Trendiness on a Weekly Basis: Unexpected Findings

Here is a weekly view of the issue of trending markets using S&P 500 and NASDAQ 100 data. (By the way, a different perspective is posted to the Trader Performance page on my personal site). I went back to January, 1997 (N = 479) and just looked at weekly closing prices. Once again, I focused on occasions in which either a rise was followed by a rise or a decline by a decline.

In all, for the S&P, there were 239 occasions in which we saw a two-week trend and 240 occasions in which rises were followed by declines or vice versa. This is exactly what we'd expect by chance. In the NASDAQ, we had 246 trending occasions and 233 non-trending two-week instances. (Interestingly, the NASDAQ also showed up on my Trader Performance analysis as performing better vis a vis momentum/trend trading).

Looking only at 2005/6 data (N = 62), we had 31 trending two-week periods in the S&P and 31 non-trending ones. In the NASDAQ, we had 33 trending periods and 29 non-trending ones. Interestingly, we see neither evidence of persistence (trending) or anti-persistence (reversal) in the weekly data--even the most recent weekly readings.

What this says to me is that the market's loss of trendiness is occurring more at shorter time frames than at longer ones. My next Trading Markets article will address this.