99-Day DBE dropping significantly

The 99-Day Dying Bullish Euphoria indicator will take a meaningful drop in the next two days. For the past 97 days, the upper channel mark-to-surpass was the March 29th $SPX intra-day high of 4,637.3. Tomorrow it will become the April 21st intra-day high of 4512.95. On Thursday the upper channel will drop to the August 16th intra-day high of 4325.28. Barring a signal change, it will stay at this level for the next four months or so.

That’s a 6.7% drop in the upper channel value in just two days, so the hurdle rate will soon be much less than it has been. (A rebound of 10.1% from today’s close, vice the current 18% hurdle.)

Tails

https://stockcharts.com/h-sc/ui?s=%24SPX&p=D&yr=0&am…

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If I’m not mistaken, the current state is now a “guaranteed good” recommendation, because the classic signal will now definitely go bullish at a lower level than where the last bull state ended.

Small whipsaws are more common than smart re-entries.

Jim

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If I’m not mistaken, the current state is now a “guaranteed good” recommendation, because the classic signal will now definitely go bullish at a lower level than where the last bull state ended.

Not quite, if I’m reading the chart correctly. The signal went bearish in the last week of May when the S&P was in the 4000-4100 range. Currently a bullish signal would be generated at 4325 for a 5% or so net loss.

Elan

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If I’m not mistaken, the current state is now a “guaranteed good” recommendation, because the classic signal will now definitely go bullish at a lower level than where the last bull state ended.

Not quite, if I’m reading the chart correctly. The signal went bearish in the last week of May when the S&P was in the 4000-4100 range. Currently a bullish signal would be generated at 4325 for a 5% or so net loss.

Yes, sorry.
I was looking at two variations of the model and mixed things up.
For the “classic” signal, my spreadsheet has the last bullish stretch ending at market close May 26, market at 4,057.84
The trailing 99 day high target for a new buy signal can’t drop that low for quite some time, around end January,
because the Aug 16 high of 4,325.28 will not leave the 99 day window till year end.

Jim

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Per Jim:
Here’s a different bucketing
From 0 to 36 days since fresh six month high, six month forward CAGR average 10.6%
From 37 to 99 days since fresh six month high, six month forward CAGR average 9.2%
From 100 to 249 days since fresh six month high, six month forward CAGR average 2.3%
From 250 to 349 days since fresh six month high, six month forward CAGR average -4.2%

Per my reckoning the final bucket could start around Tuesday, Dec. 20th.

Thanks again, Jim.
:-)Shawn

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