past BCC sell signals

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
18 Likes

EG is the earnings growth rate = current annual real earnings divided by the average 10-year real earnings used in CAPE.

2 Likes

NHNL is very low, similar to 1973 and 2008. Those Bear Markets continued until CAPE was significantly reduced.

  Date    [SMADiff]  [NHNLDiff]  [BCC]    gSPY   CAPE   EG   inflation  PH98   prevBCC  action  sbqGain  sbqBars  Gain21d  Gain42d
19730605    -0.29      -9.10       0     63.35   15.8   9%       6%     0.877     4      sell     2%       31       -3%      2%
19730719    -0.21      -0.34       2     64.63   15.9  11%       6%     0.927     0       buy     0%       10       -4%      -2%
19730802    -0.07      -0.52       0     64.79   15.3  11%       7%     0.928     2      sell     -1%      24       -2%      3%
19730906    -0.53      -0.23       2     64.19   15.5  13%       7%     0.937     0       buy     -2%       4       5%       1%
19730912    -0.54      -0.44       0     62.94   15.5  13%       7%     0.926     2      sell     3%        5       8%       3%
**19730919    -0.61      -0.08       2     64.72   15.5  13%       7%     0.952     0       buy     -9%      133      4%       -1%**
**19740329    -0.45      -0.46       0     58.61   13.3  14%      10%     0.878     2      sell     -20%     198      -4%      -6%**
**19750110**   -1.39      -0.37       2     46.91   **8.9**  7%      12%     0.965     0       buy     134%     1675     8%       16%
 
20080303    -7.43      -5.91       0    2472.14  22.6   4%       4%     0.852     4      sell     -2%      114      3%       6%
20080813    -12.33     -0.32       2    2418.24  21.4  -20%      5%     0.901     0       buy     -1%       4       -2%      -22%
20080819    -11.77     -0.78       0    2383.40  21.4  -20%      5%     0.888     2      sell     -33%     156      -5%      -25%
20090402    -27.59     -0.28       2    1605.72  **15.0** -87%     -1%     0.893     0       buy     51%      622      9%       12%
6 Likes

Borisand

NHNL is very low, similar to 1973 and 2008. Those Bear Markets continued until CAPE was significantly reduced.

Could you please post a link that provides daily values of NHNL as I would like to look at forward returns vs NHNL. Or perhaps you have already checked if there is a correlation between various values of NHL and forward returns?

Thanks

Craig

Radio button “Detailed Report”
Checkbox “Signal Values”
Run Backtest
then download report
http://gtr1.net/2013/?lf-1lp-1h1::iflt%28linear%281,ord%281%…

gSPY
https://gtr1.net/2013/?~gSPY_20140116_rgearyiii:lf-1lp-1h1::…

But there is no correlation. The data is U-shaped. The data can be averaged into various bins. For example, 21 day and 42 day returns are higher for [NHNLDiff] less than -25, and higher for [NHNLDiff] more than 15.

All dates:

[NHNLDiff]  [NHNLDiff]
   from         to      count  Gain21d  Gain42d
    15          99       172     2%       4%
    5           15      4173     1%       3%
    0           5       12222    1%       2%
    -5          0       5858     1%       2%
    -10         -5       944     0%       1%
 **-15         -10      339     0%       1%**
 **-20         -15      111     1%       3%**
    -25         -20       70     2%       3%
    -99         -25       46     6%       7%

Dates with BCC = 0 tell a similar story. Returns are higher for NHNL less than -25.

[NHNLDiff]  [NHNLDiff]
   from         to      count  Gain21d  Gain42d
    -5          0       1917     0%       1%
    -10         -5       507     1%       2%
    -15         -10      212     0%       1%
    -20         -15       76     0%       2%
    -25         -20       53     1%       1%
    -99         -25       32     3%       4%

We don’t know what value NHNL will be on May 25th, but below -10 might be a bad sign.
Dates with BCC = 0, and BCC>0 on previous day (BCC=0 sell signal):

[NHNLDiff]  [NHNLDiff]         average  average  average  average
   from         to      count  Gain21d  Gain42d  sbqGain  sbqBars
    -5          0         77     0%       0%       -1%      32
    -10         -5        4      2%       5%       1%       45
    -99         -10       2      -10%     -5%      -4%      58
                                                         bars

The data can be further tortured, by only looking at the first sell signal after BCC=7.
(e.g. don't look at the second BCC=0 date in the possible BCC sequence: 7,5,4,0,2,0,2,6,7)
This gives a similar story: returns were lower following the 2 dates with  [NHNLDiff] less than -10.
Dates with BCC = 0, and BCC>0 on previous day, 
and BCC was 7 more recently than BCC = 0:                                                         

```
                                                                   average
                                                                     bars
[NHNLDiff]  [NHNLDiff]         average  average  average  average   since
   from         to      count  Gain21d  Gain42d  sbqGain  sbqBars   BCC=7
    -5          0         23     -2%      0%       0%       26       49
    -10         -5        2      0%       4%       0%       73       94
    -99         -10       2      -10%     -5%      -4%      58       37
```

7 Likes

Or you can download the history of all 3 BCC signals using the link in the thread “Recent BCC Signals”. (three clicks: Detailed Report, Signal Values, run Backtest. Then download report.)

2 Likes