Since 1926, there were 83 [BCC = 0] sell signals. On average in these Bearish periods (when BCC=0), returns were lower when there was more time between the sell signal and the subsequent buy signal (i.e. sbqBars is higher). Longer Bearish periods have lower returns.
Average Total Return was 2% for the 46 Bearish periods (BCC=0) lasting less than 22 market days.
Average Total Return was -6% for the 37 Bearish periods (BCC=0) lasting more than 22 market days.
The buy signal (BCC>0) was caused by [NHNLDiff] going Bullish for 60 of these 83 periods. So it’s worth keeping an eye on NHNL.
---- data ----
Dates with BCC = 0 sell signal, sorted by Date.
On date: [SMADiff], [NHNLDiff], CAPE, EG, inflation, PH98, prevBCC
prevBCC is BCC the day before the sell signal.
inflation is for the year before.
PH98 is the ratio of price to 98 day new high price (as used in DBE).
Subsequent (after sell signal): sbqGain, sbqBars, Gain21d, Gain42d
sbqGain and sbqBars are from sell signal (BCC=0) to subsequent buy signal (BCC>0).
Gain21d is return 21 market days (bars) after sell signal.
Gain42d is return 42 market days (bars) after sell signal.
Date [SMADiff] [NHNLDiff] CAPE EG inflation PH98 prevBCC sbqGain sbqBars Gain21d Gain42d
19300219 -0.13 -0.40 23.7 54% -1% 0.749 2 1% 7 4% 9%
19300919 -0.01 -1.25 21.1 15% -4% 0.842 1 -19% 88 -14% -19%
19310202 -0.48 -0.45 18.2 -4% -8% 0.752 2 5% 5 9% 2%
19310313 -0.33 -0.45 18.6 -7% -8% 0.953 2 3% 1 -5% -13%
19310330 -0.29 -0.43 18.6 -7% -8% 0.917 2 -9% 62 -13% -20%
19310715 -0.27 -0.59 15.5 -18% -9% 0.759 2 -18% 83 1% -13%
19311113 -0.26 -0.48 11.4 -30% -10% 0.702 2 -47% 173 -24% -16%
19340720 -0.01 -1.11 11.7 -42% 2% 0.849 2 -4% 17 -5% -7%
19340910 -0.04 -0.52 10.9 -41% 3% 0.780 2 5% 12 3% 6%
19341221 -0.08 -0.42 11.6 -38% 2% 0.946 2 4% 4 2% -2%
19370826 -0.02 -0.64 19.8 42% 4% 0.928 2 -24% 96 -15% -27%
19380127 -0.29 -0.97 13.5 29% 1% 0.715 2 5% 15 7% -18%
19380308 -0.24 -0.57 12.4 16% -1% 0.881 2 -8% 26 -15% -5%
19380526 -0.36 -0.94 12.0 1% -2% 0.777 2 16% 18 22% 33%
19390418 -0.01 -2.77 13.9 -7% -3% 0.806 1 4% 7 3% 7%
19390629 -0.04 -2.01 14.8 -1% -2% 0.824 2 7% 8 12% 7%
19390816 -0.07 -0.45 15.1 4% -2% 0.951 2 9% 13 14% 11%
19400513 0.00 -3.26 14.1 37% 1% 0.870 1 -10% 27 -10% -9%
19410414 0.00 -1.08 12.4 38% 2% 0.886 1 0% 20 0% 4%
19410514 -0.03 -0.64 12.0 38% 3% 0.874 2 1% 5 5% 10%
19410523 -0.04 -0.52 12.0 38% 3% 0.869 2 1% 7 5% 11%
**19411216 -0.04 -8.80 10.1 34%** 10% **0.832 4 3% 15 4% -1%**
19420211 -0.03 -0.61 9.7 21% 12% 0.833 2 -1% 78 -5% -8%
19420624 -0.09 -0.40 8.9 5% 11% 0.915 2 3% 7 5% 7%
19461018 -0.12 -2.96 11.4 -27% 15% 0.781 4 4% 36 -2% 3%
19470110 -0.12 -0.57 11.5 -15% 18% 0.859 2 3% 13 6% -1%
19471212 -0.04 -0.74 10.7 14% 9% 0.929 4 1% 1 1% -6%
19480121 -0.01 -0.91 10.4 15% 10% 0.921 2 1% 8 -3% 2%
19480211 0.00 -5.63 10.0 19% 9% 0.879 1 1% 19 2% 11%
19480315 0.00 -1.50 10.2 22% 7% 0.896 1 5% 5 9% 15%
