Rate of Change is rising or falling (see worksheet, Figure 28-2).
A trader must choose the width of the time window for Momentum orRoC. As a rule of thumb, it pays to keep oscillator windows fairly narrow.Use wide windows for trend-following indicators whose goal it is to catchtrends. Use narrow windows for oscillators to detect short-term changes inthe markets.
Momentum and RoC share a flaw with simple moving averages—theyjump twice in response to each piece of data. They react to each new price,and they jump again when that piece of data leaves the oscillator’s window.Smoothed Rate of Change takes care of this problem.
Crowd Psychology
Each price reflects the consensus of value of all market participants at themoment of transaction. Momentum and RoC compare today’s price (today’sconsensus of value) to a previous price (an earlier consensus of value). Theymeasure changes in mass optimism or pessimism.
To find out whether a child is growing fast enough, you can measure hisheight each month and compare it with his height six months ago. Then youfind out whether your child is growing normally, growing so slowly that youshould take him to a doctor, or growing fast enough to think about applyingfor a basketball scholarship. Momentum and RoC tell you whether a trend isaccelerating, slowing down, or moving at the same speed.
When Momentum or RoC rises to a new peak, it shows that the optimismof the market crowd is growing, and prices are likely to rally higher. WhenMomentum or RoC falls to a new low, it shows that the pessimism of themarket crowd is increasing, and lower prices are likely ahead.
When prices rise but Momentum or RoC falls, it warns you that a top isnear —it is time to think of taking profits on long positions or tighteningstops. If prices reach a new high but Momentum or RoC reaches a lower top,28. MOMENTUM 147
     
Crude Oil
       
   
Date Close} Mtm:7 RoC:7_ j_ 13-EMA
[6 | 20.51 if -0.84 |Le? | 20.45 3-071
 
96.07 21,04
    
5020.45i 20.40
          
                                     
   
  
30.4671 70.56 | 101,79 1 20.2430.532 0.62 | 103.111 20.29 95.67
0.48 102.38 | 20.34
   
   
20.7720.87
   
102.13 §103.77 3
F044i 0.78
Figure 28-2. Momentum, Rate of Change, and Smoothed Rateof Change Worksheet
Momentum (Mtm:7) is today's closing price minus the closing price 7days ago.
Rate of Change (RoC:7) is today's closing price divided by the closingprice 7 days ago.
You can use closing prices for the day in these formulas or medianprices (high plus low, divided by two). This also applies to most indica-tors described in this book. It is OK to use time windows that are wideror narrower than 7 days.
To create a Smoothed Rate of Change (S-RoC 13/21), calculate a 13-day exponential moving average of closing prices and apply a 21-dayRate of Change to it.
                    148 COMPUTERIZED TECHNICAL ANALYSIS
that bearish divergence gives a strong sell signal. The reverse holds true indowntrends.
There are times when Momentum and RoC act not as leading but as coin-cident indicators. Think what happens to a rocket when it hits an overheadobstacle. Its speed and momentum stop rising and fall together as the rocketcrashes. This happens in the markets when the crowd gets hit by a majorpiece of bad news and this “overhead obstacle” sends RoC and prices downtogether.
Trading Rules
Leading indicators are like brake lights on a car ahead of you on a highway.When they light up, you do not know whether the other driver is tapping hisbreaks or slamming them. You have to be extra careful putting on tradesusing leading indicators (Figure 28-3).
1. When the trend is up, buy whenever RoC declines below its centerlineand ticks up. It shows that the uptrend has slowed down — like a trainthat slows down to pick up passengers. When the trend is down, sellshort whenever RoC rallies above its centerline and ticks down.
2. If you hold a long position and prices begin to slide, see whether RoChas reached a record peak before this pullback. A new peak in RoCshows a high level of bullish energy, which is likely to lift the marketto its previous high or higher. Then it is relatively safe to hold longpositions. On the other hand, a series of declining peaks in RoC is asign of weakness — it is better to sell immediately. Reverse thisapproach in downtrends.
3. A break in a trendline of Momentum or RoC often precedes a break ofa price trendline by a day or two. When you see a leading indicatorbreak a trendline, prepare for a break in the price trend.
Smoothed Rate of Change
This oscillator, developed by Fred G. Schutzman, avoids the major flaw ofRoC. It responds to each piece of data only once rather than twice. SmoothedRate of Change (S-RoC) compares the values of an exponential movingaverage (EMA) instead of prices at two points in time. It gives fewer tradingsignals, and the quality of these signals is better.28. MOMENTUM 149
                                                 
