SPX 200 SMA in 下跌趋势和上升趋势的统计时间天数

silicon_beaver

Hutong小熊 just published 关于熊市长度的一些统计数字和特点。

For curiosity, I quantitatively calculated SPX 200 SMA in 下跌趋势和上升趋势的统计时间天数, according to 小熊’s advice “从200日线转折向下跌开始，到200日线转折向上涨为止。”

i.e.

• start: 200 SMA slope < 0
• end: 200 SMA slope > 0

I calculated consecutive days during 下跌趋势和上升趋势。Below is the statistical result, using yahoo finance data (from Jan 01 1950).

How to define "Bear market" has various discussions, NOT covered here.

However mathematically, we can see event of consecutive days of 200 SMA in 下跌趋势 > 200 days, happened seven times from 1950. The table below says the seven events, lasted 230, 262, 287, 317, 354, 393, 433 days respectively.
Meanwhile, event of consecutive days of 200 SMA in 上升趋势 > 200 days, happened 21 times, three times of the events of in 下跌趋势.

哈哈, seems go long (three times ) better than go short.

note:
+: slope > 0
 -: slope < 0

silicon_beaver

Mathematically,
we can see event of consecutive days of 200 SMA in 下跌趋势 > 200 days, happened seven times from 1950.
Meanwhile, event of consecutive days of 200 SMA in 上升趋势 > 200 days, happened 21 times, three times of the events of in 下跌趋势.

Obviously, go long (three times ) better than go short, in viewpoint of "long-term".

The recent 下跌趋势 from Aug 08 2011 doesn’t form a “SECULAR BEAR MARKET” by now, consecutive days of 200 SMA in 下跌趋势, were 41 days and 29 days (separated by 10/28/2011), far less than 200 days.

cw8888

acoust

QWE

silicon_beaver 发表于 2012-1-7 17:44
Mathematically,
we can see event of consecutive days of 200 SMA in 下跌趋势 > 200 days, happened se ...

可能有些概念我没说清楚。SECULAR BEAR MARKET指的是大概15年左右的一段时间，这期间股市总体不涨或下跌。而200日线持续下跌的日子用你的算法可能会误算，可能把中间短期几天或一两个月的转折算成了新的一段上涨或新的下跌，这种短时间的趋势的变化应该不算是大趋势变化。还有，你可能把SECULAR BULL MARKET期间的下跌趋势也算进去了，这是大约20年的连续上升趋势，中间也会有突然的大跌，比如1987年的大跌，但这些大跌的规律跟SECULAR BEAR MARKET期间的熊市不同，下跌时间比较短，我把它们称作短熊吧。

SECULAR BEAR MARKET（1929-1943，1968-1983，2000-今天）期间有-----熊市
SECULAR BULL MARKET期间有-----短熊

计算方法嘛，可以用另外一个简单的方法大致算一算，就是从200日线大于300日线算起，到300日线大于200日线为止。这样算可以避免中间的小波动给出的间断误差。更准确点，就是把上面算出的起始和终点日期往前推500天找到其中的最高点和最低点。你可以在YAHOO找DOW的数据来算

NYQ

QWE

我上面写错了，熊市计算应该是从300日线超过200日线开始算起，到200日线重返超过300日线为止

silicon_beaver

QWE 发表于 2012-1-8 13:53
我上面写错了，熊市计算应该是从300日线超过200日线开始算起，到200日线重返超过300日线为止

I had done. It's here

http://www.hutong9.net/home.php? ... o=blog&id=38252


Full calculation, a set of 16 cases.

http://www.hutong9.net/home.php? ... o=blog&id=38229