Month: August 2016
Dow Jones 10 year cycle patterns
Typically, the US stock market has done well in years ending in ‘5’ (like 1975, 1985 or 1995). The stock market seems to follow a 10-year cycle. The chart above depicts the average 10-year course of the Dow Jones over approx. 100 years (i.e. the yellow part shows the average course of the years ending in ‘5’).
The years ending in ‘5’ have done extremely well in the 20th century. They produced an average gain of 34.61 %. This is the half of the entire average decennial gain! There was no losing year.
The following chart shows the performance of all years ending in ‘5’, not only for the 20th century, but also for the 19th century. It should be observed that there was no such phenomenon during the first eight decades in the 19th century. However, we may say that this is long ago.
Data sources:
Dow Jones Company
Schwert, William: Indexes of United States Stock Prices from 1802 to 1987, Journal of Business, 63 (July 1990) p. 399-426
British Pound vs Australian Dollar Seasonal Pattern
| Buy Dec 04 British Pound(IMM) / Sell Dec 04 Australian Dollar(IMM) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Enter on approximately 08/16 – Exit on approximately 10/24 | ||||||||||
| Cont Year |
Entry Date |
Entry Price |
Exit Date |
Exit Price |
Profit Amount |
Best Equity Date |
Best Equity Amount |
Worst Equity Date |
Worst Equity Amount |
|
| 2003 | 08/18/03 | 33495 | 10/24/03 | 36061 | 2566.25 | 09/29/03 | 2982.50 | 09/16/03 | -625.00 | |
| 2002 | 08/16/02 | 41378 | 10/24/02 | 41480 | 102.50 | 09/30/02 | 2365.00 | 08/27/02 | -1022.50 | |
| 2001 | 08/16/01 | 37588 | 10/24/01 | 38340 | 752.50 | 09/27/01 | 5632.50 | 08/17/01 | -1045.00 | |
| 2000 | 08/16/00 | 34810 | 10/24/00 | 38102 | 3292.50 | 10/12/00 | 3910.00 | 09/11/00 | -2777.50 | |
| 1999 | 08/16/99 | 35040 | 10/22/99 | 38645 | 3605.00 | 10/21/99 | 4932.50 | 09/13/99 | -227.50 | |
| 1998 | 08/17/98 | 41020 | 10/23/98 | 43445 | 2425.00 | 08/28/98 | 6912.50 | 08/18/98 | -290.00 | |
| 1997 | 08/18/97 | 26228 | 10/24/97 | 32570 | 6342.50 | 10/24/97 | 6342.50 | 08/21/97 | -2320.00 | |
| 1996 | 08/16/96 | 18565 | 10/24/96 | 20425 | 1860.00 | 10/22/96 | 2067.50 | 09/10/96 | -1172.50 | |
| 1995 | 08/16/95 | 23195 | 10/24/95 | 24105 | 910.00 | 09/21/95 | 1927.50 | 09/13/95 | -2842.50 | |
| 1994 | 08/16/94 | 21883 | 10/24/94 | 28448 | 6565.00 | 10/20/94 | 7020.00 | 08/30/94 | -435.00 | |
| 1993 | 08/16/93 | 24760 | 10/22/93 | 24840 | 80.00 | 09/10/93 | 6907.50 | |||
| 1992 | 08/17/92 | 45983 | 10/23/92 | 29045 | -16937.50 | 09/08/92 | 6287.50 | 10/21/92 | -17732.50 | |
| 1991 | 08/16/91 | 25050 | 10/24/91 | 27843 | 2792.50 | 10/03/91 | 4315.00 | 08/19/91 | -2030.00 | |
| 1990 | 08/16/90 | 37763 | 10/24/90 | 43972 | 6210.00 | 10/18/90 | 7825.00 | 09/21/90 | -6332.50 | |
| 1989 | 08/16/89 | 23805 | 10/24/89 | 24208 | 402.50 | 10/24/89 | 402.50 | 10/11/89 | -4505.00 | |
| Percentage Correct | 93 | Protective Stop | (1817) | |||||||
| Average Profit on Winning Trades | 2707.59 | Winners | 14 | |||||||
| Average Loss on Trades | -16937.50 | Losers | 1 | |||||||
| Average Net Profit Per Trade | 1397.92 | Total trades | 15 | |||||||
Australian Dollar Seasonal Pattern
Canadian Dollar Seasonal Pattern
Canadian Dollar (IMM): (High: Jan or Nov//Low: Dec) Currency has often been weak at contract expiries. Fifteen-year pattern implies general bear market, with tendency to be lower at end of each successive year.
