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. New methods had to be invented to deal with the seeming mathematical absurdity in the notion of non-periodic cycles. |
| 
Subscribe More than 70 Hi-Rez charts daily for Prudential Financial, Inc.: |
Frequency from Monthly Comb Filter
Representative Cycle (Trading Sessions) = 26.00
Sawtooth = 48.73
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 17.59 | 28.00 | 21.00 | 24.89 % | | Low | 15.92 | 33.00 | 31.00 | 8.33 % |
| Recent High | Price | Recent Low | Price | Cycle | | Monday, October 18, 2010 | 54.66 | | | 19 | | | Monday, October 04, 2010 | 52.55 | 26 | | Tuesday, September 21, 2010 | 57.56 | | | 30 | | | Thursday, August 26, 2010 | 49.65 | 26 | | Monday, August 09, 2010 | 59.54 | | | 74 | | | Wednesday, July 21, 2010 | 52.71 | 31 | | | Monday, June 07, 2010 | 54.59 | 82 | | Friday, April 23, 2010 | 65.82 | | | 73 |
Fourier Transform after Digital Filter M | Cycle Length | Fourier Amplitude | | 14 | 0.38 | | 18 | 0.34 | | 22 | 0.20 | | 26 | 0.20 | | 24 | 0.20 | | 37 | 0.18 | | 34 | 0.17 | | 53 | 0.16 | | 30 | 0.13 | | 59 | 0.12 | | 79 | 0.12 |
|
Frequency Analysis based on Quarterly Comb
Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 85.00
Sawtooth = 48.11
| Peak Type | Avg. Cycle | Median Cycle | Cycle Mode | Cycle Amplitude | | High | 49.33 | 85.00 | 0.00 | 5.83 % | | Low | 48.67 | 86.00 | 85.00 | 9.13 % |
| Recent High | Price | Recent Low | Price | Cycle | | | Thursday, August 26, 2010 | 49.65 | 139 | | Monday, August 09, 2010 | 59.54 | | | 74 | | Friday, April 23, 2010 | 65.82 | | | 73 | | | Monday, February 08, 2010 | 47.02 | 63 | | Thursday, January 07, 2010 | 54.27 | | | 78 | | | Thursday, November 05, 2009 | 44.00 | 85 | | Wednesday, September 16, 2009 | 53.84 | | | 90 | | | Wednesday, July 08, 2009 | 32.80 | 86 |
Fourier Transform after Digital Filter Q | Cycle Length | Fourier Amplitude | | 120 | 0.22 | | 102 | 0.22 | | 14 | 0.22 | | 82 | 0.19 | | 79 | 0.16 | | 18 | 0.16 | | 16 | 0.16 | | 89 | 0.15 | | 114 | 0.15 | | 20 | 0.14 | | 93 | 0.13 |
|
|
|
Frequency Analysis based on Yearly Comb
Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 0.00
| 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 | | Friday, April 23, 2010 | 65.82 | | | 400 | | | Thursday, March 05, 2009 | 11.13 | 626 | | Friday, September 19, 2008 | 82.11 | | | 337 | | | Thursday, September 07, 2006 | 66.43 | 984 | | Monday, May 21, 2007 | 97.03 | | | 808 | | | Wednesday, October 09, 2002 | 22.54 | 206 | | Thursday, March 04, 2004 | 43.69 | | | 557 | | | Monday, January 01, 0001 | 0.00 | 0 |
Fourier Transform on Raw Closing Prices | Cycle Length | Fourier Amplitude | | 683 | 10.43 | | 512 | 7.48 | | 8 | 2.97 | | 293 | 2.88 | | 228 | 2.73 | | 256 | 2.63 | | 410 | 2.46 | | 102 | 2.16 | | 120 | 1.76 | | 89 | 1.68 | | 85 | 1.62 |
|
|
|
| PRU
Prudential Financial, Inc.
|
Average Sawtooth based on Monthly Combo
| PRU
Prudential Financial, Inc.
|
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.
Today's Free Reports | Meet the Analysts | Member Sign In | Stock-Predictions dot Com Home Page
For Subscribers: Advanced Analysis of the Price Behavior Surface for Prudential Financial, Inc.
Contents of non-member pages are delayed. New information may have voided the predictions shown here. Associates of Stock-Predictions.Com or Hybrid Technical may hold positions in issues covered here.
Our Pledge of Independence: We do not utilize any reporting or analysis that comes directly or indirectly from brokerage or banking firms.
Note: Free pages are for entertainment and academic purposes only. We do not advise anyone to buy or sell stocks or funds. We do not recommend the purchase or sale of this or any other issue. Research shows that most people who trade securities will lose money.
These reports are not to be used for stock-picking or investment decision support. Any such use is strictly prohibited. Charts are provided by permission from Hybrid Technical. All Rights Reserved. All Content is Copyright 2010 by Stock-Predictions.ComThis site and Hybrid Technical shall not be liable for any errors in the content, or for any actions taken in reliance thereon.
| |
