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Strategies & Market Trends : Steve's Channelling Thread
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To: Zeev Hed who wrote (27926)9/18/2001 11:01:16 PM
From: TRINDY  Read Replies (1) of 30051
 
Zeev--I've got some statistical support for your belief that the bottom is nye. I did what I think is an interesting time-series regression tonight. I ran the equation ln(Y) = a + b Time for the S&P 500, using daily observations from 1980 - 1993. The slope-term works out to be .000439, which when multiplied by about 250 trading days per year yields an average annual rate of growth of 11%. Then I took that 80-93 trend and extrapolated to present day. The extrapolated value for 9/17/01 is 1178 versus an actual of 1039. Stated otherwise, we are already below the 80-93 trend. Doesn't mean we cannot go lower, of course. In the 90-91 recession, we maxed out at about 15% below the long-term trend. We are now at about that 15% below long-term trend level.

What is interesting is that the results are similar for the Nasdaq. Here the data state in 10/88. The 10/88 - 93 slope works out to be .000517 for a 12.9% annual return. Extrapolating the trend to present day yields a value of 1966 in comparison to a closing value of 1579 on 9/17. We are as of today 400 points below the 10/88 - 93 trend. We maxed out at about 30% below trend in the 90-91 recession on the Naz. Currently about we are about 20 percent below that trend.

Thought you might find these results interesting. They are certainly helping me convince myself that the bottom may well be near.

Thanks for your contributions. Incredible how dead this thread is when you are not around.

Cheers!
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