Bottom Indicator

Saw this on twitter

https://twitter.com/jasongoepfert/status/1549483829357727745…

In modern markets, the S&P 500 has never lost ground over the following year when advancing volume was 87% or more of total volume for 2 out of 3 days coming off a 52-week low.

Looking at the chart it seems the signal has triggered 12 times (including yesterday) since 1962. Median 1 year return after signal is 23%

tecmo

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Tecmo said: Looking at the chart it seems the signal has triggered 12 times (including yesterday) since 1962. Median 1 year return after signal is 23%

I find 22 times in all, but it depends on how you set the parameters. Mine are:

  1. S&P 500 has dropped from its one year high by twenty percent or more (I find the lowest drop of the last month for this).
  2. New signals are removed within twenty-one market days.
  3. Two 87% Volume Advancing within three market days.

The average forward one year return is 26.21%. The average of all dates over the same time period is 8.32%. The forward returns for these signal dates beats the average of all dates in 95.45% of the cases.

7/2/1962     3.61%    6.52%    9.95%    16.07%   -3.39%    -5.47%    -7.29%    -9.82%    0.74%      2.09%      4.19%      8.32%
**S&P 500      Max Pop  Max Pop  Max Pop  Max Pop  Max Drop  Max Drop  Max Drop  Max Drop  Fixed Fwd  Fixed Fwd  Fixed Fwd  Fixed Fwd**
**1st Trigger  1        3        6        12       1         3         6         12        1          3          6          12**
7/2/1962     5.03%    8.00%    15.38%   27.53%   -0.57%    -1.07%    -5.93%    -5.93%    4.05%      0.54%      14.80%     25.71%
10/30/1962   11.30%   17.90%   24.71%   32.97%   -1.13%    -1.13%    -1.13%    -1.13%    10.79%     17.03%     22.97%     30.58%
5/28/1970    7.17%    10.53%   17.61%   41.54%   -3.16%    -5.25%    -5.25%    -5.25%    -2.53%     9.72%      15.17%     33.53%
10/9/1974    14.14%   14.14%   28.40%   42.41%   0.71%     -5.44%    -5.44%    -5.44%    10.81%     6.62%      26.22%     30.06%
1/2/1975     12.05%   23.99%   36.48%   37.52%   -1.69%    -1.69%    -1.69%    -1.69%    10.51%     14.41%     33.19%     31.82%
8/23/1982    8.89%    24.33%   28.68%   47.79%   -0.89%    -0.89%    -0.89%    -0.89%    6.21%      14.49%     26.42%     40.19%
10/7/1982    11.79%   14.32%   20.45%   33.23%   -0.01%    -0.01%    -0.01%    -0.01%    11.04%     13.96%     20.45%     32.61%
6/1/1988     3.82%    3.82%    6.47%    22.10%   -0.96%    -3.81%    -3.81%    -3.81%    3.42%      -3.13%     2.17%      22.06%
7/29/1988    0.80%    4.39%    9.37%    27.93%   -5.69%    -5.69%    -5.69%    -5.69%    -3.86%     2.55%      9.36%      26.37%
12/5/2001    0.57%    0.57%    0.57%    0.57%    -4.77%    -8.20%    -13.49%   -34.32%   -1.30%     -0.41%     -13.39%    -23.78%
10/11/2002   10.82%   14.24%   14.24%   26.15%   -0.83%    -0.83%    -5.56%    -5.56%    5.65%      9.92%      5.34%      25.31%
1/6/2003     0.65%    0.65%    9.29%    21.84%   -11.01%   -15.08%   -15.08%   -15.08%   -10.69%    -6.78%     6.43%      21.84%
2/18/2003    5.26%    11.45%   19.30%   36.16%   -7.32%    -7.32%    -7.32%    -7.32%    5.24%      8.49%      17.52%     34.42%
4/22/2003    4.09%    11.42%   15.63%   27.64%   -1.52%    -1.52%    -1.52%    -1.52%    2.40%      7.71%      13.06%     25.15%
7/7/2003     1.09%    3.57%    12.14%   15.81%   -4.34%    -4.34%    -4.34%    -4.34%    -3.02%     3.47%      12.14%     10.79%
11/26/2008   3.51%    6.33%    6.95%    25.46%   -8.11%    -22.01%   -24.88%   -24.88%   1.75%      -19.69%    4.97%      24.92%
1/2/2009     1.29%    1.29%    2.62%    22.26%   -13.68%   -28.44%   -28.44%   -28.44%   -9.22%     -12.48%    -5.61%     22.04%
3/12/2009    15.13%   27.37%   39.83%   54.55%   -1.10%    -1.10%    -1.10%    -1.10%    13.50%     23.04%     39.77%     54.44%
7/15/2009    9.15%    17.57%   23.34%   30.78%   -0.56%    -0.56%    -0.56%    -0.56%    5.04%      17.57%     21.80%     14.86%
11/9/2009    2.38%    5.25%    11.59%   12.26%   -0.85%    -4.44%    -4.44%    -7.52%    1.22%      -1.61%     3.90%      11.02%
3/26/2020    12.35%   22.93%   36.43%   51.47%   -6.94%    -6.94%    -6.94%    -6.94%    11.77%     16.09%     27.43%     50.51%
6/5/2020     1.23%    12.34%   15.82%   32.69%   -7.15%    -7.15%    -7.15%    -7.15%    -1.31%     4.32%      15.59%     32.11%
7/19/2022                                                                                                                 
% > Avg All  63.64%   63.64%   72.73%   86.36%   59.09%    63.64%    77.27%    81.82%    68.18%     68.18%     81.82%     95.45%
Average      6.48%    11.65%   17.97%   30.48%   -3.71%    -6.04%    -6.85%    -7.94%    3.25%      5.72%      14.53%     26.21%
% Beat All   79%      79%      81%      90%      10%       10%       -6%       -19%      338%       174%       247%       215%

