mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile | Part of my work required more precise measurement of the time spent in each market state. To make that information available, I’ve put together a spreadsheet that allows you to enter any date range from 1/3/00 to 4/26/18 and see the various statistics for the Macro & Micro market states. The Statistics are presented on the “Market States” tab of the spreadsheet and the underlying data from the SPY is on the “Data” tab (in case that might be of use to you in your own work). Simply enter the start and end date range that interests you in E2 and E3 and the tables will display the results ("days" in the tables refers to trading days, not calendar days); In this example covering 1/3/00 to 4/26/18, there were 480 changes of market state and 29.4% of the time was spent in the Bull and Bull state. The spreadsheet is attached ("Market State Frequency"). I hope you might find it useful in your own research. Mark [Edited by mholstius on 4/30/2018 6:39 AM]  Attached file : Market State Frequency.xlsx (307KB - 407 downloads) Attached file : 00 snag.png (156KB - 1357 downloads) |