Eurodollars
    
r i ay
i f “yt hal a
 
 
  
pr jan ep
Figure 28-3. Seven-day Momentum (Mtm:7) and Rate ofChange (RoC:7)
When Momentum or RoC rises, it shows that a rally is accelerating.When it falls, it shows that a decline is accelerating. Peaks and bottomsof these indicators show when a trend has reached its maximum speed.Once Momentum or RoC turns, it is time to begin a countdown to areversal. These indicators give their best signals when they diverge fromprices (as marked by arrows on the chart).
Momentum and RoC can be analyzed using classical charting meth-ods, which often give leading trading signals. Notice how RoC andMomentum have sliced through their resistance in August, several daysprior to a price breakout. At the right edge of the chart, a bearish diver-gence shows that the uptrend has run out of steam. It is time to take prof-its on long positions and go short, with a protective stop a few ticksabove the September top.150 COMPUTERIZED TECHNICAL ANALYSIS
To create S-RoC you must first calculate an exponential moving averageof closing prices (see Section 25). The next step is to apply Rate of Changeto the EMA. S-RoC is not very sensitive to the length of its EMA or RoCparts. You can calculate a 13-day EMA of closing prices and then apply a21-day Rate of Change to it (see worksheet, Figure 28-2).
Some traders calculate the Rate of Change of prices first and then smoothit with a moving average. Their method produces a much jumpier indicator,which is less useful than S-RoC.
Crowd Behavior
An exponential moving average reflects the average consensus of value ofall market participants during the period of its window. It is like a compositephotograph that reflects major features of the market crowd rather than itsfleeting moods.
S-RoC compares each reading of an EMA to a past reading from yourselected period of time. It compares the average mass consensus today to theaverage consensus in the past. S-RoC tracks major shifts in the bullishnessand bearishness of the market crowd.
Trading Rules
Changes in the direction of S-RoC often identify important market turns.Upturns of S-RoC mark significant bottoms, and its downturns mark impor-tant tops (Figure 28-4). Divergences between S-RoC and prices give espe-cially strong buy and sell signals.
1. Buy when S-RoC turns up from below its centerline.
2. Sell when S-RoC stops rising and turns down. Sell short when S-RoCturns down from above its centerline.
3. If prices reach a new high but S-RoC traces a lower peak, it shows thatthe market crowd is less enthusiastic even though prices are higher. Abearish divergence between S-RoC and price gives a strong signal tosell short.
4. If prices fall to a new low but S-RoC traces a higher bottom, it showsthat the market crowd is less fearful, even though prices are lower. It29. WILLIAMS %R 151
106,18101,9397,6893.43
89,18th
Figure 28-4. Smoothed Rate of Change (S-RoC 13/21)
To create this indicator, calculate a 13-day exponential moving averageof closing prices and apply a 21-day Rate of Change to it. S-RoC usuallyflows in smooth waves whose crests and bottoms identify many impor-tant turning points. This indicator works especially well in the stock mar-ket, with stock groups as well as with individual stocks.
 
