RELATED TOPICS --> | Lowry's 80%/90% Days Theory |

These 12-year reference archives are for  PowerStocks subscribers that want to compare extreme Lowry's events on the JSE to the historical past to assist them to judge the merits of a trade or get a feel for what these events foretell.

Lowry's fingerprints, which are combinations of observed UP-volume and down-volume days are one of the most sophisticated and powerful, yet simple tools used by large quant funds and hedge funds to reduce risk for their trading. Lowry's fingerprints are excellent at detecting the start of major secular bull markets and pinpointing intermediate bull market troughs that give investors high confidence of low-risk trade entry points into the JSE
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We catalogue the following for the last 12 years on the JSE:

1. Lowry's 90% down-volume days (42 occurrences)
2. Lowry's 90% up-volume days (33 occurrences)
3. Lowry's 80% down-volume days (181 occurrences, not charted-too many)
4. Lowry's 80% up-volume days (223 occurrences -not charted)

Additionally we catalogue and chart the following high-confidence trough fingerprint-markers used by sophisticated U.S fund managers and cutting-edge U.S hedge funds: (Success rates are positive returns within 50 days)

5. Lowry's 90% up-volume days within 20 days of 90% down-days (12 occurrences, 83% success)
6. Lowry's 90% up-volume days within 20 days of 80% down-days (26 occurrences, 77% success)
7. Lowry's 80% up-volume days within 20 days of 90% down-days (39 occurrences, 72% success)
8. Combination of (5) or (6) or (7) (55 occurrences, 73% success rate)
9. Lowry's 80% up-volume days within 20 days of 80% down-days (81 occurrences, 70% success)

Please note: When we refer to a Lowry's 80% day, this includes any day where the respective up or down volume meets or exceeds 80% of all volume traded. So a Lowry's 90% day event will qualify for inclusion as an "80% day".

SECTION-A : TRADE STATISTICS
The trade statistics for the various Lowry's signals mentioned in (5) to (9) above appear in the below table. For each strategy, and for various lengths of holding periods after the signal was generated, we measure the % win rate ("win"), the average return ("avg") and the average return divided by the standard deviation of return ("sharp") and the gain-to-loss ratio ("gn/l").



The most successful signals come from those where a 90% down or up day was present in the fingerprint pair. The 90up/90dn strategy is the most consistent (look at the high Sharpe's) but also the least frequent of all strategies. It has an incredible gain/loss ratio of 39.3 for the 60-day holding period, meaning out of the 12 trades, 39 percentage points were gained in the winning trades for each percentage point lost in the losing trades. If you examine the JSE chart in Section B.3 below you will note that 90/90 events accurately identify the commencement of major new bull markets. The 90/90 fingerprint duo is definitely the most powerful observed here.

The 90up/80dn is the next best strategy, more than doubling the amount of signals with only a slightly lower win rate and 0.8 Sharpe ratio. It has a very respectable gain/loss ratio of 6.8 for the 50-day holding period. Generally traders try to go for strategies that exhibit gain/loss ratios of 3 or more.

The "Combo" strategy merely plays any signal with at least one 90% day, be it up or down, coupled with an 80% or 90% day companion. So it plays 90up/90dn, 90up/80dn and 80up/90dn combinations. This  strategy doubles up on the number of signals yet again and whilst it only slightly drops its win ratio to 72.7 for the 50-day holding period its gain/loss ratio halves to 3.0. Still, here you have a strategy that coughs up a signal every 2.6 months on average, has a 72.7 probability of not making a loss and its winning trades accumulate 3% in gains for every 1% lost in the losing trades. Not bad!

An interesting point to note is that when you inspect the historical charts in Section B below you will note that most of the "wrong" or "poor" BUY signals were generated during bear markets or periods where the SUPERModel or Long-Bond Investment timing models would have been OUT the markets. Therefore to significantly enhance your chances of a successful trade it is advisable to only act on Lowry's signals when the SUPERModel is showing at least a -1 or higher signal or when the Long-Bond timing model has a positive yield differential.

SECTION B : MORE RECENT EFFECTIVENESS OF LOWRY'S SIGNALS
The chart below shows more recent volume-breadth data (as published by us regularly for subscibers) to demonstrate the effectivenes of the signal combinations outlined in (5),(6), (7) and (8) in the introduction (click for larger version.)



SECTION C : LOWRY'S DAYS HISTORICAL SIGNAL CHARTS
The charts below show the various Lowry's signals and combinations plotted against the ALSH index for the last 12 years to allow you to guage their effectiveness at detecting the commencement of new bull markets and trough formations conducive to good risk-reduced trades and investing.

Note : Right-click and "Open in new window" to open another browser window with a much larger chart on it. Otherwise you can just click on the image, but then you will have to navigate back here again which is a schlepp as the browser will ask to RESEND information and reload the whole page.

1. LOWRY'S 90% DOWN-VOLUME DAYS (42 OCCURRENCES)



2. LOWRY'S 90% UP-VOLUME DAYS (33 OCCURRENCES)



3. LOWRY'S 90% UP-VOL DAYS WITHIN 20 DAYS OF 90% DOWN-VOL DAY(12 OCCURRENCES)


4. LOWRY'S 90% UP-VOL DAYS WITHIN 20 DAYS OF 80% DOWN-VOL DAY(26 OCCURRENCES)


5. LOWRY'S 80% UP-VOL DAYS WITHIN 20 DAYS OF 90% DOWN-VOL DAY(39 OCCURRENCES)



6. 90% UP WITHIN 20 DAYS OF 80% DOWN OR 80% UP AFTER 90% DOWN (55 OCCURRENCES)


7. 80% UP-VOLUME WITHIN 20 DAYS OF 80% DOWN-VOLUME (81 OCCURRENCES)
Note : Due to high occurrence rates we ignored signals posted within 10 days of a previous signal.


RELATED TOPICS --> | Lowry's 80%/90% Days Theory |
 
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