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, attempts to exploit the market cycles are foiled by the deviation from strictly periodic behavior required by ordinary analysis. 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. The paradoxical condition of variable length periods forces the adoptation of some new forms of analysis. |
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Frequency from Monthly Comb Filter
Representative Cycle (Trading Sessions) = 30.00
Sawtooth = 50.68
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 16.74 | 30.00 | 27.00 | 11.43 % | | Low | 15.93 | 30.00 | 38.00 | 10.73 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Tuesday, August 31, 2010 | 42.27 | 43 | | Tuesday, August 10, 2010 | 46.02 | | | 37 | | | Wednesday, June 30, 2010 | 40.37 | 15 | | Thursday, June 17, 2010 | 42.30 | | | 41 | | | Wednesday, June 09, 2010 | 40.21 | 12 | | Tuesday, April 20, 2010 | 59.11 | | | 20 | | | Friday, May 21, 2010 | 40.12 | 68 | | Monday, March 22, 2010 | 58.86 | | | 45 |
Fourier Transform after Digital Filter M | Cycle Length | Fourier Amplitude | | 9 | 0.82 | | 14 | 0.53 | | 17 | 0.38 | | 20 | 0.32 | | 23 | 0.30 | | 33 | 0.26 | | 30 | 0.24 | | 25 | 0.22 | | 27 | 0.22 | | 39 | 0.17 | | 41 | 0.13 |
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Frequency Analysis based on Quarterly Comb
Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 82.00
Sawtooth = 42.13
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 49.25 | 88.00 | 42.00 | 17.80 % | | Low | 50.61 | 82.00 | 102.00 | 13.68 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Friday, May 21, 2010 | 40.12 | 68 | | Tuesday, April 20, 2010 | 59.11 | | | 65 | | | Friday, February 12, 2010 | 54.90 | 69 | | Thursday, January 14, 2010 | 60.58 | | | 82 | | | Tuesday, November 03, 2009 | 52.66 | 102 | | Thursday, September 17, 2009 | 57.16 | | | 157 | | | Wednesday, June 10, 2009 | 45.12 | 45 | | Tuesday, February 03, 2009 | 58.20 | | | 122 |
Fourier Transform after Digital Filter Q | Cycle Length | Fourier Amplitude | | 14 | 0.31 | | 20 | 0.19 | | 25 | 0.16 | | 84 | 0.16 | | 23 | 0.14 | | 28 | 0.13 | | 186 | 0.13 | | 59 | 0.13 | | 55 | 0.13 | | 146 | 0.13 | | 87 | 0.12 |
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Frequency Analysis based on Yearly Comb
Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 61.69
| 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 | | Thursday, January 14, 2010 | 60.58 | | | 361 | | | Wednesday, June 10, 2009 | 45.12 | 841 | | Friday, August 08, 2008 | 67.89 | | | 729 | | | Monday, February 06, 2006 | 32.71 | 718 | | Thursday, September 15, 2005 | 37.23 | | | 875 | | | Tuesday, April 01, 2003 | 16.24 | 351 | | Wednesday, March 27, 2002 | 51.19 | | | 762 | | | Tuesday, November 06, 2001 | 39.02 | 418 |
Fourier Transform on Raw Closing Prices | Cycle Length | Fourier Amplitude | | 683 | 4.16 | | 512 | 2.63 | | 410 | 2.63 | | 14 | 1.51 | | 585 | 1.46 | | 178 | 1.16 | | 16 | 1.13 | | 195 | 1.10 | | 455 | 1.07 | | 141 | 1.02 | | 20 | 1.01 |
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| BAX
Baxter International Inc.
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Average Sawtooth based on Monthly Combo
| BAX
Baxter International Inc.
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Average Sawtooth based on Bi-weekly Combo
A comparison of the average distance (in time) from each periodic high to to next periodic low, against the distance to the following high point, yields the Sawtooth Statistic. 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.
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