20dmf

[asomani]

The market is not typically range bound, or flat, this much of the time. A way I've found to test this is to determine peak and trough dates combined with periods of time when the movement up and down is within a range of three percent either way. In other words, when the movement is very minor this reflects a range-bound, or flat, market that is pretty much going nowhere.

The actual percentage of time in a flat market all depends on what you require the bull and bear trending market moves to be. The following table shows a move anywhere from 7% to 20%. The date range for this on the S&P 500 is 1970 to present.



So for 20% trend-moves in the S&P 500 the amount of time in a range-bound market is 24.91%. When you drop this to 7% the time in a flat market moves down to 18.97%. If you average all four you end up with 22.40%.

This is the same thing but for the periods from 2000 to present:



The average of all four is 22.15%. So it is pretty clear that the last eleven years have not been all that much different than the longer period of 1970-2011.

Thanks for sharing that. Excellent work.

FWIW, I did a similar study today using different criteria (a number of methods to measure how often the market is in a clear bull trend or clear bear trend). I found that for 2000-2010, the SPX was in a clear bull or clear bear trend (i.e. not a flat market) 74% of the time - meaning it was range-bound 26% of the time.

Pretty close to your numbers!