6-15-2012 After the Close

[Billy]

Billy you bring up an interesting point. The composition of the IBD 6000 has changed over the period of my analysis. The addition of ETFs has been prolific. My testing has relied on printed IBD6000 data. I can't backtest a different historical subselection of index data as the older data isn't available to me so need to watch this in the future. The thresholds for IBD6000 %E would probably change if different data were used. I don't know if 11.79% would be high or low...

If it can help you, I keep track of the ratings only for stocks with composite ratings since 2/7/2011. See attached file which you can easily update going forward. These are also the numbers I am using for my correlation research for IWM.

Billy
IBDAccDistCompRatings Only.xlsx

[mnoel]

If it can help you, I keep track of the ratings only for stocks with composite ratings since 2/7/2011. See attached file which you can easily update going forward. These are also the numbers I am using for my correlation research for IWM.

Billy
Attachment 14721

Thanks Billy!

Is it possible to get this data with the IBD subscription or only with MarketSmith?

Thanks in advance,

Martin

[Billy]

Thanks Billy!

Is it possible to get this data with the IBD subscription or only with MarketSmith?

Thanks in advance,

Martin

Marketsmith is necessary. It allows you to download daily data with all your criteria filters, but unfortunately not past data and ratings.
Billy

[mnoel]

Thanks Billy. It's unfortunate that historical data are not accessible.

Regards,

Martin

[adam ali]

Mike,

Have you parsed out historical returns for June in election years only? See link below:

http://www.ritholtz.com/blog/2012/05...lection-years/

[Mike]

Mike,

Have you parsed out historical returns for June in election years only? See link below:

http://www.ritholtz.com/blog/2012/05...lection-years/

Adam, I have parsed the election years. Pardon the unformated list below which is every rally that began in an election year in my database. Missing here will be any rally that began the year before and carried into an election year. There are plenty of rallies that started earlier in the year and carried into June for good gains. There just aren't any that entered June in a correction and began a healthy ascent.

Date (length of raly days) Percent Gain
1/6/1976 ( 67) 10.70%
4/20/1976 ( 21) -1.50%
6/17/1976 ( 46) -0.10%
9/1/1976 ( 21) -0.20%
11/4/1976 ( 3) -2.20%
11/18/1976 ( 66) 6.60%
4/2/1980 (175) 39.00%
12/17/1980 ( 22) 2.40%
1/4/1984 ( 15) -1.30%
3/16/1984 ( 14) -3.00%
5/1/1984 ( 15) -3.80%
6/4/1984 ( 23) -0.90%
8/1/1984 ( 38) 7.10%
10/18/1984 ( 20) -1.50%
12/18/1984 ( 66) 13.50%
5/31/1988 ( 40) 3.50%
11/30/1988 ( 77) 7.80%
4/14/1992 ( 8) -4.70%
7/9/1992 ( 32) -1.70%
9/10/1992 (109) 14.50%
1/19/1996 ( 29) 6.60%
4/16/1996 ( 44) 5.20%
8/1/1996 (145) 19.50%
2/3/2000 ( 39) 5.90%
4/25/2000 ( 10) -3.40%
5/16/2000 ( 4) -9.50%
5/30/2000 ( 42) 5.90%
8/17/2000 ( 18) -1.20%
9/28/2000 ( 2) -5.50%
10/26/2000 ( 10) -2.20%
12/5/2000 ( 8) -8.20%
12/27/2000 ( 3) -9.70%
3/29/2004 ( 22) -1.70%
5/25/2004 ( 31) -1.40%
8/18/2004 ( 97) 14.20%
1/31/2008 ( 25) -7.40%
4/1/2008 ( 59) 0.20%
7/29/2008 ( 27) -2.70%
9/25/2008 ( 2) -9.30%
10/16/2008 ( 4) -5.90%
11/4/2008 ( 2) -9.60%
12/2/2008 ( 29) 2.70%

[adam ali]

Ok - I note if one went back one week in time, you'd find an additional three instances of market rally signals being generated:

5/25/04 - (1.40%)
5/30/00 - 5.90%
5/31/88 - 3.10%
6/17/76 - (0.10%)
6/4/84 - (0.90%)

To me, a bit inconclusive.

[Mike]

Ok - I note if one went back one week in time, you'd find an additional three instances of market rally signals being generated:

5/25/04 - (1.40%)
5/30/00 - 5.90%
5/31/88 - 3.10%
6/17/76 - (0.10%)
6/4/84 - (0.90%)

To me, a bit inconclusive.

Here are all rallies including election years. The only May or June rally that added up to anything was May 4 1993 that went up 11.7%. I am sure if I could go back more than 40 years I could find some other examples. One day I will be in position go go back 100 years on the Dow.