Pullback % swings in Bull/Bear markets.

[insight]

I'm presently reading 'New Market Wizards' for the umpteenth time and I was inspired to review my research into swing points in the SPI (Aussie share market futures index) after reading the interview with Victor Sperandeo.

Sperandeo did historical research into the statistics of percentage moves in bull and bear markets. One of his findings was the median magnitude for the length and magnitude of bull moves was 107 days and 20%. He thought the 20% move of bull upswings to be quite a powerful guide.

I have done my own research into swing speeds in the SPI and duration before but hadn't thought of this in % terms before, I guess this might be touching on Fib ideas to some extent.

Thought I would run my software over the recent SPI bull market and see what it found, not really enough data to be reliable but it's interesting none the less I think.

The first large swing is what I believe Larry Williams calls a commercial bull market, one that goes pretty much straight up withough serious corrections. Since then it's been more of a speculative bull market in my opinion.

SPI Swing Points
2742 14/3/2003 (bull market start)
4295 +56.64% 25/3/2005
3931 -8.47% 6/5/2005
4693 +19.38% 30/9/2005
4302 -8.33% 21/10/2005
4831 +12.30% 13/1/2006 (unfinished s point)

The 20% figure is really just a guideline according to Sperandeo, what it allowed him to do is add more weight to bearish patterns for example if the bull swing had extended more than 20% and things like that.

The current bull upwswing would reach 20% at 5162.

Food for thought.

Has anyone done any quant research or is aware of any relating to % swings in market moves? Presumably it would be with the US market for you guys but thats ok as well

 

[murray t turtle]

Quote from insight:

I'm presently reading 'New Market Wizards' for the umpteenth time and I was inspired to review my research into swing points in the SPI (Aussie share market futures index) after reading the interview with Victor Sperandeo.

Sperandeo did historical research into the statistics of percentage moves in bull and bear markets. One of his findings was the median magnitude for the length and magnitude of bull moves was 107 days and 20%. He thought the 20% move of bull upswings to be quite a powerful guide.

I have done my own research into swing speeds in the SPI and duration before but hadn't thought of this in % terms before, I guess this might be touching on Fib ideas to some extent.

Thought I would run my software over the recent SPI bull market and see what it found, not really enough data to be reliable but it's interesting none the less I think.

The first large swing is what I believe Larry Williams calls a commercial bull market, one that goes pretty much straight up withough serious corrections. Since then it's been more of a speculative bull market in my opinion.

SPI Swing Points
2742 14/3/2003 (bull market start)
4295 +56.64% 25/3/2005
3931 -8.47% 6/5/2005
4693 +19.38% 30/9/2005
4302 -8.33% 21/10/2005
4831 +12.30% 13/1/2006 (unfinished s point)

The 20% figure is really just a guideline according to Sperandeo, what it allowed him to do is add more weight to bearish patterns for example if the bull swing had extended more than 20% and things like that.

The current bull upwswing would reach 20% at 5162.

Food for thought.

Has anyone done any quant research or is aware of any relating to % swings in market moves? Presumably it would be with the US market for you guys but thats ok as well

================
Yes;
excellant read,insight.

Vic had some helpful insights;
Charles Dow [Dow Jones] ,1851 , had some timely help also.

Main trend averages-''4-6 years'';
secondary [medium] trend ranging from ''10-60 days''

Course have to factor in if a sector is losing market share, like USA autos, or more demand on oil/gas;
or they are wrongly getting in a fight with SEC/Justice dept.

Double checked it, markets traded;
average, median & mode.

 

[nazzdack]

It's decent research but you have to remember that those numbers are "averages". Future retracements can still be of any percentage magnitude. Don't let a small loss become a huge loss just because a market makes a 20% reversal, you buy it, but then the retracement becomes 21%, 22%, 23%, 25%, 30% and on and on.

 

[murray t turtle]

50% is a helpful downtrend number also & ;
not being critical, because study DIA-DOW also;
Dow= long lived/much studied & usually an underperformer , consistently.

My favorite downtrend NYSE stock, apparently not many read Victor/Schwager ,who trade/invest it;
reversals average nicely bigger numbers than his average.

And a strong uptrender stock seems to shrug off all profit targets also [GOOG sure did]& yet trader Vic does write a very helpful book also.

Need to factor in also a personality/individual market, hardly ever much late on downtrend exits;
but like to squeeze most all the apple juice out oh a high liquid uptrending stock, let it run.

 

[turtlelogic]

Let the markets go where it wants to go! Fib retracement is nothing but a helpful guide. Certainly a bounce off above a 50% retrace level is stronger than one below it. The key is assessing where the support levels are and how close the trading vehicle will bounce off it. Also how it has been moving in different timeframes as each stock or whatever you are trading has their own individual personality. If it doesn't bounce off the supports, then it is time to cut it off. he-he

 

[insight]

Thanks for the replies:

Updated figures for the SPI as of July 14 2006.

274214/3/2003 (bull market start)
4295 +56.64% 25/3/2005
3931 -8.47% 6/5/2005
4693 +19.38% 30/9/2005
4302 -8.33% 21/10/2005
5393 +25.26% 12/5/2006
4741 - 12.0% 16/6/2006
????+ ?? % on ??

 

[krazykarl]

Quote from insight:


The 20% figure is really just a guideline according to Sperandeo, what it allowed him to do is add more weight to bearish patterns for example if the bull swing had extended more than 20% and things like that.

what is the avg duration of bear swings in bull markets?

 

[nazzdack]

God Damm! I thought this thread seemed familiar. You'll get your "downside" during September and October. Be patient until then. Remember, loss minimization is more valuable than research maximization.