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Strategies & Market Trends : General market lab and commentary

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Nov 12 4:00 PM EST

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To: Robohogs who wrote (357)	4/25/2016 8:20:14 AM
From: Robohogs	of 668

I ran my own sample of this study and came up with different numbers first of all, but more importantly with information indicating that the conclusions drawn are actually full of it. I started with late 1952, and had one extra example then. I will check the other results to see if my methodology worked or if I flubbed a step, but for now, I came up with this year and 28 other examples (including the extra early one), so call it 27 overall. I also came up with 2 cases where the market did not go higher within 8 weeks - 1952 and 2011. Furthermore, I came up with between 15-20% of examples being down at 8 weeks, slightly more than the 15% referenced. The 8 week returns were solid at 1.55% (have not run report to get average for period but should be similar methinks). Half year returns became negative though. Overall numbers through the period were 1.29% at 8 weeks (26 bps less than the selected sample) and 3.7% for the highest return in first 8 weeks post the signal, less than wish% for the signals. This is not all that surprising as the signals use a ton of energy to get the 8 week move, and so we likely don't get the huge moves of some other weeks. Jon

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