Frequency Analysis of YUM

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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 10 trading sessions.

Frequency Analysis based on Monthly Comb

YUM:  Frequency Analysis based on Monthly Comb

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, complicating most attempts to take advantage of these 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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Frequency from Monthly Comb Filter
Representative Cycle (Trading Sessions) = 21.00
Sawtooth = 54.55
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High17.4028.0021.0013.49 %
Low17.6231.0021.0010.75 %
Recent HighPriceRecent LowPrice Cycle
Friday, August 13, 201040.6429
Monday, August 09, 201042.4738
Friday, July 02, 201038.1439
Tuesday, June 15, 201042.9435
Friday, May 07, 201039.2062
Monday, April 26, 201043.4957
Monday, February 08, 201032.2243
Tuesday, February 02, 201035.2712


Fourier Transform after Digital Filter M

Cycle LengthFourier Amplitude
100.59
170.28
200.27
240.27
370.22
280.17
350.16
330.15
550.12
390.11
820.10



Frequency Analysis based on Quarterly Comb

Frequency Analysis based on Quarterly Comb of Yum! Brands

Frequency from Quarterly Comb Filter
Representative Cycle (Trading Sessions) = 73.00
Sawtooth = 41.94
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High48.6787.0070.0021.50 %
Low49.8388.0052.0017.83 %
Recent HighPriceRecent LowPrice Cycle
Friday, July 02, 201038.14101
Tuesday, June 15, 201042.9435
Monday, April 26, 201043.4969
Monday, February 08, 201032.2292
Thursday, January 14, 201035.7339
Friday, September 25, 200931.63140
Tuesday, November 17, 200935.3073
Monday, March 09, 200922.5772


Fourier Transform after Digital Filter Q

Cycle LengthFourier Amplitude
100.32
140.23
1280.22
790.21
930.19
170.16
1020.16
1080.16
190.15
250.14
1200.14



Frequency Analysis based on Yearly Comb

YUM:  Frequency Analysis based on Yearly Comb

Representative Cycle (Trading Sessions) = 0.00
Sawtooth = 0.00
Peak TypeAvg. CycleMedian CycleCycle ModeCycle Amplitude
High0.000.000.000.00 %
Low0.000.000.000.00 %
Recent HighPriceRecent LowPrice Cycle
Thursday, November 20, 200821.26589
Thursday, May 15, 200839.04710
Friday, July 21, 200620.65169
Wednesday, July 20, 200524.25776
Wednesday, November 16, 200521.30778
Thursday, June 20, 200214.80808
Wednesday, October 16, 20029.59555
Thursday, April 01, 199916.53389


Fourier Transform on Raw Closing Prices

Cycle LengthFourier Amplitude
6835.18
5123.17
2932.32
4102.10
3412.03
2561.82
101.52
2281.33
1081.26
1861.25
1201.15




Breaking News:

Friday, November 12, 2010: We have news on Cree, Inc., ticker symbol CREE. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning Intel and PetSmart, Inc.

From the News Archive: (11/11/2010 ) Favorable events happened at Exxon Mobil, Ingersoll-Rand Company Limited, and Concur Technologies, Inc.. Meanwhile, bad news came from International Game Technology.



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YUM




Yum! Brands












Average Sawtooth based on Monthly Combo

Average Sawtooth based on Monthly Combo of Yum! Brands

YUM




Yum! Brands









Average Sawtooth based on Bi-weekly Combo

Average Sawtooth based on Bi-weeklyly Combo of Yum! Brands



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 - 0 instances
Sell Signals - 0 instances
.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle CrossingSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 15 instances
Future30SesAvgClose 2.37 % minus 1.19 % = 1.18 %9.99 %
Future5SesAvgClose 1.20 % minus 0.24 % = 0.96 %48.71 %
Future2SesAvgClose 0.87 % minus 0.12 % = 0.75 %95.50 %
Sell Signals - 14 instances
Future30SesAvgClose -1.62 % minus 1.19 % = -2.80 %-23.73 %
Future5SesAvgClose -2.68 % minus 0.24 % = -2.92 %-148.39 %
Future2SesAvgClose -2.15 % minus 0.12 % = -2.27 %-288.72 %
.
Semi-Annual Avg. of Bi-weekly Sawtooth Signals at 70 and 30Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 0 instances
Sell Signals - 0 instances
.
Projection of Representative Monthly CycleSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 47 instances
Future30SesAvgClose 3.31 % minus 1.19 % = 2.13 %18.02 %
Future5SesAvgClose 1.53 % minus 0.24 % = 1.29 %65.41 %
Future2SesAvgClose 1.47 % minus 0.12 % = 1.35 %171.43 %
Sell Signals - 54 instances
Future30SesAvgClose 1.35 % minus 1.19 % = 0.17 %1.41 %
Future5SesAvgClose 0.30 % minus 0.24 % = 0.06 %3.18 %
Future2SesAvgClose 0.26 % minus 0.12 % = 0.14 %17.70 %
.
Projection of BiWeekly Modal CyclesSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 114 instances
Future30SesAvgClose 0.90 % minus 1.19 % = -0.28 %-2.40 %
Future5SesAvgClose 0.02 % minus 0.24 % = -0.23 %-11.44 %
Future2SesAvgClose 0.20 % minus 0.12 % = 0.08 %9.56 %
Sell Signals - 101 instances
Future30SesAvgClose 0.67 % minus 1.19 % = -0.52 %-4.37 %
Future5SesAvgClose -0.16 % minus 0.24 % = -0.41 %-20.66 %
Future2SesAvgClose -0.19 % minus 0.12 % = -0.31 %-39.97 %
.
The best buy signal for 30 future sessions was 2.13 % from the Projection of Representative Monthly Cycle,and the best sell signal for was -2.80 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle Crossing.
For 5 future sessions the best buy signal was 1.29 % from the Projection of Representative Monthly Cycle,and the best sell signal was -2.92 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle Crossing.
The best buy signal for 2 future sessions was 1.35 % from the Projection of Representative Monthly Cycle,and the best sell signal was -2.27 % from the Semi-Annual Avg. of Bi-weekly Sawtooth Signals middle Crossing.



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