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A regression analysis of the cumulative advance decline data (nyse) and
the close of the S&P 500 produces a R^2 of .975 (almost perfect
correlation). This should not be a surprise. I had expected the reading
to be high. What I wanted to do was to generate S&P data based on where
the Advance Decline data was expecting the S&P to be. The idea being that
the Advance Decline data could produce more reliable timing signals. Once
I did this I wanted to apply an analysis to this expected S&P data to
determine if I could come up with a more reliable timing system. I have
posted the results below. The numbers represent the changes for the
expected S&P on a close to close basis. The next step is to do a pattern
recognition search for relationships between patterns in the advance
decline data and the direction of the move in the SPX or OEX.
Good Luck
Ron McEwan
11/3/97 1.32% buy
11/4/97 0.11%
11/5/97 0.35%
11/6/97 -0.31% sell
11/7/97 -1.50%
11/10/97 0.02% buy
11/11/97 -0.11% sell
11/12/97 -1.30%
11/13/97 -0.04%
11/14/97 0.70% buy
11/17/97 1.20%
11/18/97 -0.40% sell
11/19/97 0.08% buy
11/20/97 0.82%
11/21/97 0.20%
11/24/97 -1.07% sell
11/25/97 0.12% buy
11/26/97 0.34%
11/28/97 0.52%
12/1/97 0.73%
12/2/97 0.21%
12/3/97 0.28%
12/4/97 0.15%
12/5/97 0.38%
12/8/97 0.17%
12/9/97 -0.45% sell
12/10/97 -0.68%
12/11/97 -1.12%
12/12/97 0.03% buy
12/15/97 0.16%
12/16/97 0.34%
12/17/97 0.24%
12/18/97 -0.60% sell
12/19/97 -0.70%
12/22/97 0.26% buy
12/23/97 -0.13% sell
12/24/97 -0.13%
12/26/97 0.19% buy
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