Most Popular
1. It’s a New Macro, the Gold Market Knows It, But Dead Men Walking Do Not (yet)- Gary_Tanashian
2.Stock Market Presidential Election Cycle Seasonal Trend Analysis - Nadeem_Walayat
3. Bitcoin S&P Pattern - Nadeem_Walayat
4.Nvidia Blow Off Top - Flying High like the Phoenix too Close to the Sun - Nadeem_Walayat
4.U.S. financial market’s “Weimar phase” impact to your fiat and digital assets - Raymond_Matison
5. How to Profit from the Global Warming ClImate Change Mega Death Trend - Part1 - Nadeem_Walayat
7.Bitcoin Gravy Train Trend Forecast 2024 - - Nadeem_Walayat
8.The Bond Trade and Interest Rates - Nadeem_Walayat
9.It’s Easy to Scream Stocks Bubble! - Stephen_McBride
10.Fed’s Next Intertest Rate Move might not align with popular consensus - Richard_Mills
Last 7 days
Nvidia Numero Uno in Count Down to President Donald Pump Election Victory - 5th Nov 24
Trump or Harris - Who Wins US Presidential Election 2024 Forecast Prediction - 5th Nov 24
Stock Market Brief in Count Down to US Election Result 2024 - 3rd Nov 24
Gold Stocks’ Winter Rally 2024 - 3rd Nov 24
Why Countdown to U.S. Recession is Underway - 3rd Nov 24
Stock Market Trend Forecast to Jan 2025 - 2nd Nov 24
President Donald PUMP Forecast to Win US Presidential Election 2024 - 1st Nov 24
At These Levels, Buying Silver Is Like Getting It At $5 In 2003 - 28th Oct 24
Nvidia Numero Uno Selling Shovels in the AI Gold Rush - 28th Oct 24
The Future of Online Casinos - 28th Oct 24
Panic in the Air As Stock Market Correction Delivers Deep Opps in AI Tech Stocks - 27th Oct 24
Stocks, Bitcoin, Crypto's Counting Down to President Donald Pump! - 27th Oct 24
UK Budget 2024 - What to do Before 30th Oct - Pensions and ISA's - 27th Oct 24
7 Days of Crypto Opportunities Starts NOW - 27th Oct 24
The Power Law in Venture Capital: How Visionary Investors Like Yuri Milner Have Shaped the Future - 27th Oct 24
This Points To Significantly Higher Silver Prices - 27th Oct 24
US House Prices Trend Forecast 2024 to 2026 - 11th Oct 24
US Housing Market Analysis - Immigration Drives House Prices Higher - 30th Sep 24
Stock Market October Correction - 30th Sep 24
The Folly of Tariffs and Trade Wars - 30th Sep 24
Gold: 5 principles to help you stay ahead of price turns - 30th Sep 24
The Everything Rally will Spark multi year Bull Market - 30th Sep 24
US FIXED MORTGAGES LIMITING SUPPLY - 23rd Sep 24
US Housing Market Free Equity - 23rd Sep 24
US Rate Cut FOMO In Stock Market Correction Window - 22nd Sep 24
US State Demographics - 22nd Sep 24
Gold and Silver Shine as the Fed Cuts Rates: What’s Next? - 22nd Sep 24
Stock Market Sentiment Speaks:Nothing Can Topple This Market - 22nd Sep 24
US Population Growth Rate - 17th Sep 24
Are Stocks Overheating? - 17th Sep 24
Sentiment Speaks: Silver Is At A Major Turning Point - 17th Sep 24
If The Stock Market Turn Quickly, How Bad Can Things Get? - 17th Sep 24
IMMIGRATION DRIVES HOUSE PRICES HIGHER - 12th Sep 24
Global Debt Bubble - 12th Sep 24
Gold’s Outlook CPI Data - 12th Sep 24

Market Oracle FREE Newsletter

How to Protect your Wealth by Investing in AI Tech Stocks

Stock Market Volatility Peaks Near Bear Market Lows

Stock-Markets / Stocks Bear Market Mar 23, 2008 - 04:26 AM GMT

By: Mike_Burk

Stock-Markets

The good news is: It is likely last Monday's low will mark the low point for the next several weeks.

Short Term
Last Monday there were 477 new lows on the NASDAQ, about the same as there were near the lows of last August, but substantially fewer than the 877 at the January low. Every day for the remainder of the week had less than half as many new lows as Monday.


The sharp decline in new lows suggests we are likely to have a rally that could last several weeks. Unfortunately, 477 is enough to suggest a high likelihood of a retest of last Monday's price lows.

