GCC Trend Analysis Performance Review — GCC Trend Analysis — GCC Market Analytics
GCC Trend Analysis Performance Review | GCC Market Analytics

Saturday, 8 January 2011

GCC Trend Analysis Performance Review

I've been putting out the weekly market analysis report (in some form or another) for a few months now so I thought it was time to take a periodic look at how each study has performed.

This post will look at the trend analysis performance. As quick recap the trend analysis uses three dual moving averages to determine the current short, medium and long-term trends.  For each GCC market the current trend conditions are compared to previous instances.  If the market has tended to increase in value during previous instances then the predicted outlook is Bullish.  If the market has tended to fall the predicted outlook is Bearish whilst if there is no directional price tendency the outlook is Neutral.

On the charts below I've highlighted the trend outlooks for each GCC Index from August to December 2010.  The green shaded areas denote periods when the trend analysis was forecasting a Bullish outlook.  The red shaded areas denote Bearish outlook periods and the pale yellow areas are for Neutral outlooks.

Just from eyeballing the charts you can seen that the trend analysis has done a reasonable job of identifying rising and falling market moves.

For the number lovers the table below shows the actual performance figures:
The first column shows the percentage return of each GCC index during periods when the predicted outlook was Bullish.  The second column is the percentage return during periods when the predicted outlook was either Neutral or Bearish.  The final column shows the total percentage return for each index from August to December 2010.

The most important takeaway from these figures is that the performance of each market during Bullish outlook periods was significantly better than the performance during the combined Bearish and Neutral periods. This confirms that the trend analysis has managed to predict rising and falling market moves for the GCC markets.  Additionally, the performance during Bullish outlook periods beat total index returns for 4 out of the 7 GCC markets.  Not bad, especially over such a small period of time (Aug-Dec 2010).

In conclusion, the trend analysis looks to be working well and is successfully predicting bullish and bearish market action.