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, 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. |
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Frequency from Monthly Comb Filter
Representative Cycle (Trading Sessions) = 18.00
Sawtooth = 48.79
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 17.00 | 28.00 | 24.00 | 9.59 % | | Low | 16.87 | 29.00 | 23.00 | 10.77 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Friday, January 29, 2010 | 20.59 | 34 | | Monday, December 14, 2009 | 23.10 | | | 18 | | | Wednesday, December 09, 2009 | 22.15 | 29 | | Tuesday, November 17, 2009 | 24.32 | | | 18 | | | Wednesday, October 28, 2009 | 23.74 | 18 | | Thursday, October 22, 2009 | 25.57 | | | 24 | | | Friday, October 02, 2009 | 23.10 | 21 | | Friday, September 18, 2009 | 24.67 | | | 37 |
Fourier Transform after Digital Filter M | Cycle Length | Fourier Amplitude | | 12 | 0.55 | | 14 | 0.48 | | 21 | 0.42 | | 17 | 0.39 | | 27 | 0.33 | | 29 | 0.32 | | 31 | 0.21 | | 34 | 0.21 | | 49 | 0.14 | | 36 | 0.13 | | 46 | 0.12 |
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Frequency Analysis based on Quarterly Comb
Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 80.00
Sawtooth = 47.31
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 48.82 | 80.00 | 80.00 | 16.91 % | | Low | 51.94 | 87.00 | 65.00 | 17.21 % |
| Recent High | Price | Recent Low | Price | Cycle | | Thursday, October 22, 2009 | 25.57 | | | 61 | | | Monday, August 03, 2009 | 19.68 | 102 | | Tuesday, July 28, 2009 | 22.75 | | | 58 | | | Monday, March 09, 2009 | 16.68 | 90 | | Tuesday, May 05, 2009 | 24.39 | | | 80 | | | Monday, October 27, 2008 | 19.58 | 63 | | Thursday, January 08, 2009 | 25.03 | | | 81 | | | Tuesday, July 29, 2008 | 28.44 | 74 |
Fourier Transform after Digital Filter Q | Cycle Length | Fourier Amplitude | | 10 | 0.45 | | 12 | 0.35 | | 20 | 0.22 | | 29 | 0.20 | | 24 | 0.16 | | 49 | 0.15 | | 27 | 0.15 | | 84 | 0.13 | | 55 | 0.13 | | 59 | 0.13 | | 34 | 0.12 |
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Frequency Analysis based on Yearly Comb
Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 48.07
| 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 09, 2009 | 16.68 | 689 | | Thursday, May 15, 2008 | 34.72 | | | 267 | | Wednesday, April 25, 2007 | 42.26 | | | 322 | | | Monday, June 12, 2006 | 34.30 | 147 | | Wednesday, January 11, 2006 | 37.24 | | | 230 | | | Tuesday, November 08, 2005 | 33.66 | 777 | | Friday, February 11, 2005 | 38.52 | | | 713 | | | Wednesday, October 09, 2002 | 21.86 | 239 |
Fourier Transform on Raw Closing Prices | Cycle Length | Fourier Amplitude | | 683 | 2.91 | | 512 | 1.37 | | 819 | 1.29 | | 10 | 1.07 | | 293 | 0.90 | | 12 | 0.83 | | 372 | 0.78 | | 14 | 0.76 | | 256 | 0.64 | | 16 | 0.62 | | 20 | 0.62 |
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| Breaking News: In the news, Friday, March 12, 2010: An unfavorable condition has developed with Convergys Corporation, ticker symbol CVG. Also, there are breaking events concerning ConAgra Foods, Inc. (CAG) and Pre-Paid Legal (PPD)
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Average Sawtooth based on Monthly Combo
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Average Sawtooth based on Bi-weekly Combo
Comparing the length of time from high points to successive lowpoints, against the corresponding time span from the lows to the following periodic highs, gives us the Sawtooth Indicator. 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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