Characteristics of other Bear Volatile markets compared

backtesting market regime Feb 15, 2021

We have been heads down over here digging deep in to finding a bunch of different characteristics of some of the most violent Bear Volatile regimes in history and how they compare to what we are looking at in this current market. 

This is all generated from doing the backtesting with the tools you learn in the Systems Building/Backtesting Mastery Course

We are keeping the price of the course at 50% discount for email subscribers exclusively, so take advantage of it during this chaotic market. 

On to some results...

Let's look at 2008 month to month basis. This was the monthly chart so this represents the data of a whole month


1) Mid January and February was the beginning of the Bear Volatile regime. We saw a break lower out of a sideways volatile market.

2) The Volatility for each month is much larger than the realized change per month. This shows that there is high noise to signal ratio in a bear volatile regime. 

3) Long Downside Candle wicks. Even in a bear market strong sell offs are bought. This shows that a profit target in a bear market might increase system SQN versus trail stooping a position.

4) The best longs fail, I count 4 buy stop entries on the monthly chart and the first 3 failed

5) It took a breakout above 2 positive months to move into a sideways/bullish regime.

6) In a bear volatile regime expect to see months that are down close to -30% and positive months that are up close to 30%. These tend to be extremes.

7) There seems to be a clustering of returns. The previous month returns impacts the next month. Stronger Liquidation leads to another liquidation month. And the opposite looks to be true.

8) The declines have a much shorter duration than the rallies/sideways chop. Upside breakouts fail and downside breakouts have follow through. The majority of loses happened in 5 weeks and the bear market was 63 weeks long

Tomorrow we will break down the weekly charts so rather than 15 data points we'll have 63 data points to share

All this week we will be sharing this data as we build out our research team. 

The team consists of alumni who have completed the Systems Building/Backtesting Mastery so we are all speaking the same language. 

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