shows that the downside pressure has lessened, even though the mar-ket has fallen deeper than before. A bullish divergence gives a strongsignal to cover shorts and buy.
29. WILLIAMS %R
Williams %R (Wm%R) is a simple but effective oscillator described byLarry Williams in 1973. It measures the capacity of bulls and bears to closeprices each day near the edge of the recent range. Wm%R confirms trendsand wams of their upcoming reversals.H,-CWm%R = 100 -H,-L
r r152 COMPUTERIZED TECHNICAL ANALYSIS
where r = the time window selected by a trader, such as 7 days.H,= the highest high of the selected period (i-e., a 7-day high).L, = the lowest low of the selected period (i.e., a 7-day low).C = the latest close.
Wm%R measures the placement of each closing price in relation to therecent high-low range. It expresses the distance from the highest high to thelowest low in its time window as 100 percent. It expresses the distance fromthe latest closing price to the top of that window as a percentage of the rangein its window (see worksheet, Figure 29-1). Williams %R is closely relatedto Stochastic (see Section 30).
Wm%R is designed to fluctuate between 0 and 100 percent. It equals 0(plotted at the top of the chart) when bulls reach the peak of their power andclose prices at the top of the range. It reaches 100 percent when bears are atthe peak of their power and close prices at the bottom of the recent range.
A rule of thumb with all oscillators when in doubt, make them shorter.This is the opposite of trend-following indicators— when in doubt makethem longer. Oscillators with narrow windows help catch short-term rever-sals, If you work with cycles, make Wm%R equal half the cycle length. A 7-day window fits Wm%%R fine. Wm%R works well with weekly charts — usea 7-week window.
Horizontal reference lines for Wm%R are drawn at 10 percent and 90 per-cent levels. When Wm%R closes above its upper reference line, it showsthat bulls are strong but the market is overbought. When Wm%R closesbelow its lower reference line, it shows that bears are strong but the marketis oversold.
Crowd Psychology
Each price is a momentary consensus of value among all market participants.The high of the recent range shows how high bulls can lift prices — it reflectstheir maximum power. The low of the range reflects the maximum power ofbears during that period. Closing price is the most important consensus ofthe day because the settlement of trading accounts depends on it.
Wm%R compares each closing price to the recent range. It shows whetherbulls can close the market near the top of the recent.range or bears can closethe market at the bottom of the range. Wm%R measures the balance ofpower between bulls and bears at closing time — the crucial money-countingtime in the market.
Bulls may push prices higher during the day, or bears may push them29, WILLIAMS %R 153
Figure 29-1. Williams %R Worksheet
Wm%R expresses the distance from the latest closing price to the top ofthe 7-day high-low range as a percentage of that range. Wm%R:7 is cal-culated here using a 7-day time window. You may choose a longer or ashorter window, depending on the trend you are trying to analyze.
 
lower. Wm%R shows which group is capable of closing the market in itsfavor. If bulls cannot close the market near the top during a rally, they areweaker than they seem. This is a shorting opportunity. If bears cannot closethe market near the lows during a decline, they are weaker than they appear.This is a buying opportunity.
Trading RulesWm%R gives three types of trading signals. They are, in order of impor-
tance, bullish or bearish divergences, failure swings, and overbought—over-sold readings (Figure 29-2).154 COMPUTERIZED TECHNICAL ANALYSIS
y un NU. ug
Figure 29-2. Seven-Day Williams %R (Wm%R:7)
When Wm%R rises above its upper reference line, it shows that the mar-ket is overbought. When it falls below its lower reference line, it showsthat the market is oversold. The best buy and sell signals are given bydivergences (marked by arrows). A Class B bearish divergence in Julygave a sell signal. A Class A bullish divergence in September gave astrong buy signal.
Failure swings (marked by the letter F) occur when Wm%R reverseswithout reaching its reference line. This happens during reactions against
_ very strong trends-failure swings confirm those trends. A failure swing
during a downtrend in August gave a strong sell signal. A failure swingduring an uptrend in September gave a strong buy signal.
At the right edge of the chart, prices are surging. If Wm%R dips belowits lower reference line, use that as a buying opportunity. Do not sellshort unless a bearish divergence emerges.
 
