Frequency Analysis based on Monthly Comb
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Short term fluctuations that seem to repeat with a regular frequency are often (even generally) seen in stock price charts. 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) = 33.00
Sawtooth = 49.43
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 17.15 | 31.00 | 23.00 | 11.77 % | | Low | 17.45 | 33.00 | 20.00 | 8.40 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Thursday, September 30, 2010 | 58.85 | 24 | | Monday, August 02, 2010 | 58.86 | | | 29 | | | Thursday, August 26, 2010 | 55.40 | 38 | | Monday, June 21, 2010 | 55.47 | | | 40 | | | Friday, July 02, 2010 | 51.70 | 26 | | Friday, April 23, 2010 | 55.16 | | | 34 | | | Wednesday, May 26, 2010 | 48.06 | 43 | | Friday, March 05, 2010 | 54.69 | | | 42 |
Fourier Transform after Digital Filter M | Cycle Length | Fourier Amplitude | | 10 | 0.62 | | 13 | 0.52 | | 20 | 0.41 | | 18 | 0.37 | | 16 | 0.36 | | 24 | 0.33 | | 27 | 0.32 | | 22 | 0.29 | | 29 | 0.23 | | 34 | 0.23 | | 37 | 0.20 |
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Frequency Analysis based on Quarterly Comb
Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 77.00
Sawtooth = 49.16
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 50.29 | 87.00 | 74.00 | 19.40 % | | Low | 48.14 | 83.00 | 53.00 | 19.22 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Wednesday, May 26, 2010 | 48.06 | 77 | | Friday, April 23, 2010 | 55.16 | | | 34 | | Friday, March 05, 2010 | 54.69 | | | 97 | | | Thursday, February 04, 2010 | 49.70 | 67 | | | Wednesday, October 28, 2009 | 48.06 | 126 | | Wednesday, October 14, 2009 | 51.86 | | | 135 | | | Thursday, April 30, 2009 | 37.26 | 37 | | Thursday, April 02, 2009 | 43.77 | | | 62 |
Fourier Transform after Digital Filter Q | Cycle Length | Fourier Amplitude | | 10 | 0.34 | | 20 | 0.22 | | 18 | 0.21 | | 93 | 0.21 | | 22 | 0.18 | | 24 | 0.16 | | 59 | 0.15 | | 178 | 0.15 | | 27 | 0.14 | | 34 | 0.14 | | 205 | 0.12 |
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Frequency Analysis based on Yearly Comb
Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 50.89
| 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 | | | Monday, October 27, 2008 | 27.63 | 191 | | Thursday, May 15, 2008 | 54.63 | | | 151 | | | Friday, January 25, 2008 | 40.57 | 408 | | Tuesday, October 09, 2007 | 54.31 | | | 392 | | | Monday, June 12, 2006 | 33.45 | 237 | | Monday, March 20, 2006 | 43.05 | | | 261 | | | Friday, July 01, 2005 | 33.92 | 496 | | Monday, March 07, 2005 | 43.64 | | | 485 |
Fourier Transform on Raw Closing Prices | Cycle Length | Fourier Amplitude | | 683 | 4.95 | | 585 | 3.04 | | 819 | 2.63 | | 273 | 2.15 | | 512 | 2.01 | | 455 | 1.96 | | 293 | 1.57 | | 410 | 1.39 | | 16 | 1.38 | | 195 | 1.37 | | 372 | 1.28 |
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| Breaking News: In the news, Monday, November 15, 2010: A favorable condition has developed with Sprint Nextel Corporation, ticker symbol S. Also, there are breaking events concerning Abbott Laboratories (ABT) and Cree, Inc. (CREE)
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Ball Corporation
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Average Sawtooth based on Monthly Combo
| BLL
Ball Corporation
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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. This is supposed to indicate the degree of fear or greed. 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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