Free Range Stocks

S&P 500 New High Lately

The premise of this indicator is market tops are gently rounded,which means you're protected from the full wrath of the bear if there's been a recent new high. It's not until it's been a fairly long time since the last high -- 99 trading days according to this indicator -- that you should be concerned about seeing large. sudden drops in market levels.

Calculating this indicator is quite simple. Every day, you check, if today's high is higher than any high that's occurred in the previous 98 trading days. If so, the indicator is bullish and will remain bullish for at least the next 99 trading days. You continue looking for a new high and if you find one, it pushes the bullish indication out further, 99 days forward from that point in time. The indicator doesn't turn bearish until you've gone 99 days without seeing a new high.

A nice feature of this indicator you know long in advance when this indicator is going to transition from bullish to bearish. The opposite is not true. When it's bearish, it could transition to bullish in a single day if it advances enough to generate a new high signal.

This signal was originally discovered by Jim Mungofitch and first published on The Motley Fool's Mechanical Investing Forum in Post 212586 on 27 September 2008. It goes by various names, including 99 Day High, Dying Bullish Euphoria, and New High Lately. This indicator is one of three indicators used in the Combination Indicator.

Historical Results

Since 1970, this signal has had the following results. Interest rates and transaction costs are both ignored, i.e. assumed to be zero.

Returns staying in the market the entire time
Total calendar days 16684
CAGR 7.31%
Maximum drawdown 56.8%

Returns using the New High Lately strategy
Total calendar days long the market 12820 (76.8% of the time)
Total calendar days sitting in cash 3864 (23.2% of the time)
Overall CAGR (assuming 0% interest when in cash) 7.53%
CAGR while long the market 11.06%
Market CAGR while you sat in cash -4.25%
Maximum drawdown 31.4%
Average signals per year 1.07

CAGR while in:
 Date  Signal  Price  Days  Stock Cash
 1970-09-28 Buy 83.91   
 1971-09-17 Sell  99.96  354 19.8% 
 1971-12-20 Buy  101.55  94 6.3% 
 1973-06-05 Sell  104.62  533 2.1% 
 1973-10-05 Buy  109.85  122 15.7% 
 1974-03-06 Sell  97.98  152 -24.0% 
 1975-01-27 Buy  75.37  327 -25.4% 
 1975-12-03 Sell  87.60  310 19.4% 
 1976-01-05 Buy  92.58  33 84.4% 
 1977-02-10 Sell  100.82  402 8.1% 
 1978-04-24 Buy  95.77  438 -4.2% 
 1979-02-01 Sell  99.96  283 5.7% 
 1979-03-27 Buy  102.48  54 18.3% 
 1980-07-07 Sell  118.29  468 11.8% 
 1980-07-14 Buy  120.01 112.4% 
 1981-04-22 Sell  134.14  282 15.5% 
 1982-08-31 Buy  119.51  496 -8.2% 
 1984-03-01 Sell  158.19  548 20.5% 
 1984-08-03 Buy  162.35  155 6.3% 
 1988-01-15 Sell  252.05  1260 13.6% 
 1988-03-17 Buy  271.22  62 54.0% 
 1990-03-01 Sell  332.74  714 11.0% 
 1990-05-29 Buy  360.65  89 39.2% 
 1990-12-04 Sell  326.35  189 -17.6% 
 1991-01-18 Buy  332.23  45 15.6% 
 1992-06-05 Sell  413.48  504 17.2% 
 1992-07-29 Buy  422.23  54 15.2% 
 1993-07-30 Sell  448.13  366 6.1% 
 1993-08-18 Buy  456.04  19 40.0% 
 1994-06-27 Sell  447.31  313 -2.2% 
 1994-08-16 Buy  465.01  50 32.8% 
 1995-01-20 Sell  464.78  157 -0.1% 
 1995-02-03 Buy  478.65  14 115.4% 
 2000-08-15 Sell  1484.43  2020 22.7% 
 2000-08-31 Buy  1517.68  16 65.8% 
 2001-01-25 Sell  1357.51  147 -24.2% 
 2003-05-06 Buy  934.39  831 -15.1% 
 2004-07-06 Sell  1116.21  427 16.4% 
 2004-11-04 Buy  1161.67  121 12.8% 
 2008-03-03 Sell  1331.34  1215 4.2% 
 2009-06-01 Buy  942.87  455 -24.2% 
 2010-09-14 Sell  1121.10  470 14.4% 
 2010-10-05 Buy  1160.75  21 83.0% 
 2011-09-20 Sell  1202.09  350 3.7% 
 2012-01-10 Buy  1292.08  112 26.5% 
 2012-08-22 Sell  1413.49  225 15.7% 
 2012-09-06 Buy  1432.12  15 37.6% 
 2015-10-12 Sell  2017.46  1131 11.7% 
 2016-06-02 Buy  2105.26  234 6.9% 
 Green is good.  Red is bad. 
Last updated: 10 March 2018
See Graph or Main Timing Screen for current indicator value.