Turning Points G

I combined my Turning Points E and F data. I calculated the likely range of stock market cycle periods. It comes close to what we have seen in the past.

Scenario Surfer Conditions

In Turning Points E, I set the Scenario Surfer to a P/E10=26 Bear Market. I determined how P/E10 varied over the next 30 years.

In Turning Points F, I looked at a P/E10=8 Normal Market. I collected more turning point statistics. I focused on how long it takes to reach a top.

Summary Data

I ordered the 20 runs in Turning Points E. I found out how long it took to fall to a low in 30 years. It ranged between 1 year and 29 years.

I ordered the 20 runs in Turning Points F. I found out how long it took to reach a high in 30 years. It ranged from 4 years to 30 years.

I added the two columns of data together. I combined the lowest two values, the next pair of values and so forth until I added the largest two values together. The sums ranged from 5 years to 59 years.

The lowest five sums ranged from 5 years to 24 years. The highest 5 years ranged from 45 years to 59 years.

The middle ten sums ranged from 26 through 44 years. Their average was 34.7 years.

Comparison

Professor Robert Shiller highlights the Years 1901, 1929, 1966 and 2000 in Figure 1.3 of his S&P500 online data.

The differences are 28, 37 and 34 years. The average between peaks is 33.0 years.

Conclusion

The central portion of the Turning Points data comes very close to matching the historical record. It averages 34.7 years as opposed to the historical 33.0 years. It ranges from 26 through 44 years as compared to the historical 28 though 37 years.

Have fun.

John Walter Russell
February 28, 2009