The most recent signal was yesterday - 7/19/2022!

The only real loser was the December 2001 signal which landed in the middle of a tech-driven bear market.

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The only real loser was the December 2001 signal which landed in the middle of a tech-driven bear market.

Didn’t Argentina default on a massive billion dollar load in Dec of 2001…doc

Didn’t Argentina default on a massive billion dollar load in Dec of 2001…doc

It’s like one of those generic “good forever” newspapers.
They’re expensive, but hey, they do last you forever.

New York and Los Angeles are Different
Unrest in the Middle East
Scientists Report Some Correlation That’s Mildly Interesting: “More study needed”
Canadian Government Proposes Worthy Initiative
Powerful Man Was Not Nice to Powerless Woman
Person Famous For No Obvious Reason Getting Divorced, or Married, or Both
Black People Getting a Raw Deal, New Study Finds
New Bill Might Not Pass Because of Upcoming Election
Populist Leader Does Something Horrible, Everyone Shocked
British Royals do Something Wildly Embarrassing That Everyone Else Does
Russian Equities Very Cheap, Says Expert
Argentina in the Process of Another Debt Default

To be fair, they do have a new edition out. It includes things like this:
New Marvel Movie Panned by Critics, Makes Tons of Money
It Turns Out Mr Musk Wasn’t Telling the Truth When He Said That Thing He Said

Jim

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To be fair, they do have a new edition out. It includes things like this:
New Marvel Movie Panned by Critics, Makes Tons of Money
It Turns Out Mr Musk Wasn’t Telling the Truth When He Said That Thing He Said

I just have to add a couple:
Supreme Court issues a terrible decision completely detached from reality
Putin does something, world in shock

Elan

13 Likes

It’s like one of those generic “good forever” newspapers.
They’re expensive, but hey, they do last you forever.

I’m stealing this

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They’re expensive, but hey, they do last you forever.

I’m stealing this

Fair enough. I stole the joke.
Read it years ago, not sure where. The first two of those headlines were from my memory of the original.

Jim