Frequency Analysis based on Monthly Comb
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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. 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) = 29.00 Sawtooth = 50.13
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 16.41 | 29.00 | 22.00 | 12.93 % | | Low | 17.69 | 31.00 | 21.00 | 14.49 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Monday, September 20, 2010 | 17.63 | 27 | | Tuesday, July 27, 2010 | 16.30 | | | 71 | | | Wednesday, August 11, 2010 | 14.77 | 26 | | Thursday, April 15, 2010 | 20.38 | | | 17 | | | Tuesday, July 06, 2010 | 14.01 | 66 | | Monday, March 22, 2010 | 20.15 | | | 41 | | | Wednesday, March 31, 2010 | 18.97 | 38 | | Thursday, January 21, 2010 | 17.04 | | | 20 |
Fourier Transform after Digital Filter M | Cycle Length | Fourier Amplitude | | 12 | 0.57 | | 17 | 0.49 | | 20 | 0.45 | | 24 | 0.29 | | 27 | 0.25 | | 31 | 0.23 | | 34 | 0.19 | | 49 | 0.17 | | 59 | 0.15 | | 45 | 0.15 | | 47 | 0.14 |
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Frequency Analysis based on Quarterly Comb
Frequency from Quarterly Comb Filter Representative Cycle (Trading Sessions) = 52.00 Sawtooth = 50.53
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 44.09 | 81.00 | 53.00 | 25.71 % | | Low | 50.80 | 91.00 | 52.00 | 25.05 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Tuesday, July 06, 2010 | 14.01 | 168 | | Thursday, April 15, 2010 | 20.38 | | | 174 | | | Monday, November 02, 2009 | 12.23 | 52 | | Wednesday, August 05, 2009 | 17.66 | | | 76 | | | Wednesday, August 19, 2009 | 13.29 | 185 | | Friday, April 17, 2009 | 18.51 | | | 144 | | | Friday, November 21, 2008 | 3.71 | 92 | | Friday, September 19, 2008 | 19.37 | | | 88 |
Fourier Transform after Digital Filter Q | Cycle Length | Fourier Amplitude | | 12 | 0.35 | | 17 | 0.26 | | 20 | 0.22 | | 15 | 0.22 | | 25 | 0.17 | | 27 | 0.15 | | 80 | 0.15 | | 59 | 0.14 | | 164 | 0.13 | | 108 | 0.13 | | 132 | 0.13 |
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Frequency Analysis based on Yearly Comb
Representative Cycle (Trading Sessions) = 0.00 Sawtooth = 45.09
| 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, April 15, 2010 | 20.38 | | | 250 | | | Monday, November 02, 2009 | 12.23 | 237 | | Friday, April 17, 2009 | 18.51 | | | 544 | | | Friday, November 21, 2008 | 3.71 | 213 | | | Tuesday, January 22, 2008 | 13.98 | 370 | | Tuesday, February 20, 2007 | 31.96 | | | 232 | | | Tuesday, August 01, 2006 | 18.93 | 495 | | Friday, March 17, 2006 | 25.51 | | | 189 |
Fourier Transform on Raw Closing Prices | Cycle Length | Fourier Amplitude | | 683 | 1.52 | | 819 | 1.45 | | 256 | 0.88 | | 585 | 0.86 | | 410 | 0.85 | | 315 | 0.64 | | 293 | 0.63 | | 205 | 0.57 | | 273 | 0.56 | | 186 | 0.53 | | 20 | 0.50 |
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Brinker International
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Average Sawtooth based on Monthly Combo
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Brinker International
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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.
| . | | | Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25 | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 1 instances | | | | Future30SesAvgClose | 2.20 % minus 1.25 % = 0.95 % | 8.07 % | | Future5SesAvgClose | -1.47 % minus 0.24 % = -1.72 % | -87.30 % | | Future2SesAvgClose | -0.77 % minus 0.12 % = -0.89 % | -113.25 % | | Sell Signals - 2 instances | | Future30SesAvgClose | -5.51 % minus 1.25 % = -6.76 % | -57.25 % | | Future5SesAvgClose | -5.13 % minus 0.24 % = -5.37 % | -272.82 % | | Future2SesAvgClose | -0.85 % minus 0.12 % = -0.97 % | -123.36 % | | . | | | Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle Crossing | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 35 instances | | | | Future30SesAvgClose | 0.23 % minus 1.25 % = -1.02 % | -8.61 % | | Future5SesAvgClose | -0.33 % minus 0.24 % = -0.58 % | -29.32 % | | Future2SesAvgClose | 0.10 % minus 0.12 % = -0.02 % | -2.51 % | | Sell Signals - 33 instances | | Future30SesAvgClose | 1.18 % minus 1.25 % = -0.07 % | -0.56 % | | Future5SesAvgClose | 0.22 % minus 0.24 % = -0.03 % | -1.31 % | | Future2SesAvgClose | 0.09 % minus 0.12 % = -0.03 % | -3.65 % | | . | | | Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30 | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 4 instances | | | | Future30SesAvgClose | 7.30 % minus 1.25 % = 6.05 % | 51.23 % | | Future5SesAvgClose | 1.04 % minus 0.24 % = 0.80 % | 40.39 % | | Future2SesAvgClose | 0.29 % minus 0.12 % = 0.17 % | 21.11 % | | Sell Signals - 4 instances | | Future30SesAvgClose | 3.31 % minus 1.25 % = 2.06 % | 17.48 % | | Future5SesAvgClose | 1.11 % minus 0.24 % = 0.87 % | 44.00 % | | Future2SesAvgClose | 0.65 % minus 0.12 % = 0.53 % | 67.19 % | | . | | | Projection of Representative Monthly Cycle | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 108 instances | | | | Future30SesAvgClose | 1.69 % minus 1.25 % = 0.44 % | 3.76 % | | Future5SesAvgClose | 1.02 % minus 0.24 % = 0.77 % | 39.34 % | | Future2SesAvgClose | 0.70 % minus 0.12 % = 0.58 % | 73.36 % | | Sell Signals - 107 instances | | Future30SesAvgClose | 1.86 % minus 1.25 % = 0.61 % | 5.18 % | | Future5SesAvgClose | 0.74 % minus 0.24 % = 0.49 % | 25.10 % | | Future2SesAvgClose | 0.47 % minus 0.12 % = 0.35 % | 44.15 % | | . | | | Projection of BiWeekly Modal Cycles | Signaled Appreciation minus non-signaled Appreciation | Annualized % | | Buy Signals - 233 instances | | | | Future30SesAvgClose | 1.17 % minus 1.25 % = -0.08 % | -0.68 % | | Future5SesAvgClose | 0.49 % minus 0.24 % = 0.25 % | 12.50 % | | Future2SesAvgClose | 0.31 % minus 0.12 % = 0.19 % | 24.65 % | | Sell Signals - 211 instances | | Future30SesAvgClose | 0.66 % minus 1.25 % = -0.59 % | -5.02 % | | Future5SesAvgClose | -0.15 % minus 0.24 % = -0.39 % | -19.79 % | | Future2SesAvgClose | -0.18 % minus 0.12 % = -0.30 % | -37.69 % | | . | | | | |
| The best buy signal for 30 future sessions was 6.05 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30,and the best sell signal for was -6.76 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25. | | For 5 future sessions the best buy signal was 0.80 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30,and the best sell signal was -5.37 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25. | | The best buy signal for 2 future sessions was 0.58 % from the Projection of Representative Monthly Cycle,and the best sell signal was -0.97 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25. |
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