| Canadian Dollar(IMM)-September | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Buy on approximately 05/28 – Exit on approximately 07/02 | Contract Size: 100,000 Canadian Dollars | |||||||||
| Cont Year |
Buy Date |
Buy Price |
Exit Date |
Exit Price |
Profit | Profit Amount |
Best Equity Date |
Best Equity Amount |
Worst Equity Date |
Worst Equity Amount |
| 2004 | 05/28/04 | 73.12 | 07/02/04 | 75.48 | 2.36 | 2360.00 | 07/02/04 | 2360.00 | 06/16/04 | -560.00 |
| 2003 | 05/28/03 | 71.79 | 07/02/03 | 74.45 | 2.66 | 2660.00 | 06/13/03 | 2730.00 | ||
| 2002 | 05/28/02 | 65.17 | 07/02/02 | 65.39 | 0.22 | 220.00 | 06/27/02 | 780.00 | 06/17/02 | -710.00 |
| 2001 | 05/29/01 | 64.95 | 07/02/01 | 65.98 | 1.03 | 1030.00 | 06/29/01 | 1050.00 | 05/30/01 | -330.00 |
| 2000 | 05/30/00 | 66.53 | 06/30/00 | 67.67 | 1.14 | 1140.00 | 06/19/00 | 1870.00 | ||
| 1999 | 05/28/99 | 67.90 | 07/02/99 | 68.42 | 0.52 | 520.00 | 06/16/99 | 690.00 | 06/01/99 | -440.00 |
| 1998 | 05/28/98 | 68.88 | 07/02/98 | 68.24 | -0.64 | -640.00 | 06/02/98 | 150.00 | 06/15/98 | -910.00 |
| 1997 | 05/28/97 | 72.82 | 07/02/97 | 72.96 | 0.14 | 140.00 | 06/03/97 | 440.00 | 06/25/97 | -720.00 |
| 1996 | 05/28/96 | 72.80 | 07/02/96 | 73.67 | 0.87 | 870.00 | 06/25/96 | 920.00 | ||
| 1995 | 05/30/95 | 72.62 | 06/30/95 | 72.72 | 0.10 | 100.00 | 06/30/95 | 100.00 | 06/06/95 | -510.00 |
| 1994 | 05/31/94 | 71.93 | 07/01/94 | 72.13 | 0.20 | 200.00 | 06/07/94 | 630.00 | 06/17/94 | -500.00 |
| 1993 | 05/28/93 | 78.19 | 07/02/93 | 77.41 | -0.78 | -780.00 | 06/02/93 | 120.00 | 07/01/93 | -840.00 |
| 1992 | 05/28/92 | 82.58 | 07/02/92 | 82.84 | 0.26 | 260.00 | 06/12/92 | 1000.00 | 06/01/92 | -10.00 |
| 1991 | 05/28/91 | 86.50 | 07/02/91 | 87.06 | 0.56 | 560.00 | 06/28/91 | 620.00 | ||
| 1990 | 05/29/90 | 83.37 | 07/02/90 | 85.16 | 1.79 | 1790.00 | 07/02/90 | 1790.00 | ||
| Percentage Correct | 87 | |||||||||
| Average Profit on Winning Trades | 0.91 | 911.54 | Winners | 13 | ||||||
| Average Loss on Trades | -0.71 | -710.00 | Losers | 2 | ||||||
| Average Net Profit Per Trade | 0.70 | 695.33 | Total trades | 15 | ||||||
Japanese Yen Seasonal Pattern
Japanese Yen (IMM): (High: Oct or Dec//Low: Jan-Mar) Japan’s fiscal year begins Apr 1, with mid-year Oct 1 also important to balance sheets.