Divergences
Divergences between prices and Wm%R rarely occur. They identify the besttrading opportunities. When Wm%R rises above its upper reference line,falls, and then cannot rise above that line during the next rally, it creates abearish divergence. It shows that bulls are losing their power and the market29,WILLIAMS %R 155
is likely to fall. A bullish divergence occurs when Wm%R falls below itslower reference line, rallies, and then cannot decline below that line whenprices slide again. It shows that bears are losing power and a rally is in theoffing.
1. When you identify a bullish divergence, go long and place a protectivestop below the recent price low.
2. When you identify a bearish divergence, go short and place a protec-tive stop above the recent price high.
Failure Swings
Crowds tend to swing from one extreme to the other. Wm%R seldomreverses in the middle of its range. Failure swings occur when Wm%R failsto rise above its upper reference line during a rally or fall below its lowerreference line during a decline.
3. When Wm%R stops rising in the middle of a rally and turns downwithout reaching its upper reference line, it produces a failure swing.This shows that bulls are especially weak and gives a sell signal.
4. When Wm%R stops falling in the middle of a decline and turns upwithout reaching its lower reference line, that is a failure swing. Itshows that bears are very weak and gives a buy signal.
Overbought and Oversold
When prices close near the upper edge of their range, Wm%R reaches its topand becomes overbought. When prices close near the bottom of their recentrange, Wm%R falls and becomes oversold. Neither bulls nor bears are all-powerful. They seldom can close prices near the extreme of the recent rangefor too many days in a row.
5. When Wm%R rises above its upper reference line, it marks a potentialmarket top and gives a sell signal.
6. When Wm%R falls below its lower reference line, it marks a potentialmarket bottom and gives a buy signal.
These overbought and oversold signals tend to work well during flat trad-ing ranges. They become premature and dangerous when the market enters a156 COMPUTERIZED TECHNICAL ANALYSIS
trend. Wm%R can stay near the top for a week or longer during a strongrally: Its overbought readings can identify strength rather than a shortingopportunity. Similarly, in a strong downtrend, Wm%R can stay oversold forweeks, indicating weakness rather than a buying opportunity.
Overbought and oversold readings of Wm%R should be used for tradingonly after you identify the major trend. Use long-term trend-following indi-cators for that purpose (see Section 43). If a weekly chart shows a bull mar-ket, take only buy signals from daily Wm%R, and do not go short when itgives a sell signal. If a weekly chart indicates a bear market, sell short when-ever daily Wm%R gives you a sell signal, but do not go long when itbecomes oversold.
30. STOCHASTIC
Stochastic is an oscillator popularized by George Lane. It is now included inmany software programs and widely used by computerized traders.Stochastic tracks the relationship of each closing price to the recent high-lowrange.
Stochastic is more complex than Williams %R. It includes several stepsfor filtering out market noise and weeding out bad signals. Stochastic con-sists of two lines: a fast line called %K and a slow line called %D.
1. The first step in calculating Stochastic is to obtain “raw Stochastic” or%K:
Crod- =n
%K= —————° Hy-Ly
+100where Coq = today’s close.= the lowest point for the selected number of days.H,, = the highest point for the selected number of days.n =the number of days for Stochastic, selected by the trader.
The standard width of Stochastic’s time window is 5 days, although sometraders use much higher values. A narrow window helps catch more turningpoints, but a wider window helps identify major turning points.
2. The second step is to obtain %D. It is done by smoothing %K— usu-ally over a three-day period. It can be done in several ways, such as:30. STOCHASTIC 157
3-day sum of (Ciog— Ly)te ee3-day sum of (H, -Ly)
%D = 100
There are two ways to plot Stochastic— Fast and Slow. Fast Stochasticconsists of two lines—%K and %D—plotted on the same chart. It is very sen-sitive to market tums but leads to many whipsaws. Many traders prefer a lesssensitive Slow Stochastic. The %D of Fast Stochastic becomes the %K ofSlow Stochastic and is smoothed by repeating step 2 to obtain %D of SlowStochastic. Slow Stochastic does a better job of filtering out market noise andleads to fewer whipsaws. A 5-bar Slow Stochastic (smoothed over a 3-dayperiod) is a popular choice among, traders (see worksheet, Figure 30-1).
Swiss Franc
 
