Frequency Analysis based on Monthly Comb
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It is obvious from inspection of price lines, that many seem to contain cycles that may persist in repeating for a long time. Through the years, technicians have expended much effort to measure and exploit these cycles. It would appear simple enough to do a frequency analysis on the time series. But the cycles or periods that seem so easy to see in the price data, have proven to be surprisingly difficult to measure by classical methods. The classical methods apply to stationary cycles of exactly regular period. We can easily remove the trends from historical price data to make the series stationary. However, the fluctuations seen in financial data are almost never exactly periodic, complicating most attempts to take advantage of these cycles. One factor in the behaviour of market fluctuations is "Anticipation". When speculators detect a cycle in prices, they will buy earlier before the peak, and sell earlier before the dip. This phenomena causes an increase in frequency, and eventually a breakup of the established cycle. Traditional frequency analysis methods such as the Fourier Transform, break down badly attempting to deal with these irregularities. Wilder estimated that there was an important period of about 28 trading sessions. The half cycle of this period (14 sessions) is a default factor in many of the technical indicators. We have found this to be a reasonable figure, even in today's markets, but there is significant variation between issues. Some companies just seem to have faster or slower cycles for one reason or another, and the indicators may be more accurate when fitted to the situation. New methods had to be invented to deal with the seeming mathematical absurdity in the notion of non-periodic cycles. |
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Frequency from Monthly Comb Filter Representative Cycle (Trading Sessions) = 21.00 Sawtooth = 51.54
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 17.26 | 30.00 | 19.00 | 13.29 % | | Low | 17.26 | 31.00 | 24.00 | 13.55 % |
| Recent High | Price | Recent Low | Price | Cycle | | Tuesday, February 16, 2010 | 13.74 | | | 24 | | | Friday, January 29, 2010 | 12.70 | 41 | | Monday, January 11, 2010 | 17.41 | | | 36 | | | Monday, November 30, 2009 | 12.49 | 22 | | Tuesday, November 17, 2009 | 13.73 | | | 23 | | | Wednesday, October 28, 2009 | 11.88 | 18 | | Thursday, October 15, 2009 | 14.29 | | | 21 | | | Friday, October 02, 2009 | 12.76 | 21 |
Fourier Transform after Digital Filter M | Cycle Length | Fourier Amplitude | | 13 | 0.52 | | 18 | 0.41 | | 20 | 0.37 | | 25 | 0.33 | | 27 | 0.29 | | 29 | 0.28 | | 23 | 0.27 | | 34 | 0.22 | | 31 | 0.20 | | 37 | 0.17 | | 59 | 0.15 |
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Frequency Analysis based on Quarterly Comb
Frequency from Quarterly Comb Filter Representative Cycle (Trading Sessions) = 67.00 Sawtooth = 52.66
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 49.05 | 92.00 | 36.00 | 18.57 % | | Low | 51.83 | 89.00 | 67.00 | 21.00 % |
| Recent High | Price | Recent Low | Price | Cycle | | Monday, January 11, 2010 | 17.41 | | | 80 | | | Wednesday, October 28, 2009 | 11.88 | 164 | | Wednesday, September 16, 2009 | 14.40 | | | 67 | | | Friday, March 06, 2009 | 5.17 | 71 | | Thursday, June 11, 2009 | 12.14 | | | 108 | | | Thursday, November 20, 2008 | 6.64 | 155 | | Tuesday, January 06, 2009 | 11.75 | | | 160 | | | Monday, April 14, 2008 | 32.11 | 59 |
Fourier Transform after Digital Filter Q | Cycle Length | Fourier Amplitude | | 9 | 0.45 | | 13 | 0.30 | | 17 | 0.23 | | 20 | 0.19 | | 27 | 0.17 | | 93 | 0.16 | | 95 | 0.15 | | 59 | 0.14 | | 171 | 0.13 | | 47 | 0.12 | | 79 | 0.12 |
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Frequency Analysis based on Yearly Comb
Representative Cycle (Trading Sessions) = 0.00 Sawtooth = 41.61
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 0.00 | 0.00 | 0.00 | 0.00 % | | Low | 0.00 | 0.00 | 0.00 | 0.00 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Friday, March 06, 2009 | 5.17 | 285 | | Monday, May 19, 2008 | 42.40 | | | 214 | | | Thursday, January 17, 2008 | 27.10 | 317 | | Friday, July 13, 2007 | 44.18 | | | 296 | | | Thursday, October 12, 2006 | 24.40 | 251 | | Tuesday, May 09, 2006 | 33.39 | | | 364 | | | Thursday, October 13, 2005 | 20.26 | 356 | | Friday, November 26, 2004 | 30.66 | | | 230 |
Fourier Transform on Raw Closing Prices | Cycle Length | Fourier Amplitude | | 512 | 2.77 | | 819 | 2.52 | | 683 | 2.13 | | 315 | 1.39 | | 293 | 1.20 | | 372 | 1.01 | | 256 | 0.95 | | 11 | 0.90 | | 410 | 0.89 | | 273 | 0.82 | | 13 | 0.79 |
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| Breaking News: Friday, March 19, 2010: We have news on AT and T, ticker symbol T. A significant moving average event has happened.
