I just pulled out an old long term model to check on the S&P. To...

I just pulled out an old long term model to check on the S&P. To assist with chart interpretation I have included some explanatory text.

Non-Displaced MAV (NDMAV):
A Non-Displaced MAV has no error meaning it's plot is a perfect fit to the observed price.
Unfortunately a non-displaced MAV requires forward data to calculate rendering it unsuitable as a realtime indicator

Simple Moving Average (SMA):
An SMA mimics the non-displaced MAV however includes a 'Lag Error' (It is a perfect price fit half it's calculation period in the past).
As the SMA only requires historical data it is a viable alpha factor.

The good news is the accuracy of the SMA is measurable by it’s relativity to the NDMAV.

With this calculated error, the SMA may be displaced to produce a channel within which the NDMAV will most probably lye.



To remove the noise of short term fluctuations the broad market moves may be plotted as waves.

Analysing the waves, EVERY market peak turning point in history falls within a 110% to 130% zone relative to the SMA.

Today we sit just short of 90%


Interested to hear any other quantitative views.