By How Much Is The Market Oversold Right Now?

[shortie]

Quote from denner:

The market roughly doubled off of the lows set in early 2009. The market retraces single digits and "Shortie" posts a loaded question and gets a bit ruffled if anyone challenges the illogical nature of the question.

Kind of reminds me of "Nine-Ender" who never saw a chart that was anything but bullish.

Are you saying that an "oversold" level is much lower?

We bounced up since I posted the thread, did not we? To me this supports my argument that we indeed were oversold (short-term).

p.s. i am somewhat puzzled by your phrase "the illogical nature of the question". my arguments were very logical as far as i can tell.

 

[Low Roller]

Quote from Locutus:

Of course Europe didn't really mimic that trend for the most part so I don't expect it to mimic this either as there aren't as many momo monkeys to shake out of the tree. Also Europe should outperform US for the remainder of 2011, there is really nobody paying attention to us even though growth forecasts for Europe are actually being revised upwards for some countries by the IMF.

What are momo monkeys? What did you mean by that? New to this, don't know the slang.

 

[shortie]

Independence Day has one of the most pronounced Long biases among the major holidays in US. This year the time to buy is on Thursday and Friday if one believes into this type of biases. Of course this time around we also have the Greek vote on Wed and Thur so it could be interesting.

 

[tradingjournals]

Shortie: what is the source of the stats? Thanks

 

[noddyboy]

Quote from shortie:

Independence Day has one of the most pronounced Long biases among the major holidays in US. This year the time to buy is on Thursday and Friday if one believes into this type of biases. Of course this time around we also have the Greek vote on Wed and Thur so it could be interesting.

I am sorry, but this is useless as the holding periods are different, so it is not even the same return or volatility adjusted

 

[shortie]

Quote from noddyboy:

I am sorry, but this is useless as the holding periods are different, so it is not even the same return or volatility adjusted

the returns must have been normalized and should be directly comparable. are they 1 and 2 day returns annualized?

i am assuming that what stockcharts.com did (where i got the table)

 

[noddyboy]

Quote from shortie:

the returns must have been normalized and should be directly comparable. are they 1 and 2 day returns annualized?

i am assuming that what stockcharts.com did (where i got the table)

It says "sell at year end".

So new year would have a 365 day holding period.

 

[shortie]

i would check it myself but i don't know how to code the holidays.

what you say does not make sense given the data in the table. how do you explain "buying 1 day" and "buying 2 days" to have >20% difference in some cases?

 

[noddyboy]

Quote from shortie:

i would check it myself but i don't know how to code the holidays.

what you say does not make sense given the data in the table. how do you explain "buying 1 day" and "buying 2 days" to have >20% difference in some cases?

I am not trying to explain the table. I am just reading it at face value. It says buy 1-2 days before, and sell at year end. That should favor holidays that occur earlier in the year if the long term up bias holds. (It also depends on whether we are doing a 2007-2011 backtest or for much longer.)

I agree that we go up before holidays. I just don't know how to use the data unfortunately. You are also right -- how can there be a 20% return on T-2 to T-1, if you take the difference of the strategy.

 

[noddyboy]

Quote from shortie:

i would check it myself but i don't know how to code the holidays.

what you say does not make sense given the data in the table. how do you explain "buying 1 day" and "buying 2 days" to have >20% difference in some cases?

Because I like you...

here you go


3 Day Before 2 Day Before Holiday Day Before Holiday Day After 2 Day After All Days
-0.02% 0.09% 0.04% 0.15% -0.09% 0.04%