October 2, 2015 - Technical Trading
Are annual stock market winning and losing streaks informative about future market performance? To investigate, we consider up and down annual streaks for the Dow Jones Industrial Average (DJIA). We look at streaks in two ways:
- Retrospective (non-overlapping). We know the total duration of each streak.
- Experienced (real-time and partially overlapping). We know each year how long a streak has lasted, but we don’t know when it will end.
Using DJIA annual returns for 1929 through 2014 (86 years), we find that: Keep Reading