Econocasts business cycle chronicles

2012.01.27 Experimental DJIA $ Gold % Silver Ultra Short-Term

noreply@blogger.com (Paolo) — Sat, 28 Jan 2012 11:33:00 +0000

2012.01.27 Weekly Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Fri, 27 Jan 2012 23:50:00 +0000

2012.01.13 Experimental DJIA $ Gold % Silver Ultra Short-Term

noreply@blogger.com (Paolo) — Sat, 21 Jan 2012 03:57:00 +0000

These are experimental.

2012.01.13 Experimental Silver Ultra Short-Term

noreply@blogger.com (Paolo) — Fri, 13 Jan 2012 15:34:00 +0000

I executed the same routines as I did for the experimental DJIA, and while I don't use these cycle models to inform short term trades, this looks promising. Unfortunately, as I mentioned, it is much more CPU intensive than the usual cycle model and short-term trading model I normally use. I may try it for the Gold time series.

2012.01.13 Weekly Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Fri, 13 Jan 2012 14:56:00 +0000

The models are all working within specs and the predicted trends are down.

Have a great weekend!

2012.01.11 Experimental Amex Oil Index

noreply@blogger.com (Paolo) — Wed, 11 Jan 2012 21:27:00 +0000

While still in the experimental stage, I am amused by the parallelism between this and all the other cycle charts. Deflation?

2012.01.06 Weekly Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Fri, 06 Jan 2012 19:37:00 +0000

If the DJIA model is right, then the ending diagonal should break out to the downside. Next week will reveal much!

2012.01.05 Experimental DJIA Ultra Short-Term

noreply@blogger.com (Paolo) — Thu, 05 Jan 2012 17:31:00 +0000

This experimental model is an extension of the current model, with the addition of some routines that perform pattern matching at a higher resolution. Unfortunately, it is heavily CPU intensive, and I'm running a 48 CPU cluster, so I am not kidding when I say CPU intensive.

2012.01.03 Interim Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Tue, 03 Jan 2012 22:17:00 +0000

This takes the place of the usual Wednesday update since this week I cannot update Wednesday. So it is the first update of the Gregorian New Year.

It is always a bad sign when reality trends at 90 degrees to the model prediction. So - I think this week, either the DJIA breaks down, or the model breaks down. So far, the model for the DJIA converges quickly, so there is still hope. For the model that is.

The blog seems to get a lot of visitors from Germany, so I decided to see if I could work with the DAX and put up a DAX model chart. I am still processing it so it may be a few days and like the AMEX Oil Index, I may not get a chance to fully backtest it. It covers a short time period in relation to other models, but so far it looks reasonable.

2012.01.01 Monthly Long Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Sun, 01 Jan 2012 22:16:00 +0000

Index / Actual / Predicted / Z-score

DJIA / 12217.56 / 11062.13 / -2.18
Gold / 1574.50 / 1549.91 / -0.71
Silver / 2818 / 2823 / 0.12

If one were to believe the Z-score, it seems the DJIA is under more downward pressure than Gold or Silver. I hope everyone reading has a healthy and productive New Year!

2011.12.28 Interim Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Wed, 28 Dec 2011 15:20:00 +0000

Index / Actual / Predicted / Z

DJIA / 12151.41 / 11279.06 / -1.47
Gold / 1584.00 / 1503.54 / -2.24
Silver / 2865 / 2813 / -0.50

I guess I might as well enjoy when the PM curves are closely convergent - since it probably will not last too long!

2011.12.23 Weekly Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Fri, 23 Dec 2011 15:16:00 +0000

Index / Actual / Predicted / Z-score

DJIA / 12294.00 / 11314.90 / -1.63
Gold / 1607.50 / 1512.43 / -2.62
Silver / 2922 / 2882 / -0.37

I have advanced the charts to start mid-2011 and end mid-2013. The prediction curves or "attractors" have a steep negative slope going forward. If the models are correct, I would expect continued downward pressure on both precious metal and equity prices.

2011.12.18 Experimental Amex Oil Index (XOI)

noreply@blogger.com (Paolo) — Sun, 18 Dec 2011 20:56:00 +0000

Actual / Predicted / Z-score
1170.19 / 1174.97 / 0.17

I have not kicked the tires on this model so it still rates as experimental. Originally I produced it as a favor to Zero_Sum from daneric's site. Here it is again, warts and all.

Previous iterations below:.

