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, 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. In order to determine the actual frequences in a particular case, we must conduct an new form of analysis that is better suited to deal with the oxymoronic condition of variable length cycles. |
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Frequency from Monthly Comb Filter
Representative Cycle (Trading Sessions) = 33.00
Sawtooth = 49.27
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 16.88 | 30.00 | 18.00 | 12.14 % | | Low | 16.69 | 28.00 | 23.00 | 11.25 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Thursday, August 26, 2010 | 51.94 | 38 | | Thursday, August 05, 2010 | 57.18 | | | 33 | | | Friday, July 02, 2010 | 47.89 | 26 | | Friday, June 18, 2010 | 54.95 | | | 33 | | | Wednesday, May 26, 2010 | 48.63 | 42 | | Monday, May 03, 2010 | 57.97 | | | 32 | | | Friday, March 26, 2010 | 49.54 | 33 | | Wednesday, March 17, 2010 | 51.44 | | | 40 |
Fourier Transform after Digital Filter M | Cycle Length | Fourier Amplitude | | 10 | 0.67 | | 12 | 0.56 | | 14 | 0.49 | | 20 | 0.40 | | 18 | 0.38 | | 16 | 0.38 | | 25 | 0.34 | | 23 | 0.28 | | 29 | 0.23 | | 37 | 0.19 | | 39 | 0.19 |
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Frequency Analysis based on Quarterly Comb
Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 77.00
Sawtooth = 48.82
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 50.82 | 77.00 | 76.00 | 19.03 % | | Low | 46.75 | 83.00 | 74.00 | 16.12 % |
| Recent High | Price | Recent Low | Price | Cycle | | Thursday, August 05, 2010 | 57.18 | | | 66 | | | Friday, July 02, 2010 | 47.89 | 101 | | Monday, May 03, 2010 | 57.97 | | | 72 | | | Monday, February 08, 2010 | 45.53 | 148 | | Tuesday, January 19, 2010 | 51.62 | | | 42 | | | Wednesday, July 08, 2009 | 37.15 | 89 | | Monday, November 16, 2009 | 51.75 | | | 117 | | | Monday, March 02, 2009 | 32.75 | 67 |
Fourier Transform after Digital Filter Q | Cycle Length | Fourier Amplitude | | 8 | 0.50 | | 14 | 0.27 | | 16 | 0.23 | | 18 | 0.18 | | 20 | 0.18 | | 25 | 0.17 | | 73 | 0.16 | | 93 | 0.16 | | 102 | 0.15 | | 37 | 0.14 | | 146 | 0.14 |
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Frequency Analysis based on Yearly Comb
Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 49.38
| 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, March 02, 2009 | 32.75 | 279 | | Tuesday, June 17, 2008 | 86.97 | | | 234 | | | Tuesday, January 22, 2008 | 63.94 | 326 | | Friday, July 13, 2007 | 80.20 | | | 308 | | | Tuesday, October 03, 2006 | 48.96 | 1003 | | Friday, April 21, 2006 | 62.67 | | | 140 | | Thursday, September 29, 2005 | 60.62 | | | 883 | | | Wednesday, October 09, 2002 | 17.64 | 261 |
Fourier Transform on Raw Closing Prices | Cycle Length | Fourier Amplitude | | 585 | 4.84 | | 683 | 4.39 | | 512 | 3.71 | | 819 | 2.64 | | 256 | 2.12 | | 455 | 1.99 | | 273 | 1.86 | | 14 | 1.65 | | 410 | 1.65 | | 178 | 1.32 | | 20 | 1.29 |
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ConocoPhillips
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Average Sawtooth based on Monthly Combo
| COP
ConocoPhillips
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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. Bullish or bearish moods may be reflected in the steepness of the buying and selling slopes, particularly as they change through time. 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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