Cumulative -3% Corrections

I mentioned a few posts earlier I wanted to post some R code replicating Hussman’s chart.

 

require(quantmod)
require(PerformanceAnalytics)
 
#get the data of S&P500
getSymbols('SPY', from='1990-01-01')
 
#lets look at it from 1990 to 2015
spy <- SPY['1990/2015']
 
#our baseline, unfiltered results
ret <- ROC(Cl(spy)) 
 
#our comparision, filtered result
filter <- Lag(ifelse(ret < -0.03, 1, 0))
drops<- rollapply(filter==1,50,sum)
plot(drops)

Created by Pretty R at inside-R.org

One thought on “Cumulative -3% Corrections

  1. Pingback: Drop and Gain Clustering | Sefirot Capital

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