Jan

2

I checked SP500 weekly closes for new all time highs per year, back to 1951.  2017 was second highest total weekly ATHs in the series (also see attached plot):

year  Count
1951     14
1952     13
1954     25
1955     20
1956      6
1958     10
1959     13
1961     20
1963     10
1964     23
1965     12
1966      3
1967      7
1968      9
1972     10
1973      1
1980     11
1982      1
1983     13
1985     20
1986     13
1987     18
1989      7
1990      2
1991     12
1992      6
1993      9
1994      3
1995     28
1996     14
1997     20
1998     16
1999     13
2000      1
2007      4
2013     18
2014     20
2015      6
2016      8
2017     27
   

And the outlook? Sorting years with at least 20 new weekly ATHs, here is comparison of mean returns for years following these years - along with mean returns for all years:

One-Sample T: nxt yr, all yr

Test of mu = 0 vs not = 0

Variable N Mean StDev SE Mean 95% CI T P

nxt yr 7 0.111 0.137 0.051 (-0.015, 0.237) 2.14 0.076

all yr 65 0.085 0.162 0.020 ( 0.045, 0.125) 4.24 0.000

so the return is +11% vs +8.5% for all years. No bearishness here.


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  1. Andre on January 4, 2018 1:06 pm

    I’m wondering how studies with a year timeframe can be used practically in a speculation or trading system. Always in long can’t use it and in a trading system there’s too few observations in your lifetime to justify it. After all there’s sizable chance that the market bucks the statistics and then you’re out a year and are you now waiting for the next year? Year studies are used by arm chair market participants who are always in long and are just justifying their always in long.

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