Lunghezza pelli di orso (Dow theory)


  By: Riccardo Ronco on Mercoledì 05 Settembre 2001 03:27

Finalmente qualcuno che rispolvera la Dow Theory! Il DJIA e il DJT sono in divergenza da 2 anni e il DJT era l'equivalente del growth sector (trasporti!) nel 1900-1920. Ma si sa, le grandi menti che hanno snobbato 2 anni di a/d line discendente sul NASDAQ e tassi in salita per rallentare in borsa, avevano pure allontanato infastiditi la Dow Theory... "non funziona piu', siamo in un contesto diverso"... yeah, you bet!

La teoria del Dow - michelino di notredame  

  By: michelino di notredame on Mercoledì 05 Settembre 2001 02:42

C'e' questo articolo del NYTimes di qualche giorno fa. Argomento la teoria di Dow. In estrema sintesi: il mercato gira quando Industrial e Transportation perdono il sincrono. A 11700 dell'Industrial, il Trasportation era indietro. Per cui il turning point era quello. Durata del bear market? Richard Russell, che applica la Dow theory da un mucchio di anni, dice che una previsione di massima si puo' tentare. Il bear market, secondo le regole, dura in genere da 1/4 a 1/2 rispetto al bull market che lo ha preceduto. Insomma, fino al 2003 sicuro. E forse anche un po' di piu'. ****************************************** A Venerable Market Theory Points to an Extended Slump By MARK HULBERT Have some bad news. According to perhaps the oldest market-timing system still in use, we are firmly in the grip of a long-term bear market. I refer to the Dow theory, which traces its roots to early last century. Its creator was William Peter Hamilton, then the editor of The Wall Street Journal, who developed it in editorials between 1902 and 1929. Because Mr. Hamilton never codified his approach into a comprehensive theory, disagreements among followers persist. But there is a consensus on the overall approach: the trends most likely to persist are those where both the Dow Jones industrial average and the Dow Jones transportation average are in alignment. Turning points are signaled when these averages fall out of sync — events called nonconfirmations. For example, when the Dow industrials hit its record high of 11,722.98 on Jan. 14, 2000, the transportation average was more than 20 percent below its high set in May 1999. Most Dow theorists interpreted that nonconfirmation to mean that, at a minimum, the bull market was on shaky ground. But interpretive problems arise. For example, most followers of the Dow theory agree that the two averages need not hit new highs simultaneously in order to avoid a nonconfirmation. They disagree about how long we should wait for the second average to join the first. A week is not enough, but how about a month or a year? Mr. Hamilton did not provide clear guidance. Normally, investors should not pay much attention to theories that are this ambiguous. With so much fuzziness, it is difficult to know whether the theory itself has a good track record or just the particular interpretation of it. It is far better to rely on systems that provide clear instructions on how to react in various circumstances. An exception can be made for the Dow theory, however, because of a study three years ago by Stephen J. Brown of New York University, William N. Goetzmann of Yale and Alok Kumar of Cornell. Instead of trying by themselves to divine unambiguous rules from Mr. Hamilton's editorials, these researchers relied on neural networks — artificial intelligence software that can be "trained" to detect patterns. Upon testing this version of the Dow theory from Sept. 1, 1930 through Dec. 1, 1997, they found that it beat the market by a significant margin. (Their study appeared in The Journal of Finance in August 1998.) To reach their results, the researchers fed into their neural network the trading patterns of the two averages in the months before each of the 255 editorials that Mr. Hamilton wrote on this subject. That enabled the network to learn how to recognize the patterns that preceded a Hamilton buy signal and the many ways, both subtle and not, in which those patterns differed from those that preceded a Hamilton sell signal. The researchers then used the neural network to generate buy and sell signals for a 67-year period after Mr. Hamilton's death in 1929. For each day, the researchers fed into their network the market's behavior over the preceding few months. They assumed that the Dow theory was subject to a buy signal if stock-price behavior was more like patterns preceding a Hamilton buy signal. Otherwise, they assumed that a sell signal was in force. Unfortunately, these researchers have not tested the market's recent trading patterns. But if they had done so, the system undoubtedly would be issuing sell signals. Today, the leading Dow theorists of whom I am aware are all bearish. Particularly bearish is the elder statesman among Dow theorists, Richard Russell, who has been publishing his Dow Theory Letters since 1958. Of the market-timing strategies monitored by The Hulbert Financial Digest since 1980, his is one of just two that have beaten a buy-and-hold policy adjusted for risk. Mr. Russell points out that the Dow theory does not forecast how long a trend will persist. He has noted, however, that the typical bear market lasts one-quarter to half as long as the preceding bull market. That could mean that this bear market will last at least until 2003.