Periodic Frequencies for CSCO

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From the Update 11/11/2010: The strongest frequency, according to classical frequency analysis, is an oscillation with a length of 10 trading sessions.

Frequency Analysis based on Monthly Comb

CSCO:  Frequency Analysis based on Monthly Comb

Even a casual examination of historical price lines seems to reveal cycles or regular short term fluctuations that continue repeating. 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, a fact that has played havoc with most schemes to exploit the market 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.

The paradoxical condition of variable length periods forces the adoptation of some new forms of analysis.




General Market Conditions

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More than 70 Hi-Rez charts daily for Cisco Systems:

Frequency from Monthly Comb Filter
Representative Cycle (Trading Sessions) = 31.00
Sawtooth = 49.30
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High16.5530.0022.0018.72 %
Low16.3331.0018.0018.22 %
Recent HighPriceRecent LowPrice Cycle
Tuesday, August 31, 201019.9941
Monday, August 09, 201024.7717
Thursday, July 15, 201023.9256
Friday, July 02, 201021.1319
Monday, June 07, 201022.7645
Monday, April 26, 201027.5769
Thursday, April 01, 201025.8343
Thursday, January 14, 201024.9526


Fourier Transform after Digital Filter M

Cycle LengthFourier Amplitude
120.59
150.50
180.43
240.30
270.28
290.20
310.18
340.18
400.15
380.15
360.13



Frequency Analysis based on Quarterly Comb

Frequency Analysis based on Quarterly Comb of Cisco Systems

Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 73.00
Sawtooth = 46.92
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High47.5483.0051.0042.14 %
Low46.40104.0047.0026.42 %
Recent HighPriceRecent LowPrice Cycle
Tuesday, August 31, 201019.9941
Monday, August 09, 201024.7773
Friday, July 02, 201021.13107
Monday, April 26, 201027.5769
Friday, January 29, 201022.47226
Thursday, January 14, 201024.9563
Wednesday, October 14, 200924.38195
Monday, March 09, 200913.6272


Fourier Transform after Digital Filter Q

Cycle LengthFourier Amplitude
100.37
120.32
140.29
180.20
220.19
2160.18
1780.18
260.15
240.15
3720.13
530.12



Frequency Analysis based on Yearly Comb

CSCO:  Frequency Analysis based on Yearly Comb

Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 54.61
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High0.000.000.000.00 %
Low0.000.000.000.00 %
Recent HighPriceRecent LowPrice Cycle
Monday, April 26, 201027.57620
Monday, March 09, 200913.62651
Tuesday, November 06, 200734.08580
Friday, August 04, 200617.24198
Thursday, October 20, 200516.93130
Tuesday, July 19, 200520.17378
Monday, April 18, 200517.02635
Friday, January 16, 200429.13956


Fourier Transform on Raw Closing Prices

Cycle LengthFourier Amplitude
8196.80
5123.34
5853.20
4102.68
4551.87
6831.84
91.82
121.67
141.23
3151.22
3721.15




Breaking News:

Monday, November 15, 2010: We have news on PG&E Corporation, ticker symbol PCG. A significant moving average event has happened. Also, there are breaking events concerning Cree, Inc. and Abbott Laboratories.

From the News Archive: (11/12/2010 ) A favorable event happened at PetSmart, Inc. Meanwhile, bad news came from Intel, Chesapeake Energy Corporation, and JP Morgan Chase.



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CSCO




Cisco Systems












Average Sawtooth based on Monthly Combo

Average Sawtooth based on Monthly Combo of Cisco Systems

CSCO




Cisco Systems









Average Sawtooth based on Bi-weekly Combo

Average Sawtooth based on Bi-weeklyly Combo of Cisco Systems



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.

.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 0 instances
Sell Signals - 0 instances
.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle CrossingSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 25 instances
Future30SesAvgClose 0.44 % minus 3.03 % = -2.60 %-21.99 %
Future5SesAvgClose 0.74 % minus 0.59 % = 0.14 %7.27 %
Future2SesAvgClose 0.07 % minus 0.30 % = -0.24 %-29.95 %
Sell Signals - 23 instances
Future30SesAvgClose 1.40 % minus 3.03 % = -1.63 %-13.84 %
Future5SesAvgClose -0.26 % minus 0.59 % = -0.86 %-43.64 %
Future2SesAvgClose -0.59 % minus 0.30 % = -0.89 %-112.98 %
.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 3 instances
Future30SesAvgClose 4.64 % minus 3.03 % = 1.61 %13.61 %
Future5SesAvgClose -0.28 % minus 0.59 % = -0.87 %-44.20 %
Future2SesAvgClose 0.13 % minus 0.30 % = -0.18 %-22.47 %
Sell Signals - 5 instances
Future30SesAvgClose 1.00 % minus 3.03 % = -2.03 %-17.23 %
Future5SesAvgClose -2.56 % minus 0.59 % = -3.16 %-160.39 %
Future2SesAvgClose -2.16 % minus 0.30 % = -2.46 %-312.69 %
.
Projection of Representative Monthly CycleSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 100 instances
Future30SesAvgClose 1.83 % minus 3.03 % = -1.20 %-10.18 %
Future5SesAvgClose -0.19 % minus 0.59 % = -0.78 %-39.86 %
Future2SesAvgClose -0.51 % minus 0.30 % = -0.82 %-103.79 %
Sell Signals - 94 instances
Future30SesAvgClose 2.34 % minus 3.03 % = -0.69 %-5.87 %
Future5SesAvgClose 0.33 % minus 0.59 % = -0.26 %-13.26 %
Future2SesAvgClose 0.12 % minus 0.30 % = -0.18 %-22.72 %
.
Projection of BiWeekly Modal CyclesSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 204 instances
Future30SesAvgClose 3.25 % minus 3.03 % = 0.21 %1.82 %
Future5SesAvgClose 0.74 % minus 0.59 % = 0.15 %7.57 %
Future2SesAvgClose 0.40 % minus 0.30 % = 0.10 %12.53 %
Sell Signals - 216 instances
Future30SesAvgClose 1.95 % minus 3.03 % = -1.08 %-9.15 %
Future5SesAvgClose -0.03 % minus 0.59 % = -0.63 %-31.93 %
Future2SesAvgClose -0.26 % minus 0.30 % = -0.56 %-71.07 %
.
The best buy signal for 30 future sessions was 1.61 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30,and the best sell signal for was -3.03 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25.
For 5 future sessions the best buy signal was 0.15 % from the Projection of BiWeekly Modal Cycles,and the best sell signal was -3.16 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30.
The best buy signal for 2 future sessions was 0.10 % from the Projection of BiWeekly Modal Cycles,and the best sell signal was -2.46 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30.



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