Also, there are breaking events concerning L-3 Communications Holdings, Inc. and Electronic Data Systems.
From the News Archive: (3/18/2010 ) Bad news came from Mylan Inc., TECO Energy, Inc., MicroSoft, and Goldman Sachs Group, Inc..
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Average Sawtooth based on Monthly Combo
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Average Sawtooth based on Bi-weekly Combo
The Sawtooth statistic measures the time from each periodic high to the next periodic low, in comparison to the time from that low to the next high point . The mid-point, corresponding to a perfect sine wave, is 50 percent. Values less than this indicate the sell slope is steeper than the buy slope, while values over 50 percent show the opposite. The Sawtooth Statistic gives a clue to the general mood of the markets, functioning as a sort of sentiment indicator. The chart represents the sawtooth percentage of (approximately) monthly cycles over the past year, and of the (approximately) bi-weekly cycles, averaged over the past six months.
| . | | | Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25 | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 7 instances | | | | Future30SesAvgClose | 1.83 % minus 1.90 % = -0.08 % | -0.64 % | | Future5SesAvgClose | -1.07 % minus 0.39 % = -1.46 % | -74.35 % | | Future2SesAvgClose | -0.73 % minus 0.20 % = -0.94 % | -119.23 % | | Sell Signals - 4 instances | | Future30SesAvgClose | -4.82 % minus 1.90 % = -6.73 % | -56.98 % | | Future5SesAvgClose | -3.94 % minus 0.39 % = -4.33 % | -219.93 % | | Future2SesAvgClose | 0.30 % minus 0.20 % = 0.10 % | 12.46 % | | . | | | Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle Crossing | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 54 instances | | | | Future30SesAvgClose | 0.83 % minus 1.90 % = -1.08 % | -9.10 % | | Future5SesAvgClose | -0.32 % minus 0.39 % = -0.71 % | -36.06 % | | Future2SesAvgClose | -0.25 % minus 0.20 % = -0.45 % | -57.25 % | | Sell Signals - 50 instances | | Future30SesAvgClose | 2.55 % minus 1.90 % = 0.65 % | 5.46 % | | Future5SesAvgClose | 0.41 % minus 0.39 % = 0.02 % | 1.12 % | | Future2SesAvgClose | 0.03 % minus 0.20 % = -0.18 % | -22.39 % | | . | | | Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30 | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 18 instances | | | | Future30SesAvgClose | -0.47 % minus 1.90 % = -2.37 % | -20.08 % | | Future5SesAvgClose | -0.02 % minus 0.39 % = -0.41 % | -20.88 % | | Future2SesAvgClose | -0.24 % minus 0.20 % = -0.45 % | -57.01 % | | Sell Signals - 10 instances | | Future30SesAvgClose | -0.29 % minus 1.90 % = -2.20 % | -18.62 % | | Future5SesAvgClose | -0.49 % minus 0.39 % = -0.88 % | -44.83 % | | Future2SesAvgClose | 0.45 % minus 0.20 % = 0.25 % | 31.37 % | | . | | | Projection of Representative Monthly Cycle | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 220 instances | | | | Future30SesAvgClose | 1.80 % minus 1.90 % = -0.10 % | -0.88 % | | Future5SesAvgClose | 0.46 % minus 0.39 % = 0.07 % | 3.65 % | | Future2SesAvgClose | 0.27 % minus 0.20 % = 0.07 % | 8.60 % | | Sell Signals - 238 instances | | Future30SesAvgClose | 1.52 % minus 1.90 % = -0.38 % | -3.24 % | | Future5SesAvgClose | 0.12 % minus 0.39 % = -0.27 % | -13.83 % | | Future2SesAvgClose | 0.17 % minus 0.20 % = -0.03 % | -4.38 % | | . | | | Projection of BiWeekly Modal Cycles | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 460 instances | | | | Future30SesAvgClose | 1.44 % minus 1.90 % = -0.46 % | -3.90 % | | Future5SesAvgClose | 0.21 % minus 0.39 % = -0.18 % | -9.33 % | | Future2SesAvgClose | 0.09 % minus 0.20 % = -0.11 % | -13.95 % | | Sell Signals - 444 instances | | Future30SesAvgClose | 1.06 % minus 1.90 % = -0.85 % | -7.16 % | | Future5SesAvgClose | 0.13 % minus 0.39 % = -0.26 % | -13.40 % | | Future2SesAvgClose | -0.07 % minus 0.20 % = -0.27 % | -34.90 % | | . | | | | |
| The best buy signal for 30 future sessions was -0.08 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25,and the best sell signal for was -6.73 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25. | | For 5 future sessions the best buy signal was 0.07 % from the Projection of Representative Monthly Cycle,and the best sell signal was -4.33 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25. | | The best buy signal for 2 future sessions was 0.07 % from the Projection of Representative Monthly Cycle,and the best sell signal was -0.27 % from the Projection of BiWeekly Modal Cycles. |
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