This page shows research based only on price volatility (PV.) This research is used in our trading model to reduce risk in our long/neutral component.
2/17/2018 am: the type pattern work shown below is a lot of fun to do; however, it is not use in the trading model.
The five dates (Feb 26-1946, Oct 11-1955, Oct 31-1998, now, and the composite of the four dates) took place when 1. the PV has been higher than 30% during the last 2 weeks, 2. the 6-month low of the 1 year moving average of PV has been lower than 15%, 3. the S&P500 has fallen -10% or more from a 1-month high, and 4. the 1-month low in PV has been lower than 10%. The four patterns are chosen (from n=21) because we believe those are the most similar to the current market. The mapping chart starts all four patterns and the composite 10 days prior to the signal date.