Saturday, May 28, 2016

2016.05.28 NASDAQ Cycle Model Chart

2016.05.28 NASDAQ Cycle Model Chart


















I have worked on and off for the past six months on this new model featuring the NASDAQ index. It has been tested on out-of-sample data and passes with flying colors. Nevertheless, once again a reminder that all models are wrong but some are useful.  The model suggests a change in the long term direction of the index beginning in the mid-June time frame.

5 comments:

pieter smit said...

Thank,s for the hard work

Paolo said...

pieter, you are welcome and thanks for dropping by!

wildbadbill said...

you are doing a great work sir.Always looking forward to the new posts.
Thank you.

Anonymous said...

Hi Paolo,

Really interesting work you've done, which supports my (vague) non-technical expectations of a market turn in late June. The significant dip into EoY is however surprising in magnitude, although I'm probably highly-conditioned by central bank support over past several years. The phase-changes are primarily of importance to me, as I prefer taking positions at "decision" points and then building positions in the direction of the trend with appropriate trailing-type stops.

I'm also expecting a turn in the price of oil for a few months too, before upward resumption into EoY and a small dip by early 2017. The magnitude of the Z-score will be instrumental in considering a return to the trend (assuming that it deviates in the first place). Not sure what'll happen after that though - I should get around to purchasing your long-term XOI chart. When was its last update and are any more expected soon?

It's very tempting to draw a link between a "surprise" mid-June rate hike by the Fed, but is definitely confirmation bias at play! I do really like how your work is "price-only" and limits the potential for analyst bias, even if unintentional and unconscious.

Kind regards,

Mr. Anon

Anonymous said...

Hi Paolo...crude looks like putting in a top here at around $50. Does your XOI model suggest something similar as well? Thanks!