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Richard Abma - Hindenburg-risico

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  9. [verwijderd] 1 juni 2013 10:28

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    As a result, markets sold off rapidly into the close, with the Standard & Poor's 500 down 1.43 percent and the Dow industrials tumbling more than 200 points to close off 1.36 percent.

    'Hindenburg Omen' Is Really About Volatility
    The phenomenon happens if both highs and lows are greater than 2.2 percent of the total issues that trade that day. That would translate into about 73 stocks each way.

    In Friday's trading, there were 156 new lows and 90 new highs, according to Thomson Reuters.
    Wiki
    Possible weaknesses
    Structural: New highs and lows are being affected by exchange-traded funds (ETFs). The last two times Hindenburg triggered was due to Bond ETFs making new highs or lows. If ETFs were removed, Hindenburg would not have triggered. When the Omen was originally designed there were no ETFs, so triggering behaviour in the 2010s is not the same as in the 1990s to mid-2000s.
    Theoretical: It is theoretically possible for those with unlimited financial resources and minimally regulated automated trading systems to keep the omen from triggering. This has been postulated by the creator of the "Vergulde Draeck" Omen.
    Triggering: To eliminate false positives some technical analysts have imposed the condition that the Hindenburg Omen
    - must be triggered three times in a row within a month from the first triggering event for said initial trigger signal to be considered to be valid (i.e. requires double confirmation)
    -is only valid when "all tightly coupled triggerings are within a fortnight"
    -will indicate a possible future downturn or correction, depending on the magnitude of any "one off" triggering

    Conclusions
    From historical data, the probability of a move greater than 5% to the downside after a confirmed Hindenburg Omen was 77% [The Wall Street Journal 8/23/2010 article cited below states that accuracy is 25%, looking at period from 1985], and usually takes place within the next forty days. The probability of a panic sellout was 41% and the probability of a major stock market crash was 24%. Though the Omen does not have a 100% success rate, every NYSE crash since 1985 has been preceded by a Hindenburg Omen. Of the previous 25 confirmed signals only two (8%) have failed to predict at least mild (2.0% to 4.9%) declines.
    Because of the specific and seemingly random nature of the Hindenburg Omen criteria, the phenomenon may be simply a case of overfitting. That is, by backtesting through a large data set with many different variables, correlations can be found that do not really have predictive significance. The Omen is at best an imperfect technical indicator that is a work in progress.
  19. retsok 15 augustus 2013 11:24

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    While the market does not enter a crash or bear market after every cluster of Hindenburg Omen signals, every market crash or bear market has been preceded by a Hindenburg Omen.....
  20. retsok 15 augustus 2013 11:29

    • retsok

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    While I would never dismiss a Hindenburg Omen outright, it does make more sense, I believe, to run the criteria on operating-only companies like the S&P 1500 rather than on the NYSE, which is riddled with closed-end bond funds. While we are getting Hindenburg Omens on the NYSE like we did during May, the spike in new lows is largely due to fixed-income (interest-rate sensitive) funds. ...

    When you run the criteria for the Hindenburg Omen on the S&P 1500, which is NOWHERE REMOTELY near a "sell signal",...... given its composition of companies linked to economic growth. No Bear Market on the horizon so do not anticipate any major decline as those referencing the Hindenburg Omen suggest.
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