The chart below covers the past 9 months showing the NASDAQ composite (OTC) in blue and a 10% trend (19 day EMA) of NASDAQ new lows (OTC NL) in red. OTC NL has been plotted on an inverted Y axis so decreasing OTC NL moves the indicator upward (up is good). Dashed vertical lines have been drawn on the 1st trading day of each month. The dashed vertical line has been drawn in red on the 1st trading day of the year.

Intermediate Term

Volatility peaks near bear market lows.

In the past week we saw volatility hit its highest level in over 4 years.

The chart below covers the past 9 months showing the OTC in blue and indicator showing the mean of the absolute value of the daily percentage change of the OTC over the previous 10 trading days in black.

The indicator hit its high for the period on Friday with a value of 2.1% meaning the OTC has moved an average of 2.1% daily for the past 10 trading days.

For a historical perspective the following chart shows how the indicator behaved during the past 4 years. Dashed vertical lines have been drawn on the 1st trading day of each year.

The next chart shows the 2002 bear market low.

Volatility peaked at 3.4% near the low at the end of July and had a lower peak near the final bottom in October.

The highest volatility ever recorded was 5.6% at the beginning of 2001.

The chart below shows the period from October 2000 through March 2003. Dashed vertical lines have been drawn on the 1st trading day of each year.

Seasonality

Next week includes 5 of the last 6 trading days in March during the 4th year of the Presidential Cycle.

The tables show the daily change of the OTC and S&P 500 (SPX) for the last 6 trading days of March during the 4th year of the Presidential Cycle. OTC data covers the period from 1963 - 2004 and SPX data from 1928 - 2004. There are summaries for both the 4th year of the Presidential Cycle and all years combined.

Historically the period has been up a little more than half of the time, however, returns have been negative.

Report for the last 6 days of March
The number following the year represents its position in the presidential cycle.
The number following the daily return represents the day of the week;
1 = Monday, 2 = Tuesday etc.