19490203 -0.01 -0.52 9.9 57% 1% 0.917 2 -2% 23 -2% -1%
19490419 -0.09 -0.77 9.8 57% 0% 0.962 2 1% 19 0% -6%
19490519 -0.06 -0.47 9.7 57% 0% 0.948 2 -3% 30 -4% 2%
19530601 -0.04 -0.69 11.6 22% 1% 0.910 2 1% 24 0% 1%
19530713 -0.01 -0.43 11.8 22% 0% 0.918 2 0% 9 3% -2%
19530727 -0.02 -0.49 11.8 22% 0% 0.914 2 2% 3 0% -3%
19530826 -0.01 -2.01 11.7 22% 1% 0.952 1 1% 34 -2% 2%
19570201 -0.18 -0.43 15.8 24% 3% 0.937 2 0% 21 0% 1%
19571209 -0.10 -1.14 13.7 14% 3% 0.842 2 0% 19 0% 3%
19620514 -0.01 -10.64 19.1 4% 1% 0.880 1 -8% 40 -12% -8%
19620718 -0.47 -0.49 17.1 5% 1% 0.791 2 6% 23 5% 6%
19620904 -0.58 -0.50 17.3 5% 1% 0.854 2 0% 46 -4% -2%
19660701 -0.14 -1.39 21.4 36% 3% 0.912 4 2% 4 -4% -9%
19660721 -0.18 -0.47 21.4 36% 3% 0.925 2 -3% 81 -7% -7%
19661121 -0.59 -0.52 19.7 35% 4% 0.914 2 3% 13 2% 8%
19661229 -0.37 -0.43 19.7 35% 3% 0.963 2 2% 5 8% 10%
19680216 -0.11 -1.01 20.4 22% 4% 0.923 4 1% 3 -1% 7%
19680301 -0.17 -0.48 19.9 22% 4% 0.914 2 1% 8 4% 11%
19680314 -0.14 -0.49 19.9 22% 4% 0.913 2 1% 1 9% 11%
19680319 -0.08 -0.41 19.9 22% 4% 0.920 2 4% 9 8% 9%
19690627 -0.01 -11.21 19.7 16% 5% 0.917 1 0% 76 -7% -2%
19691119 -0.25 -0.81 18.4 11% 6% 0.963 2 -3% 34 -4% -6%
19700115 -0.37 -0.54 17.1 8% 6% 0.932 2 -1% 34 -5% -4%
19700309 -0.79 -0.63 16.5 5% 6% 0.900 2 -7% 121 0% -9%
19711110 -0.01 -3.49 15.6 -5% 3% 0.922 1 4% 16 5% 11%
**19730605 -0.29 -9.10 15.8 9%** 6% **0.877 4 2% 31 -3% 2%**
19730802 -0.07 -0.52 15.3 11% 7% 0.928 2 -1% 24 -2% 3%
19730912 -0.54 -0.44 15.5 13% 7% 0.926 2 3% 5 8% 3%
19740329 -0.45 -0.46 13.3 14% 10% 0.878 2 -20% 198 -4% -6%
19810827 -0.03 -3.02 8.4 -2% 11% 0.912 1 -1% 30 -6% -3%
19811208 -0.12 -0.66 7.8 -3% 9% 0.933 2 -6% 80 -4% -7%
19820521 -0.67 -0.42 7.2 -11% 7% 0.936 2 2% 65 -5% -2%
19840301 -0.41 -1.33 9.3 -10% 5% 0.928 4 5% 108 1% 3%
19880115 -2.26 -0.63 13.9 -1% 4% 0.753 4 0% 6 4% 7%
19901204 -0.65 -1.25 15.8 3% 6% 0.888 4 2% 31 -1% 7%
19940627 -0.32 -2.10 20.3 12% 2% 0.931 4 1% 17 1% 5%
19940726 -0.38 -0.51 20.1 15% 3% 0.962 2 2% 6 4% 2%
20010223 -7.23 -0.72 35.8 29% 4% 0.867 2 1% 38 -7% -1%
20010817 -9.99 -0.62 31.4 -17% 3% 0.885 2 -5% 44 -14% -6%
20020530 -6.10 -0.58 28.1 -32% 1% 0.910 2 -15% 109 -7% -15%
20021223 -12.14 -0.42 23.1 -29% 2% 0.932 2 -1% 2 -4% -6%
20030127 -11.64 -0.40 22.9 -27% 3% 0.903 2 4% 37 -2% 3%
**20080303 -7.43 -5.91 22.6 4%** 4% **0.852 4 -2% 114 3% 6%**
20080819 -11.77 -0.78 21.4 -20% 5% 0.888 2 -33% 156 -5% -25%
20110920 -0.46 -2.84 19.7 46% 4% 0.883 4 5% 24 1% 2%
20111109 -1.61 -0.72 20.3 44% 3% 0.908 2 3% 18 2% 5%
20111208 -4.83 -0.63 20.5 44% 3% 0.918 2 2% 1 5% 10%
20111212 -4.11 -0.49 20.5 44% 3% 0.925 2 3% 14 5% 10%
20151208 -0.71 -1.28 26.0 9% 1% 0.974 2 1% 14 -7% -10%
20160104 -1.26 -0.70 24.2 9% 1% 0.954 2 0% 41 -5% 0%
20160316 -5.85 -0.43 25.4 8% 1% 0.961 2 1% 1 3% 2%
20160506 -1.68 -0.46 25.7 8% 1% 0.978 2 1% 2 3% 2%
20160511 -2.13 -0.78 25.7 8% 1% 0.982 2 1% 9 2% 5%
20220427 0.33 -15.37 35.8 58% 7% 0.872 5