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I haven't seen the precise formula for the Crash Index yet. Anybody know
it? I did receive the following privately (thanks):
> It is similar to the Titanic or Hindeberg index...
> It is based on consecutive down days for a price
> index and consecutive new lows....
FWIW here are the rules for the Titanic, from an old post to another
list:
Back in the 1960's a market analyst named Bill Omaha came
up with an indicator he called "The Titanic Syndrome". The
name was intended to reflect the fact that when this
indicator gave a sell signal the market normally saw
substantial declines. For a sell signal to be given 4
conditions were set up:
1. The Dow must make a new 52 week high.
2. Within 7 days before or 7 days after new lows must
exceed new highs.
3. After the 52 week high,for any 2 consecutive days
declining issues must exceed 1000 and one of those
days must show an A/D Ratio(advances divided by
declines) of less than 0.25.
4. After the 52-Week high 4 days out of 7 must show
declines of more than 1000.
A Titanic Sell Signal was given if conditions 1,2 and 3 are
met or 1,2 and 4 are met. Back in Omaha's time the total
number of issues traded was much less than today,so some
modifications to Omaha's indicator must be made. Several
years ago a gentleman named Dennis Meyers,who at the time was
a member of the Chicago Board of Options Exchange,an
independent trader and holding a doctorate in Applied
Mathmatics in Engineering,wrote an excellent article for the
magazine,Technical Analysis of Stocks and Commodities,in
which he discusses modifications he discovered to update the
Titanic Syndrome to current times. The discoveries Meyers
made lead to the following modifications in the Titanic
Syndrome:
1. The Dow must first make a new 52 week high.
2. Within 7 days before or after the 52 week high new
lows must exceed new highs.
3. After the 52 week high,for any 2 consecutive
days,declining issues must be greater than or equal to
2 times advancing issues,and one of those days must
have declining issues greater than or equal to 5 times
advancing issues.
4. After the 52 week high in any 3 days out of a 4 day
period declining issues must be greater than or equal
to 1.75 times advancing issues in each of the 3 days.
5. After the 52 week high declining volume must be
greater than 9 times advancing volume.
According to Meyers sell signals are given if conditions 1,2
and 3 are met,if conditions 1,2 and 4 are met or if
conditions 1,2 and 5 are met. If conditions 3,4 or 5 are met
from here on a new Sell Signal will be given.
--
Dennis
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