OTC Presidential Year Year 4
Day6 Day5 Day4 Day3 Day2 Day1 Totals
1964-4 -0.24% 1 -0.13% 2 -0.37% 3 0.27% 4 0.35% 1 -0.27% 2 -0.40%
1968-4 -0.40% 5 0.16% 1 0.50% 2 0.66% 3 1.18% 4 0.26% 5 2.36%
1972-4 0.81% 4 0.13% 5 0.01% 1 0.13% 2 -0.15% 3 0.48% 4 1.40%
1976-4 0.63% 3 -0.29% 4 0.24% 5 -0.22% 1 -0.22% 2 0.14% 3 0.29%
1980-4 -3.02% 1 -1.55% 2 -0.23% 3 -6.15% 4 4.16% 5 1.35% 1 -5.43%
1984-4 -0.32% 5 -0.27% 1 -0.08% 2 0.77% 3 0.25% 4 -0.34% 5 0.01%
Avg -0.46% -0.36% 0.09% -0.96% 1.04% 0.38% -0.28%
1988-4 -1.18% 4 -0.81% 5 -0.57% 1 0.69% 2 -0.32% 3 0.77% 4 -1.43%
1992-4 -0.51% 2 0.13% 3 -0.66% 4 -1.74% 5 -0.43% 1 0.28% 2 -2.93%
1996-4 0.22% 5 -1.37% 1 0.12% 2 0.51% 3 0.08% 4 0.60% 5 0.16%
2000-4 0.45% 5 -0.09% 1 -2.51% 2 -3.91% 3 -4.02% 4 2.58% 5 -7.51%
2004-4 0.40% 3 3.02% 4 -0.36% 5 1.66% 1 0.40% 2 -0.32% 3 4.81%
Avg -0.12% 0.18% -0.80% -0.56% -0.86% 0.78% -1.38%
OTC summary for Presidential Year 4 1964 - 2004
Averages -0.29% -0.10% -0.36% -0.67% 0.12% 0.50% -0.79%
% Winners 45% 36% 36% 64% 55% 73% 55%
MDD 3/27/1980 10.60% -- 3/30/2000 10.18% -- 3/30/1992 3.18%
OTC summary for all years 1963 - 2007
Averages 0.01% 0.06% -0.04% -0.14% -0.03% 0.12% -0.03%
% Winners 53% 51% 51% 58% 58% 64% 67%
MDD 3/27/1980 10.60% -- 3/30/2000 10.18% -- 3/29/2001 7.69%
SPX Presidential Year 4
Day6 Day5 Day4 Day3 Day2 Day1 Totals
1928-4 1.38% 1 -0.58% 2 -0.26% 3 0.32% 4 1.74% 5 -0.78% 6 1.82%
1932-4 -1.01% 4 -3.05% 6 -0.39% 1 -0.13% 2 2.11% 3 -5.56% 4 -8.03%
1936-4 0.87% 3 -0.33% 4 -1.53% 5 0.13% 6 -0.20% 1 0.74% 2 -0.32%
1940-4 -0.49% 1 -0.50% 2 1.33% 3 -0.25% 4 0.33% 5 0.57% 6 1.00%
1944-4 -0.16% 6 -0.08% 1 -0.99% 2 -0.25% 3 0.67% 4 -0.08% 5 -0.90%
Avg 0.12% -0.91% -0.37% -0.04% 0.93% -1.02% -1.29%
1948-4 -0.07% 3 0.41% 4 -0.20% 6 -0.14% 1 1.16% 2 1.41% 3 2.57%
1952-4 -0.59% 2 -0.04% 3 0.88% 4 0.79% 5 0.66% 6 0.12% 1 1.83%
1956-4 1.02% 4 0.23% 5 -0.43% 1 -0.76% 2 0.54% 3 -0.06% 4 0.53%
1960-4 0.43% 4 0.00% 5 -0.21% 1 -0.14% 2 -0.22% 3 -0.57% 4 -0.72%
1964-4 0.01% 1 -0.18% 2 0.23% 3 0.28% 4 -0.06% 1 -0.20% 2 0.08%
Avg 0.16% 0.08% 0.05% 0.01% 0.42% 0.14% 0.86%
1968-4 0.10% 5 -0.10% 1 0.68% 2 0.82% 3 -0.10% 4 0.70% 5 2.10%
1972-4 0.85% 4 -0.21% 5 -0.20% 1 -0.12% 2 -0.63% 3 0.67% 4 0.34%
1976-4 1.15% 3 -0.55% 4 0.00% 5 -0.43% 1 -0.39% 2 0.75% 3 0.53%
1980-4 -2.96% 1 -0.09% 2 -0.51% 3 -0.47% 4 2.50% 5 1.40% 1 -0.13%
1984-4 0.11% 5 -0.12% 1 0.40% 2 1.64% 3 -0.23% 4 -0.21% 5 1.59%
Avg -0.15% -0.22% 0.07% 0.29% 0.23% 0.66% 0.89%
1988-4 -2.07% 4 -1.84% 5 -0.17% 1 0.78% 2 -0.77% 3 0.32% 4 -3.75%
1992-4 -0.25% 2 -0.33% 3 0.08% 4 -1.07% 5 -0.12% 1 0.17% 2 -1.52%
1996-4 0.22% 5 -0.09% 1 0.45% 2 -0.62% 3 0.01% 4 -0.53% 5 -0.56%
2000-4 0.01% 5 -0.24% 1 -1.06% 2 0.05% 3 -1.37% 4 0.72% 5 -1.89%
2004-4 -0.24% 3 1.64% 4 -0.10% 5 1.30% 1 0.40% 2 -0.07% 3 2.93%
Avg -0.47% -0.17% -0.16% 0.09% -0.37% 0.12% -0.96%
SPX summary for Presidential Year 4 1928 - 2004
Averages -0.08% -0.30% -0.10% 0.09% 0.30% -0.02% -0.12%
% Winners 55% 15% 35% 45% 50% 55% 55%
MDD 3/31/1932 7.93% -- 3/28/1988 4.03% -- 3/27/1980 4.00%
SPX summary for all years 1928 - 2007
Averages -0.14% -0.10% -0.03% -0.04% 0.00% -0.17% -0.47%
% Winners 48% 35% 48% 53% 45% 42% 53%
MDD 3/31/1938 14.05% -- 3/31/1939 9.03% -- 3/31/1932 7.93%

 

Conclusion

The high level of volatility and diminishing number of new lows suggests we saw a short term low last Monday.

I expect the major indices to be higher on Friday March 28 than they were on Friday March 21.

Last weeks negative forecast was a miss.

By Mike Burk
To subscribe to this report : http://alphaim.net/signup.html

Gordon Harms produces a Power Point for our local timing group. You can get a copy of that at: http://www.stockmarket-ta.com/ .

Disclaimer: Mike Burk is an employee and principal of Alpha Investment Management (Alpha) a registered investment advisor. Charts and figures presented herein are believed to be reliable but we cannot attest to their accuracy. Recent (last 10-15 yrs.) data has been supplied by CSI (csidata.com), FastTrack (fasttrack.net), Quotes Plus (qp2.com) and the Wall Street Journal (wsj.com). Historical data is from Barron's and ISI price books. The views expressed are provided for information purposes only and should not be construed in any way as investment advice. Furthermore, the opinions expressed may change without notice.

Mike Burk Archive

© 2005-2022 http://www.MarketOracle.co.uk - The Market Oracle is a FREE Daily Financial Markets Analysis & Forecasting online publication.


Post Comment

Only logged in users are allowed to post comments. Register/ Log in