Nov

11

Dividing DOW weekly closes into non-overlapping 25 week segments, I checked for large advances similar to now using:

{max close (recent 25W)} / {min close (prior 25W)}

Currently this quantity - the move to the high weekly close of the 25 weeks ending last week, compared to the low weekly close of the prior 25 weeks - is 0.51 (+51%). I checked back to 1929; there has not been a gain over 50% since 1983, then 1974, and in the 1930's (see attached).

Looking only at periods with gains >40%, here are the returns over the subsequent 25 weeks:

Date       25 max/min   nxt 25W
02/19/34        0.960   -0.142
08/28/33        0.957   0.024
02/27/33        0.793   0.925
06/27/83        0.584   0.021
12/05/38        0.529   -0.072
10/27/75        0.512   0.197
01/20/36        0.498   0.116
05/05/75        0.454   -0.017
10/19/87        0.446   0.032
03/29/43        0.441   0.033
07/29/35        0.439   0.173
05/12/86        0.418   0.072
10/21/29        0.403    -0.024

.                    avg 0.103

 Anton Johnson comments:

A quick look at all non-overlapping 25-week periods for weekly Dow 1929-Current yields a mean return of 2.73%; using this as the baseline results in a 7.56% excess return for the R>40% periods (10.29-2.73 = 7.56). However the 92.5% return in 1933 significantly skews the small R>40% sample. Median returns are 3.57% and 3.20% respectively, not much different from each other.


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