Category: united states

The Bubble Index Contour: DJIA (1871 – 2015)

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The results for The Bubble Index Contour: DJIA from 1871 to 2015 are presented below. There are several features worth mentioning.

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Overall Trend

The first is the overall trend toward larger absolute values as time progresses towards the present.

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23,200 Day Window Growing Pressure

The second most striking feature, which is most relevant to current investment strategies, is the large pressure formation centred on the 23,200 day window. The values in the graph were interpolated with a spline, so there are some artefacts produced. They falsely seem to indicate that the pressure has peaked in the 23,200 window, however, upon inspecting the raw data, this time window has not yet peaked. However, the derivative is close to and fast approaching zero. This would seem to indicate a phase transition of the largest magnitude yet observed will occur in the near future.

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2008-9 Pressure Peaks

The pressure peak below and slightly to the left of the current 23,200 pressure growth corresponds to the bottom of the 2008-9 crash, where the DJIA reach a low of 6,443. This pressure point has a peak which occurred in the 15,000 day window.

The pressure peak below and slightly to the left of the aforementioned 15,000 day window peak was the peak in the 9,500 day window which corresponded to the peak value of 14,200 in the DJIA in 2007.

Other images:

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TNX Update

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With the upcoming FOMC meeting, it is worth revisiting the CBOE 10-Year Gov’t Rate (TNX). It appears that the 8,100 day window, which recently peaked is trying to find a direction. Will the bubble continue? In the actual data files, the 8,200 day window peaked on February 13; the 8,100 day window also peaked on February 13 — only to peak again on February 27. This indicates that we could be near a phase transition in the 10-Year rate. I am not yet sure what this graph implies. This is a very long term signal, since 8,200 days is about 33 business years. Remember that not all bubbles are followed by a crash.

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3D Contour Map: TNX (1962 – 2015)

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The 3D Contour of The Bubble Index Contour: TNX (1962 – 2015) displays an important prediction. As you can see from the graphs and contours, it appears to have peaked in the window range 7,200 – 8,200. This would indicate that the bubble in the US Gov’t 10 – Year Bond recently ended. That is cautioned by an unknown factor — that there is not a bubble forming on a much larger time window than I was able to calculate (13,200 days +).

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3D Contour Videos

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In order for viewers to have a better visual perspective of the 3D Contours, I have uploaded the videos below to YouTube. These are a test of potential routes for how the website could develop and serve to help me decided how to proceed in the future. Eventually, I think I will upload versions which contain narration and investing ideas based on the graphs. Once I figure out how to map the date axis from integers to Dates that should improve the visual experience. In addition, I hope to figure out and be able to overlay the underlying time series for the 3D Contour in the foreground and or background panel.

 

 

 

The Bubble Index Contour: TNX

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After working on the contour map code and running TNX through the algorithm, I can now show you how I want you to think about the relationship between fractal geometry, LPPL Oscillations, and financial time series. With windows ranging from 52 days to 13,000 days, the output of The Bubble Index Contour for TNX (CBOE 10-Year Interest Rate) shows some interesting features currently in the process of development.

You can see that there is a growing bubble centred around the 9,000 day window; also, a sort of harmonic bubble around the 4,500 day window. This will be of immense importance in the upcoming months. Bill Gross has said bonds are safe in the short term, but watch out for long term; Martin Armstrong has been calling for 2015.75 to be a crucial phase transition in bonds worldwide.

Keep an eye on this TNX contour plot as that date approaches. (NOTE: As you can see from the plot, it contains artefacts along the diagonal due to interpolation over the grid of data. As there is not enough time to calculate every individual window, I had to calculate the windows in intervals. I will update this graph as I obtain more closely spaced intervals.) Credit and thanks goes to the bigmemory package and fread functions in R!

Download Contour PDF

The Bubble Index Contour: TNX

American Common-Stock Indexes (1871 – 1937) – Alfred Cowles, 3rd and Associates

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American stock data from 1871 to 1937; obtained from Common-Stock Indexes 2nd edition by Alfred Cowles 3rd and Associates.