The prime example is August, the month in which the market has been down every year since 1999. During that time, USD/JPY fell for the month at least 137 pips each time around, with most of the declines coming in at better than 200 pips. The average has been 320 pips, which translates to a move of 2.80%.
In the case of EUR/JPY, as one might expect, August is a consistent down month, though there has been one up month since 1999. The average decline has been over 300 pips. November has been equally biased to the upside in terms of the 6:1 ratio, but the average rise is only 77 pips. The really interesting month, however, is December. The market rose every year from 2000 to 2004. Even though it fell in 2005, the cross has averaged a 350+ pip increase each year.
Weekday patterns filtered by month (1999-2005)
| Weekday | Month | Up:Down | Up/Down % | Avg. Pips | Avg. % |
| Tuesday | August | 9:22 | Down 71% | -27 | -0.23% |
| Thursday | August | 11:20 | Down 65% | -13 | -0.10% |
| Friday | August | 11:20 | Down 65% | -12 | -0.10% |
| Monday | January | 11:20 | Down 62% | -30 | -0.26% |
| Tuesday | May | 12:18 | Down 60% | -22 | -0.18% |
| Wednesday | November | 20:9 | Up 69% | 15 | 0.15% |
| Friday | September | 19:10 | Up 65% | 26 | 0.24% |
| Thursday | January | 19:10 | Up 65% | 20 | 0.18% |
| Wednesday | February | 18:10 | Up 64% | 33 | 0.30% |
| Tuesday | December | 18:11 | Up 62% | 15 | 0.13% |
Source: Anduril Analytics
British Pound Seasonal Pattern
British Pound (IMM): (High: Nov-Jan//Low: Feb-Mar or Sep) UK fiscal year begins Apr 1. Currency has tended to be weakest at end of fiscal year (Feb-Mar) and at mid-point (Sep), strongest in first month of each calendar quarter.
Against the USD, the Pound has two months in which it has shown a notable directional tendency. They are September and December, as can be seen below. In the case of the former, GBP/USD has risen six of the last seven years, averaging an increase of over 230 pips for the month in that span. Actually, 2005 broke a string of twelve consecutive September gains in the pair.
Source: Anduril Analytics
Deutsche Mark Seasonal Pattern
Deutsche Mark (IMM): (High: Dec//Low: Jun or Aug) Mark has exhibited pattern similar to that of franc, except strong into year end more regularly. Market now tied directly to other Euro currencies.
Swiss Franc Seasonal Pattern
Swiss Franc (IMM): (High: Oct or Dec//Low: Feb-Mar or May-Jun) Franc has regularly declined from beginning of new calendar year into Feb through early Aug. Powerful rise into October has often carried into year end.
December too has been more CHF positive than EUR positive. The ratio of up to down years is 5 to 2, but it is the way in which that has developed which is very interesting. The average loss for USD/CHF over that span is more than 360 pips, but a great deal of that came in the form of two years during which the market dropped more than 1000 pips, and there was another one when the December decline was better than 500 pips. The remaining years were all significantly less volatility, including those when the CHF was weaker.
Source: Anduril Analytics
Euro Seasonal Pattern
Seasonal rise in euro, starting on August 11 and ending on October 17. The increase was observed in 25 of 31 years, resulting in an average profit of +4%. But there were also 6 years, where the price of the euro fell during this period of the year. The average loss then was -3.7%. The overall rise during all 31 years was +2.5% p.a.
Data from 4 Jan 1971 to 21 July 2006.