Hindenbrug Omen effekten
Just nu spökar Hindenburg Omen för USA-börserna.
Men nedanstående statistik för Nasdaq-terminer visar positiv avkastning för 13 dagar efter 18 oktober - 90 procent visar positiv.
Date t+11 t+12 t+13 t+14 t+20
10/18/1996 -0.3 1.2 3.7 4.5 5.2
10/17/1997 -2.0 -2.4 -2.7 -3.9 -4.3
10/16/1998 9.5 7.5 10.2 10.9 12.6
10/18/1999 10.7 13.0 14.1 16.7 21.4
10/18/2000 5.1 6.3 5.6 5.0 -1.2
10/18/2001 6.6 10.1 14.4 14.3 18.2
10/18/2002 8.6 9.5 11.3 7.2 10.9
10/17/2003 3.3 2.7 3.4 3.9 1.1
10/18/2004 2.8 3.5 4.0 5.0 7.3
10/18/2005 4.0 5.3 5.5 5.6 6.8
10/18/2006 0.1 -0.1 1.3 2.1 5.0
10/18/2007 NaN NaN NaN NaN NaN
Avg 4.4 5.1 6.4 6.5 7.6
AvgPos 5.6 6.6 7.3 7.5 9.9
AvgNeg -1.2 -1.2 -2.7 -3.9 - 2.8
PctPos 81.8 81.8 90.9 90.9 81.8
PctNeg 18.2 18.2 9.1 9.1 18.2
Maximum 10.7 13.0 14.4 16.7 21.4
Minimum -2.0 -2.4 -2.7 -3.9 -4.3
StdDev 4.2 4.7 5.4 5.7 7.8
ZStat 1.1 1.1 1.2 1.1 1.0
TScore 3.5 3.6 3.9 3.8 3.2
Date t+11 t+12 t+13 t+14 t+20
#1
Jason säger såhär om när Hindenburg sker nära all-time-high:
date Oct 19, 2007 8:08 PM
subject Re: Hindenburg
I have reservations about the indicator - too much like data-mining for my taste - but it does still have a good track record in out-of-sample application.
I checked for any time it occurred on two consecutive days while the S&P 500 was within 3% of a yearly high at the time. That came up with 13 unique instances, and a three-month average return of -2.5% with 10 of them negative. The average max gain of +3.1% was less than half the average max drawdown of -7.5%. So as far as "just coming off all-time highs" anyway, I?m not sure that?s a saving grace.
Jason
Visa sida
Ogilla! 3
Gilla!
Is the Hindenburg a Bad Omen?
For the past three days, the market has triggered another one of these "market crash" signals, called the Hindenburg Omen. It is triggered when at least 2.2% of all stocks on the NYSE hit a new high, and also 2.2% or more hit a new low - highlighting those times when we have a wide split in breadth.
" When your hairdresser starts giving you stock tips, get out quick and wait..." mvh SPX 970