TYC Periodic Wave Oscillators

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From the Update 11/5/2010: The strongest frequency, according to classical frequency analysis, is an oscillation with a length of 14 trading sessions.

Frequency Analysis based on Monthly Comb

Frequency Analysis based on Monthly Comb of Tyco

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, attempts to exploit the market cycles are foiled by the deviation from strictly periodic behavior required by ordinary analysis.

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 Tyco:

Frequency from Monthly Comb Filter
Representative Cycle (Trading Sessions) = 15.00
Sawtooth = 49.50
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High16.8529.0016.0013.60 %
Low16.9732.0027.0014.59 %
Recent HighPriceRecent LowPrice Cycle
Monday, October 04, 201036.2035
Thursday, September 09, 201039.5726
Friday, August 13, 201036.2829
Tuesday, August 03, 201038.2915
Tuesday, July 13, 201036.9015
Friday, July 02, 201034.0518
Monday, June 21, 201038.4627
Tuesday, June 08, 201034.6151


Fourier Transform after Digital Filter M

Cycle LengthFourier Amplitude
120.60
140.51
190.37
260.34
220.33
300.22
330.19
380.17
590.16
400.15
430.13



Frequency Analysis based on Quarterly Comb

TYC:  Frequency Analysis based on Quarterly Comb

Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 83.00
Sawtooth = 45.61
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High46.5589.0057.0025.23 %
Low49.0078.0044.0027.05 %
Recent HighPriceRecent LowPrice Cycle
Thursday, September 09, 201039.5796
Friday, July 02, 201034.05101
Friday, April 23, 201039.8966
Monday, February 08, 201033.40149
Tuesday, January 19, 201037.3740
Tuesday, July 07, 200924.6883
Wednesday, November 18, 200936.28120
Monday, March 09, 200916.6972


Fourier Transform after Digital Filter Q

Cycle LengthFourier Amplitude
140.29
200.21
240.19
260.18
220.18
1050.15
850.14
1200.13
1000.12
1240.12
300.12



Frequency Analysis based on Yearly Comb

Frequency Analysis based on Yearly Comb of Tyco

Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 40.54
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High0.000.000.000.00 %
Low0.000.000.000.00 %
Recent HighPriceRecent LowPrice Cycle
Friday, April 23, 201039.89507
Thursday, November 20, 200814.85212
Friday, April 18, 200844.56212
Tuesday, January 22, 200831.59494
Friday, June 15, 2007108.28360
Thursday, February 02, 200676.66728
Monday, January 09, 200695.95253
Friday, March 14, 200334.84160


Fourier Transform on Raw Closing Prices

Cycle LengthFourier Amplitude
68311.35
81910.66
2735.97
4555.75
3155.28
104.82
3413.96
5853.76
143.72
2933.01
1053.00




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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TYC




Tyco












Average Sawtooth based on Monthly Combo

Average Sawtooth based on Monthly Combo of Tyco

TYC




Tyco









Average Sawtooth based on Bi-weekly Combo

TYC:  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.

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 - 2 instances
Future30SesAvgClose -0.44 % minus 1.53 % = -1.98 %-16.73 %
Future5SesAvgClose 1.32 % minus 0.31 % = 1.01 %51.15 %
Future2SesAvgClose 0.16 % minus 0.16 % = 0.01 %0.66 %
Sell Signals - 0 instances
.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle CrossingSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 32 instances
Future30SesAvgClose 0.77 % minus 1.53 % = -0.76 %-6.45 %
Future5SesAvgClose -0.24 % minus 0.31 % = -0.56 %-28.31 %
Future2SesAvgClose 0.16 % minus 0.16 % = 0.01 %0.69 %
Sell Signals - 31 instances
Future30SesAvgClose 2.37 % minus 1.53 % = 0.84 %7.10 %
Future5SesAvgClose 0.66 % minus 0.31 % = 0.35 %17.79 %
Future2SesAvgClose 0.78 % minus 0.16 % = 0.62 %78.82 %
.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 7 instances
Future30SesAvgClose 2.00 % minus 1.53 % = 0.47 %4.00 %
Future5SesAvgClose -1.46 % minus 0.31 % = -1.77 %-90.04 %
Future2SesAvgClose -1.15 % minus 0.16 % = -1.31 %-166.77 %
Sell Signals - 1 instances
Future30SesAvgClose 3.05 % minus 1.53 % = 1.52 %12.83 %
Future5SesAvgClose 3.45 % minus 0.31 % = 3.13 %159.11 %
Future2SesAvgClose 2.08 % minus 0.16 % = 1.92 %244.23 %
.
Projection of Representative Monthly CycleSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 116 instances
Future30SesAvgClose 1.38 % minus 1.53 % = -0.15 %-1.25 %
Future5SesAvgClose 0.52 % minus 0.31 % = 0.21 %10.58 %
Future2SesAvgClose 0.34 % minus 0.16 % = 0.18 %23.42 %
Sell Signals - 128 instances
Future30SesAvgClose 1.75 % minus 1.53 % = 0.22 %1.88 %
Future5SesAvgClose 0.23 % minus 0.31 % = -0.08 %-4.15 %
Future2SesAvgClose 0.11 % minus 0.16 % = -0.05 %-5.72 %
.
Projection of BiWeekly Modal CyclesSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 243 instances
Future30SesAvgClose 2.02 % minus 1.53 % = 0.49 %4.16 %
Future5SesAvgClose 0.59 % minus 0.31 % = 0.27 %13.79 %
Future2SesAvgClose 0.33 % minus 0.16 % = 0.17 %21.22 %
Sell Signals - 252 instances
Future30SesAvgClose 1.70 % minus 1.53 % = 0.17 %1.43 %
Future5SesAvgClose 0.51 % minus 0.31 % = 0.20 %9.99 %
Future2SesAvgClose 0.38 % minus 0.16 % = 0.22 %27.98 %
.
The best buy signal for 30 future sessions was 0.49 % from the Projection of BiWeekly Modal Cycles,and the best sell signal for was -1.53 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25.
For 5 future sessions the best buy signal was 1.01 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25,and the best sell signal was -0.16 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 75 and 25.
The best buy signal for 2 future sessions was 0.18 % from the Projection of Representative Monthly Cycle,and the best sell signal was -0.05 % from the Projection of Representative Monthly Cycle.



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