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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  1. Russell Sears on November 12, 2009 10:19 am

    Kim
    It was not clear why “weekly” closes versus daily closes were used? Also it was not clear why 25 weeks versus 26 wks?
    Using Yahoo daily close numbers, for the most part I came close to your numbes. Using Daily maxs/mins did add one extra recent period, I had 2/2/04 as 42.2% win max on 1/26/04 or 10702.51 and min of 7524.06 on 3/11/03.

    Fianlly, it appears there were 26 weeks between 2/27/33 and 8/28/33 not 25.
    I believe also parsing the dates correct, may add 10/13/30. as I
    a 46% max/min ussing daily numbers.

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