Monday, May 29, 2017

Maybe "Sell In May..." Is In Play

Based on 4 separate computer models I'm looking for a general drop in the U.S. markets in the coming 2 to 3 weeks.

In particular note the rise in the VIX while the bottom four are general market indexes.  And leading the downers is Transports; didn't Chas. Dow use the Transports as a leading indicator for the general market?

We shall see...


Symbol Day 0 Day 1 Day 2 Day 3 Day 4 Day 5 Day 6 Day 7 Day 8 Day 9 Average
^VIX 9.32% 11.23% 12.11% 10.08% 20.39% 14.29% 14.42% 28.01% 24.01% 12.35% 15.62%
^XNG 1.32% 5.01% 3.08% 2.90% 3.16% 2.34% 0.84% 0.47% 2.91% 1.94% 2.40%
^BANK 0.79% 0.73% 3.47% 3.39% 4.00% 3.31% 0.72% 1.52% 1.56% 2.39% 2.19%
^IXTC 1.05% 0.99% 0.90% 0.70% 1.35% 1.84% 0.68% -0.50% -0.02% 1.49% 0.85%
^HGX -1.48% 1.21% 1.09% 0.48% 0.25% 0.34% 0.18% 0.81% 0.91% 1.46% 0.52%
^XAU -2.36% -0.65% 0.07% 1.41% 1.48% -0.28% 0.59% 0.55% 1.48% 2.69% 0.50%
^HUI 0.17% 2.17% -0.79% -1.76% -1.85% -1.47% 1.75% 1.88% 0.05% 1.82% 0.20%
^XOI -0.79% 0.51% -0.50% -0.29% 0.73% 0.29% 0.80% -0.84% 1.82% -0.38% 0.13%
^NBI 0.20% -0.18% -0.24% 0.11% 0.57% 0.93% -1.37% 0.02% -0.72% -1.46% -0.21%
^INSR -0.52% -0.53% -0.56% 0.12% -0.78% 0.06% -1.08% -0.65% -0.67% 1.06% -0.36%
^IXCO -0.51% -1.01% -1.40% -1.06% -0.56% 0.09% -1.94% -1.70% -1.06% 0.41% -0.87%
^NASD -0.32% -0.18% -1.65% -1.57% -0.98% -0.58% -1.91% -1.42% -1.44% -0.11% -1.02%
^INDS -0.83% -1.42% -1.63% -1.11% -1.46% -1.43% -2.59% -2.15% -1.51% 0.34% -1.38%
^SP500 -0.38% -1.64% -1.52% -1.74% -1.89% -1.41% -1.48% -1.59% -2.37% -0.86% -1.49%
^UTY -2.50% -2.32% -2.32% -1.23% -1.97% -2.73% -2.52% -2.81% -1.82% 1.13% -1.91%
^TRAN -3.27% -1.89% -2.77% -2.63% -2.41% -3.15% -6.42% -3.69% -4.17% -1.37% -3.18%
    The 4 models:
  1. Positive Change
      Decide if change is estimated to be:
    1. greater than average positive change
    2. positive but not greater than average positive change
    3. negative change
  2. Negative Change
      Decide if change is estimated to be:
    1. less than average negative change
    2. negative but not less than average negative change
    3. negative change
  3. Positive or negative Change
      Decide if change is estimated to be:
    1. greater than average positive change
    2. positive but not greater than average positive change
    3. negative but not less than average negative change
    4. less than average negative change
  4. Average change (an average change can be either positive or negative) with standard deviation
      Decide is estimated to be:
    1. greater than average plus 1.5 * std dev.
    2. greater than average but less than average plus 1.5 * std dev.
    3. less than average less 1.5 * std dev.
    4. less than average

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