Saturday, March 15, 2014

2014.03.14 VIX Cycle Model Chart

2014.03.14 VIX Model Cycle Chart

The VIX cycle model is performing well within its limitations. The model does not capture the magnitude of the price spikes, both high and low, but seems to be working out as far as predicting the turning points within a short-term time window.  The previous model run is shown here and below.

2014.02.21 VIX Cycle Model Chart

Sunday, March 9, 2014

2014.03.07 DJIA Cycle Chart and Z-score

2014.03.07 DJIA Long Term Cycle Chart

2014.03.07 DJIA Long Term Cycle Chart Z-score

I developed vs 3.00 of the DJIA cycle model after VS 2.0 failed to converge. Unfortunately, I don't have as much confidence in this model as I do in the other cycle models because even though it passes the predictive testing on historical data, so did the other two DJIA models that failed going forward. Given the model prediction above, it should be apparent by mid-Summer 2014 if the model is on track. Assuming of course it does not "blow-up" before then!  I have included the Z-score for the model, which answers the question: How far out of line is the past prediction compared to historical data? As you can see, already we are at an extreme similar to 2008.75.