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Dow Jones Industrial Average - Bearishness to Continue 
DJIA.AThursday, June 18, 2009
By Anthony Kolton
Stocks fell for the third day in a row on Wednesday, with the Dow Jones Industrial Average (DJIA) dropping 0.1% (7.49 points) after crossing below the average value over the last 200 days on Tuesday and experiencing a 'big' 2.1% drop on Monday. The five-day decline is 'large' for the third day also, with a 2.8% drop as of Wednesday's close at 8,497.18.
Q: How has the Dow performed in the past (since 1959) when, two days before the third Friday of the month the Dow has declined three days in a row, with a decline of at least -0.5% on the previous day, and -1.0% two days previous?
A: According to the 9 previous occurrences of this event, EventEdge indicates that DJIA.t has shown a very strong bearish edge that peaks 5 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Wednesday, 17 June 2009) is Wednesday, 24 June 2009. DJIA.t declines in 100% of the cases (9 of 9) by an average of -2.2% relative to the close on the event date. The overall return of the 9 cases is -2.2%, which, based on the close of DJIA.t on the event date (8,497.18), provides a target price of 8,310.24.
Anthony Kolton2 is president of Logical Information Machines3 and Markethistory.com, Inc.
 |
Let variable values:
@ = DJIA
theEvent = IF
Date is 2 days before 3rd Friday of the month
AND
DJIA is down
AND
DJIA 1 day ago is down more than 0.5 %
AND
DJIA 2 days ago is down more than 1.0 %
AND
Date is after 1959
THEN 1
ENDIF
Date Day t+5 t+6 t+7 t+8 t+10
01/13/1960 Wed -1.9 -1.7 -1.6 -2.6 -2.9
07/13/1960 Wed -1.3 -2.4 -3.5 -4.8 -4.8
06/13/1962 Wed -1.9 -4.1 -6.1 -6.5 -6.5
02/19/1969 Wed -2.4 -2.2 -1.8 -0.6 -1.2
05/13/1970 Wed -2.5 -4.1 -4.6 -7.6 -4.4
11/14/1973 Wed -1.7 -1.8 -5.2 -6.0 -4.0
08/14/1974 Wed -3.9 -4.8 -7.3 -7.1 -10.0
10/18/1978 Wed -3.4 -4.5 -6.2 -5.6 -3.7
05/19/1982 Wed -0.9 -1.3 -2.0 -2.5 -2.3
06/17/2009 Wed NaN NaN NaN NaN NaN
Avg -2.2 -3.0 -4.2 -4.8 -4.4
AvgPos NaN NaN NaN NaN NaN
AvgNeg -2.2 -3.0 -4.2 -4.8 -4.4
PctPos 0.0 0.0 0.0 0.0 0.0
PctNeg 100.0 100.0 100.0 100.0 100.0
Maximum -0.9 -1.3 -1.6 -0.6 -1.2
Minimum -3.9 -4.8 -7.3 -7.6 -10.0
StdDev 1.0 1.4 2.1 2.4 2.6
ZStat -2.3 -2.2 -2.0 -2.0 -1.7
Variance 1.0 1.9 4.5 5.7 6.6
10 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://www.markethistory.com/staff/detail.html?s=kolton
3 http://www.lim.com/