Four Down Weeks, from Kim Zussman
The DJIA has now gone down for four consecutive weeks after an up (UDDDD), and the total decline is about -20%. Looking back 1929-present, this decline of 20% is the 7th worst out of 104 instances of UDDDD.
What usually happens next ? X for UDDDDX was insignificantly negative:
Variable N Mean StDev SE Mean 95% CI T P
nxt wk 103 -0.0028 0.0328 0.0032 (-0.0091, 0.0036) -0.85 0.398
And regressing next week's return vs return of prior 4 weeks suggests bigger declines do not make for a better return (see scatter diagram ):
Regression Analysis: nxt versus dn 4
The regression equation is
nxt = 0.00799 + 0.142 dn 4
Predictor Coef SE Coef T P
Constant 0.0079 0.0053 1.50 0.136
dn 4 0.1415 0.0563 2.51 0.014
S = 0.0320660 R-Sq = 5.9% R-Sq(adj) = 4.9%