March 2025 Briefing: LT Model Portfolio Risk Assessment, Optimization & stress test

Reading your post, I began exploring whether the consolidation event that just past (2024/12/02 to 2025/02/26.) could have similarities with other parabolic shaped consolidations. While there are more parabolic volatile events out there that could included in the dataset, I think that this collection is sufficient for now.

Tables attached presents a collection of some volatility/consolidation events for the QQQ where a parabolic shape exhibited. As in, pre-volatility there is a rally, and post volatility there is a sell-off.

TLDR
While there are many similarities between the current consolidation period and other volatility events. I think the biggest two things I am looking for in this past consolidation are:
     1. If the NYMO aligns closer to the start of other bear events, and currently it does not.
     2. If the 50-MA crosses the 200-MA within 18-24 days after consolidation end, which is useless until after the fact.

Since it is largely difficult to predict the start of a bear market anyway, hedging is important to capitalize and protect portfolios on that possibility.

Attempting to Find Similarities for the Current Volatility Event
Filtering for Vol. Trade Days around 57

The ‘Vol. Trade Days’ is ~57 trade days, which is on the higher end of the collection.
      ◦ Vol. Shape: Parabolic
      ◦ Vol. Trade Days Vol.: ~57
      ◦ Price Difference (%): ~8.23
      ◦ <30-RSI After Vol. End Date:: Yes
      ◦ Estimated Lowest RSI: ~28.11

Taking a look at other points around 57 there are:
     ◦ 2018/10/11 @ 45 trade days (During 2018 Bear)
     ◦ 2024/02/07 @ 46 trade days
     ◦ 2015/10/22 @ 49 trade days (Start of 2016 Bear)
     ◦ 2021/10/27 @ 54 trade days (Start of 2022 Bear)
     ◦ 2024/12/02 @ 57 trade days (Current consolidation)
     ◦ 2016/08/05 @ 59 trade days

However, the datapoint 2018/10/11 @ 45 trade days takes on a different Vol. Shape (Multi-Parabolic) and Vol. Price Difference (%) (~13.13%), so it will be omitted here.

When looking at the other 4 datapoints, the current volatility event is within bounds for most columns:
    ◦ Vol. Shape: Parabolic
    ◦ Vol. Trade Days range: 46 to 59
    ◦ Vol. Price Difference (%): ~5.3 to ~8.5
    ◦ <30-RSI After Vol. End Date:: Yes
    ◦ Sub 30-RSI range: 23.6 to 29.75
    ◦ Estimated NYMO at Estimated Lowest RSI range: -51.75 to -109.5

The Trade Days from Vol. End Date to Lowest RSI, but is quite close as well by 2 Trade Days.

Filtering for Non-Bear Markets
When looking at all the datapoints outside of bear markets, the current consolidation period fits in there as well, and its bounds are more extended compared to the start of the last 3 bear markets.
    ◦ Vol. Shape: Parabolic
    ◦ Vol. Trade Days range: 9 to 92
    ◦ Vol. Price Difference (%): ~2.69 to ~10.5
    ◦ <30-RSI After Vol. End Date: Yes and No
    ◦ Sub 30-RSI range: 19.15 to 34
    ◦ Estimated NYMO at Estimated Lowest RSI range: -2.25 to -79

Attempting to Find Differences for the Current Volatility Event
Estimated Lowest RSI:
    ◦ 2022 Bear sub 30-RSI dropped ~4.51 more than current consolidation period

‘Estimated NYMO at Estimated Lowest RSI’:
    ◦ Current consolidation period’s ‘Estimated NYMO at Estimated Lowest RSI’ is 31 away from lowest of 3 of the previous bear market starts. When looking at all 18 datapoints instead, the NYMO for lowest RSI after consolidation end is mixed in with normal consolidation periods and in the middle of a bear market.

Looking out for:
The previous 3 bear markets all had their 50-MA crossing 200-MA… The problem is that you don’t know that you’re in a bear market until it happens. This is because on average for the last 3 bear markets, it took between 18-24 trade days after their consolidation period ended for the 50-MA to cross 200-MA, and by then the bear market already “began”, but this would still be an indicator that the market is in a bear market.