EPCR Model

[nodoodahs]

Here are outputs from the last several Friday closes.
Close 20EPCR 100EPCR L21Ret Predict21
09/09/05 0.60386 0.58991 1.0% -0.4%
09/16/05 0.60530 0.58869 1.4% -0.6%
09/23/05 0.60814 0.58528 0.5% -0.5%
09/30/05 0.59556 0.57880 0.7% -0.8%
10/07/05 0.60679 0.57771 -2.9% 0.7%
10/14/05 0.64621 0.59198 -3.4% 1.4%

Kind of neat how just two bad weeks turns the EPCR 20 and 100 day averages bearish in a snap! And the ratio of 20 to 100 day EPCR is the highest it's been in a while. The average monthly return over the building period for the model is 0.57%, so this model suggests we're in for some mean reversion.
_________________
I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[nodoodahs]

Close 20EPCR 100EPCR L21Ret Predict21
11/09/05 0.63802 0.59947 3.0% -0.6%
11/10/05 0.62275 0.59965 4.5% -0.6%
11/11/05 0.61393 0.59923 4.9% -0.5%
_________________
I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[nodoodahs]

Close 20EPCR 100EPCR L21Ret Predict21
11/01/05 0.67461 0.60192 -2.0% 0.9%
11/02/05 0.66222 0.60030 0.0% 0.0%
11/03/05 0.65508 0.59930 2.0% -0.6%
11/04/05 0.65058 0.59878 2.4% -0.6%
11/07/05 0.64687 0.59822 2.3% -0.6%
11/08/05 0.64691 0.59941 2.6% -0.6%
_________________
I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[nodoodahs]

We seem to have topped out on increasing bearishness based on the EPCR. Prediction is still above the median 21-day return.

Close 20EPCR 100EPCR L21Ret Predict21
10/25/05 0.66350 0.59737 -1.6% 0.6%
10/26/05 0.66576 0.59814 -2.0% 0.8%
10/27/05 0.67015 0.59922 -3.1% 1.5%
10/28/05 0.67613 0.59959 -2.4% 1.1%
10/31/05 0.67009 0.59966 -1.8% 0.7%
_________________
I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[nodoodahs]

Signals from the last couple of days.

Close 20EPCR 100EPCR L21Ret Predict21
10/20/05 0.66861 0.59755 -2.7% 1.2%
10/21/05 0.66985 0.59898 -2.9% 1.3%
10/24/05 0.66498 0.59760 -1.3% 0.4%
_________________
I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[nodoodahs]

Signals from the last two closes:
10/18/05 2.1%
10/19/05 0.8%

Over the timeframe the model was built, the average monthly return was +0.57%, so indicated returns for next month have been elevated since last Monday 10 October.
_________________
I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[nodoodahs]

Close 20EPCR 100EPCR L21Ret Predict21
10/17/05 0.65416 0.59181 -3.9% 1.7%

The 10-day average EPCR is higher today, the daily is lower, but the 100-day is comparable and the 20-day is higher also. Looking for at least a short-term rise.
_________________
I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.