 month was 126 days and the forward 12 months was 252 days. Over the last 20 years, most calendar years have 250-253 trading days in them. Exception would be 2001 when we shut down for a week.

Glad to see someone is following up

]]> by: mike http://www.tradersnarrative.com/stock-market-history-of-high-momentum-thrusts-2815.html#comment-53613 Wed, 12 Aug 2009 13:00:55 +0000 http://www.tradersnarrative.com/stock-market-history-of-high-momentum-thrusts-2815.html#comment-53613 Interesting. According to our data, Wayne missed a signal in 1985 (jan 22nd) that worked, and a signal in 1992 (jan 6) that did not. Furthermore, we cant figure out how he's computing the returns. It is not stated when the returns are on the SPX or NYSE composite. Let's assume the latter. The signal triggers at close of business on monday march 23. Assuming execution at the monday closing level on the morning of the 24th, and holding through june 23, the NYSE is up 12%. The only way to get 20% is to include Monday the 23 when the NYSE was up 7%, which assumes you exeute monday morning without knowing that the signal triggers at close of business on the same day. So its not clear how the numbers actually work. Interesting. According to our data, Wayne missed a signal in 1985 (jan 22nd) that worked, and a signal in 1992 (jan 6) that did not.

Furthermore, we cant figure out how he’s computing the returns. It is not stated when the returns are on the SPX or NYSE composite. Let’s assume the latter. The signal triggers at close of business on monday march 23. Assuming execution at the monday closing level on the morning of the 24th, and holding through june 23, the NYSE is up 12%. The only way to get 20% is to include Monday the 23 when the NYSE was up 7%, which assumes you exeute monday morning without knowing that the signal triggers at close of business on the same day. So its not clear how the numbers actually work.

]]> by: Babak http://www.tradersnarrative.com/stock-market-history-of-high-momentum-thrusts-2815.html#comment-52429 Tue, 04 Aug 2009 23:13:15 +0000 http://www.tradersnarrative.com/stock-market-history-of-high-momentum-thrusts-2815.html#comment-52429 Rob, no. The conclusion is that we are seeing a rare extremely powerful thrust which has historically presaged a prolonged uptrend. Rob, no. The conclusion is that we are seeing a rare extremely powerful thrust which has historically presaged a prolonged uptrend.

]]> by: Rob Weigand http://www.tradersnarrative.com/stock-market-history-of-high-momentum-thrusts-2815.html#comment-52425 Tue, 04 Aug 2009 22:45:02 +0000 http://www.tradersnarrative.com/stock-market-history-of-high-momentum-thrusts-2815.html#comment-52425 Just to clarify, is the conclusion of your analysis that stock prices will continue rising because they've been rising? Just to clarify, is the conclusion of your analysis that stock prices will continue rising because they’ve been rising?

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