Sunday, October 04, 2015 10:53:09 PM
Graphs of my spectral model
I finally got around to figuring out the file upload feature. I hope this works.
------------ Top chart ------------
The model in pink.
The moving average is yellow.
The model is equal to the sum of the moving average + Filter 1 + Filter 2
The model correlates to the market with a score of 0.9168. This is a very strong reading since a score of 1.0 would be perfect correlation (identical data series).
The model has rolled over a month after the market rolled over. The fact that the market and model have rolled over is not sufficient to call a top. The outputs of BOTH filters must also have rolled over to reduce false major top signals.
----------- Bottom Chart --------------------
The second chart shows the outputs from the 2 filters.
Filter 1 is red. Its output has a period of about 7.5 years.
Filter 2 is blue. Its output has a period of about 3.5 years.
At the major tops of 2000 and 2007, BOTH filter outputs made tops.
Presently, Filter 2 has topped, is entering the segment of steepest descent, and has 200 more days until it reaches a bottom, and has topped out before Filter 1.
Presently Filter 1 has also topped; however, its effects won't be felt for another 6 months.
Sinusoids can be used to fit and estimate a more accurate trajectory than "down". Just knowing the market has topped and is heading down for YEARS is sufficient to reason to liquidate the portfolio.
I finally got around to figuring out the file upload feature. I hope this works.
------------ Top chart ------------
The model in pink.
The moving average is yellow.
The model is equal to the sum of the moving average + Filter 1 + Filter 2
The model correlates to the market with a score of 0.9168. This is a very strong reading since a score of 1.0 would be perfect correlation (identical data series).
The model has rolled over a month after the market rolled over. The fact that the market and model have rolled over is not sufficient to call a top. The outputs of BOTH filters must also have rolled over to reduce false major top signals.
----------- Bottom Chart --------------------
The second chart shows the outputs from the 2 filters.
Filter 1 is red. Its output has a period of about 7.5 years.
Filter 2 is blue. Its output has a period of about 3.5 years.
At the major tops of 2000 and 2007, BOTH filter outputs made tops.
Presently, Filter 2 has topped, is entering the segment of steepest descent, and has 200 more days until it reaches a bottom, and has topped out before Filter 1.
Presently Filter 1 has also topped; however, its effects won't be felt for another 6 months.
Sinusoids can be used to fit and estimate a more accurate trajectory than "down". Just knowing the market has topped and is heading down for YEARS is sufficient to reason to liquidate the portfolio.
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