Frequency Analysis of HD

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From the Update 3/12/2010: The strongest frequency, according to classical frequency analysis, is an oscillation with a length of 12 trading sessions.

Frequency Analysis based on Monthly Comb

Frequency Analysis based on Monthly Comb of Home Depot

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, 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 Home Depot:

Frequency from Monthly Comb Filter
Representative Cycle (Trading Sessions) = 30.00
Sawtooth = 50.63
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High17.3230.0028.0012.72 %
Low16.9231.0030.0011.38 %
Recent HighPriceRecent LowPrice Cycle
Thursday, January 28, 201027.1457
Tuesday, December 22, 200929.0745
Wednesday, November 04, 200924.5723
Monday, October 19, 200927.2021
Friday, October 02, 200925.6362
Friday, September 18, 200927.7970
Tuesday, July 07, 200921.8727
Wednesday, June 10, 200923.8129


Fourier Transform after Digital Filter M

Cycle LengthFourier Amplitude
140.50
200.45
230.30
260.28
290.27
360.17
330.17
310.16
380.16
590.15
870.13



Frequency Analysis based on Quarterly Comb

HD:  Frequency Analysis based on Quarterly Comb

Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 85.00
Sawtooth = 50.22
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High49.8189.0055.0018.28 %
Low47.8288.00111.0025.00 %
Recent HighPriceRecent LowPrice Cycle
Tuesday, December 22, 200929.0766
Wednesday, November 04, 200924.5785
Friday, September 18, 200927.7999
Tuesday, July 07, 200921.8784
Wednesday, April 29, 200925.4878
Friday, March 06, 200917.2090
Tuesday, January 06, 200924.1383
Friday, October 24, 200817.5072


Fourier Transform after Digital Filter Q

Cycle LengthFourier Amplitude
120.28
150.24
200.23
1780.20
870.16
220.15
1370.14
310.12
290.12
1710.12
1000.12



Frequency Analysis based on Yearly Comb

Frequency Analysis based on Yearly Comb of Home Depot

Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 49.13
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High0.000.000.000.00 %
Low0.000.000.000.00 %
Recent HighPriceRecent LowPrice Cycle
Friday, March 06, 200917.20663
Monday, September 08, 200828.51395
Tuesday, February 13, 200737.48224
Tuesday, July 18, 200629.43307
Thursday, March 23, 200638.76170
Thursday, April 28, 200530.71192
Wednesday, July 20, 200538.56170
Monday, July 26, 200428.58375


Fourier Transform on Raw Closing Prices

Cycle LengthFourier Amplitude
6831.89
4551.88
5121.88
5851.76
101.68
3151.45
121.33
4101.32
1781.05
141.04
3410.97




Breaking News:

Friday, March 12, 2010: We have news on ConAgra Foods, Inc., ticker symbol CAG. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning Texas Instruments Incorporated and Convergys Corporation.

From the News Archive: (3/11/2010 ) A favorable event happened at Amgen, Inc.. Meanwhile, bad news came from Coach, Inc., Fluor Corporation (NEW), and Automatic Data Processing.



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Average Sawtooth based on Monthly Combo

HD:  Average Sawtooth based on Monthly Combo

Average Sawtooth based on Bi-weekly Combo

HD:  Average Sawtooth based on Bi-weeklyly 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.

.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 4 instances
Future30SesAvgClose 7.01 % minus 2.01 % = 5.01 %42.39 %
Future5SesAvgClose 1.88 % minus 0.40 % = 1.48 %75.07 %
Future2SesAvgClose 1.16 % minus 0.20 % = 0.96 %121.37 %
Sell Signals - 1 instances
Future30SesAvgClose 5.95 % minus 2.01 % = 3.94 %33.37 %
Future5SesAvgClose 2.87 % minus 0.40 % = 2.47 %125.63 %
Future2SesAvgClose 2.37 % minus 0.20 % = 2.17 %275.88 %
.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle CrossingSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 37 instances
Future30SesAvgClose 2.10 % minus 2.01 % = 0.09 %0.80 %
Future5SesAvgClose -0.11 % minus 0.40 % = -0.51 %-25.82 %
Future2SesAvgClose -0.22 % minus 0.20 % = -0.42 %-53.87 %
Sell Signals - 36 instances
Future30SesAvgClose 1.95 % minus 2.01 % = -0.05 %-0.45 %
Future5SesAvgClose 0.49 % minus 0.40 % = 0.09 %4.44 %
Future2SesAvgClose 0.50 % minus 0.20 % = 0.30 %38.50 %
.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 12 instances
Future30SesAvgClose 4.28 % minus 2.01 % = 2.27 %19.24 %
Future5SesAvgClose 0.61 % minus 0.40 % = 0.21 %10.59 %
Future2SesAvgClose 0.43 % minus 0.20 % = 0.23 %29.79 %
Sell Signals - 9 instances
Future30SesAvgClose 1.53 % minus 2.01 % = -0.47 %-4.00 %
Future5SesAvgClose 0.71 % minus 0.40 % = 0.31 %15.64 %
Future2SesAvgClose 0.49 % minus 0.20 % = 0.29 %37.32 %
.
Projection of Representative Monthly CycleSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 131 instances
Future30SesAvgClose 1.94 % minus 2.01 % = -0.07 %-0.58 %
Future5SesAvgClose 0.65 % minus 0.40 % = 0.25 %12.63 %
Future2SesAvgClose 0.39 % minus 0.20 % = 0.19 %23.99 %
Sell Signals - 140 instances
Future30SesAvgClose 1.73 % minus 2.01 % = -0.28 %-2.35 %
Future5SesAvgClose 0.54 % minus 0.40 % = 0.14 %7.25 %
Future2SesAvgClose 0.24 % minus 0.20 % = 0.04 %4.52 %
.
Projection of BiWeekly Modal CyclesSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 300 instances
Future30SesAvgClose 1.80 % minus 2.01 % = -0.21 %-1.75 %
Future5SesAvgClose 0.28 % minus 0.40 % = -0.12 %-5.98 %
Future2SesAvgClose 0.02 % minus 0.20 % = -0.18 %-23.03 %
Sell Signals - 281 instances
Future30SesAvgClose 1.98 % minus 2.01 % = -0.03 %-0.24 %
Future5SesAvgClose 0.37 % minus 0.40 % = -0.02 %-1.25 %
Future2SesAvgClose 0.23 % minus 0.20 % = 0.03 %3.37 %
.
The best buy signal for 30 future sessions was 5.01 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25,and the best sell signal for was -0.47 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30.
For 5 future sessions the best buy signal was 1.48 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25,and the best sell signal was -0.02 % from the Projection of BiWeekly Modal Cycles.
The best buy signal for 2 future sessions was 0.96 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25,and the best sell signal was 0.00 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25.



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