2011.10.12 - AMEX Oil Index (XOI.X)
2011.09.25 - AMEX Oil Index (XOI.X)
2011.09.14 - AMEX Oil Index (XOI.X)
2011.08.24 - AMEX Oil Index (XOI.X)

2011.12.09 Weekly Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Fri, 09 Dec 2011 15:23:00 +0000

Index / Actual / Predicted / Z-score

DJIA / 12184.26 / 11192.44 / -1.67
Gold / 1712 / 1585 / -3.32
Silver / 3200 / 2966 / -2.05

2011.12.09 Monthly Long Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Fri, 09 Dec 2011 15:15:00 +0000

Monthly Long Term Charts - Data to 2011.12.09

Index / Actual / Predicted / Z-score

DJIA / 12184.26 / 11192.44 / -1.67
Gold / 1712 / 1585 / -3.32
Silver / 3200 / 2966 / -2.05

2011.12.02 Weekly Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Fri, 02 Dec 2011 15:26:00 +0000

Index / Actual / Predicted / Z-score
DJIA / 12019.42 / 11118.52 / -1.54
Gold / 1751.00 / 1544.00 / -5.36
Silver / 3315.00 / 2900.43 / -3.60

2011.11.30 Interim Long Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Wed, 30 Nov 2011 15:27:00 +0000

Index / Actual Price / Predicted Price / Z-score

DJIA / 12045.68 / 11079.58 / -1.65
Gold / 1717.00 / 1551.58 / -4.33
Silver / 3135.00 / 2855.05 / -2.53

My bias, given the low volume rally, is that the end of the month spike in the DJIA and PM's was an aberration and prices should adjust down in the very near future. For the DJIA, the predicted price is again at historical levels below the actual price, which has not lasted longer than 5-10 trading days in the past. The same can be said for the PM's. The usual short term predictions will be available late Friday.

2011.11.25 Weekly Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Fri, 25 Nov 2011 19:08:00 +0000

The cycle models converged immediately. After the price action of the last week, I am less worried that they are self-consistent but wrong. Given the way UST prices are going, along with the above, I think deflation will continue for some time.

2011.11.18 Weekly Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Fri, 18 Nov 2011 15:45:00 +0000

I expect downward pressure on prices to continue. All three models converged immediately.

Index/Actual/Predicted/Z-score

DJIA/11798/11154/-1.10
Gold/1730/1586/-3.72
Silver/3225/2873/-2.96

Have a great weekend!

2011.11.11 Weekly Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Sat, 12 Nov 2011 01:04:00 +0000

The quick convergence of all three models suggests that if they are wrong, they are wrong in the right way. On the other hand, if they are still predictive, they are all stretching to historical maxima. This suggests if there is a reversal, it will be quite steep.

Index / Actual / Predicted / Z-score
DJIA / 12153.68 / 11252.09 / -1.52
Gold / 1764.00 / 1582.93 / -4.67
Silver / 3377 / 2906 / -3.85

-----------------------------------------
To save time, I will only post the long term predictions on a monthly basis, since week to week differences are trivial. If there is a major phase change in the model, as occurred with silver a while back, I will post it and note it. Have a great weekend!

2011.11.08 Interim Short Term DJIA $ Gold $ Silver

noreply@blogger.com (Paolo) — Wed, 09 Nov 2011 22:13:00 +0000

All prices are close to historical extremes even after today. If the past has any say, the actual price curves should now drop below the predictor curves.

2011.11.04 Weekly DJIA Long $ Short Term

noreply@blogger.com (Paolo) — Fri, 04 Nov 2011 21:55:00 +0000

Today, the model converged within a couple of minutes, and with a better fit after chugging all night to converge yesterday. I am still expecting a major correction with a steep downward slope, maybe in the next week or two, if the model is working out.

Since these cycle models try to adapt to new data, the predicted turning points may change with time, so it is helpful to look back at earlier models to get an idea of model behavior.

2011.11.02 Interim DJIA Long $ Short Term

noreply@blogger.com (Paolo) — Wed, 02 Nov 2011 22:09:00 +0000

You can see that there is a smaller ~ 3 to ~4 month cycle here superimposed on the larger set of cycles headed down. The large improvement in overall fit results because it appears to operate back to 1896 with some variations on the theme.

2011 10.30 Weekly DJIA Long $ Short Term

noreply@blogger.com (Paolo) — Sun, 30 Oct 2011 18:11:00 +0000

After updating, the model discovered a short period cycle resulting in a much better overall fit. Had the model not converged, it would have been thrown out. There is still a high discrepancy between the actual and predicted price, though not quite large as before.

2011.10.28 Interim Gold Long $ Short Term

noreply@blogger.com (Paolo) — Fri, 28 Oct 2011 12:23:00 +0000

From this model's perspective, this is an almost six-sigma event.

This is so weird that I'm going to hold off judging whether the model is valid. A week or two and the answer should be obvious. Maybe.