Via ETF Prophet, here is an interesting post that I’ve been meaning to put up here for a couple of weeks. I find it very interesting and think it is something that readers here will appreciate.
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Posted by Mrkt_Rwnd
December 14th, 2011
“Trapped Between the Living and the Dead Again,” the film poster tagline reads.
By one measure, the retrace from 252-day highs, this bear market has been mild in nature, politely reversing on a dime October 4 at the official -20% mark, currently registering a mild -7% (12/13/11).
For all the dramatic daily swings, even the VIX has remained within typical “event-type” range readings sub-fifty with today’s indication just a meek 25. However, I have begun to wonder about the third dimension, namely time.
To measure time in a bear market, I used the 200-day moving average of the S&P 500/ SPY back through 1994 as a benchmark in two simple ways to reduce noise.
The first was to measure the duration of instances where the 10-day moving average was below the 200-day moving average. The second was to measure the duration of instances where the 5-day simple moving average of the 200-day average was below its 10-day counterpart (i.e. the 200-day moving average was falling).
A histogram of the two approaches is provided below:
Be sure to click on over to Trapped in No Man’s Land to read the rest of the analysis.
Happy New Year to all the excellent guys over at ETF Prophet!