 
Figure 30-1. Stochastic Worksheet
¢ The %K of Fast Stochastic is similar to Williams %R.
¢ The %D of Fast Stochastic is obtained by smoothing %K over a 3-dayperiod. .
* The %D of Fast Stochastic becomes the %K of Slow Stochastic and issmoothed once again to obtain %D of Slow Stochastic.
Most traders use computers to construct Stochastic. Choosing thewidth of the Stochastic window depends on a trend you are trying toidentify. A very short-term Stochastic (5 days or so) helps catch short-term reversals. A longer Stochastic (14-21 days) helps identify more sig-nificant market turns.
 158 COMPUTERIZED TECHNICAL ANALYSIS
Stochastic is designed to fluctuate between 0 and 100. Reference lines aredrawn at 20 percent and 80 percent levels to mark overbought and oversoldareas. Slow Stochastic seldom reaches the same extremes as raw WilliamsDR.
Crowd Psychology
Each price is the consensus of value of all market participants at the momentof transaction. Daily closing prices are important because the settlement oftrading accounts depends on them. The high of any period marks the maxi-mum power of bulls during that time. The low of that period shows the max-imum power of bears during that time.
Stochastic measures the capacity of bulls or bears to close the market nearthe upper or lower edge of the recent range. When prices rally, markets tendto close near the high. If bulls can lift prices up during the day but cannotclose them near the top, Stochastic turns down. It shows that bulls areweaker than they seem and gives a sell signal.
Daily closes tend to occur near the lows during downtrends. When a barcloses near its high, it shows that bears can only push prices down during theday but cannot hold them down. An upturn of Stochastic shows that bearsare weaker than they appear and flashes a buy signal.
Trading Rules
Stochastic shows when bulls or bears become stronger or weaker. Thisinformation helps you decide whether bulls or bears are likely to win thecurrent fight in the market. It pays to trade with the winners and againstthe losers.
Stochastic gives three types of trading signals, listed here in the order ofimportance: divergences, the level of Stochastic lines, and their direction(Figure 30-2).
Divergences
The most powerful buy and sell signals of Stochastic are given by diver-gences between this indicator and prices.30. STOCHASTIC 159
Swiss Franc
sup [Hetil t' 1 Ih
i t sell
5-day Slow Stochastic
Figure 30-2. Five-Day Slow Stochastic
Stochastic lines help identify top and bottom areas when they moveabove or below their reference lines. These signals work well duringtrading ranges but are premature when a new trend begins (see earlySeptember). Stochastic gives its best signals when it diverges from prices.There is a Class A bearish divergence in early October, prior to a sharpprice break.
Once you go long or short using Stochastic, place a protective stopimmediately below the latest minor low or above the latest minor high.There is a buy signal at the right edge of the chart-it is time to covershorts and buy.
 
1. A bullish divergence occurs when prices fall to a new low butStochastic traces a higher bottom than during the previous decline. Itshows that bears are losing strength and prices are falling out of iner-tia. As soon as Stochastic turns up from its second bottom, it gives astrong buy signal: Go long and place a protective stop below the latestlow in the market. The best buy signals occur when the first bottom isbelow the lower reference line and the second is above it.
2. A bearish divergence occurs when prices rally to a new high butStochastic traces a lower top than during its previous rally. It shows160 COMPUTERIZED TECHNICAL ANALYSIS
that bulls are becoming weaker and prices are rising out of inertia. Assoon as Stochastic tums down from its second top, it gives a sell sig-nal: Go short and place a protective stop above the latest price peak.The best sell signals occur when the first top is above the upper refer-ence line and the second is below.
Overbought and Oversold
When Stochastic rallies above its upper reference line, it shows that the mar-ket is overbought. Overbought means too high, ready to tum down. WhenStochastic falls below its lower reference line, it shows that the market isoversold. Oversold means too low, ready to turn up.
These signals work fine during trading ranges but not when a marketdevelops a trend. In uptrends, Stochastic quickly becomes overbought andkeeps giving sell signals while the market rallies. In downtrends, Stochasticquickly becomes oversold and keeps giving premature buy signals. It pays tocombine Stochastic with a long-term trend-following indicator (see Section43). The Triple Screen trading system allows traders to take buy signals fromdaily Stochastic only when the weekly trend is up. When the weekly trend isdown, it allows traders to take only sell signals from daily Stochastic.
3. When you identify an uptrend on a weekly chart, wait for dailyStochastic lines to decline below their lower reference line. Then,without waiting for their crossover or an upturn, place a buy orderabove the high of the latest price bar. Once you are long, place a pro-tective stop below the low of the trade day or the previous day,whichever is lower.
The shape of Stochastic’s bottom often indicates whether a rally is likelyto be strong or weak. If the bottom is narrow and shallow, it shows that bearsare weak and the rally is likely to be strong. If it is deep and wide, it showsthat bears are strong and the rally is likely to be weak. It is better to take onlystrong buy signals.
4. When you identify a downtrend on a weekly chart, wait for dailyStochastic lines to rally above their upper reference line. Then, with-out waiting for their crossover or a downturn, place an order to sellshort below the low of the latest price bar. By the time Stochastic linescross over, the market is often in a free fall. Once you are short, place30. STOCHASTIC 161
a protective stop above the high of the trade day or the previous day,whichever is higher.
The shape of Stochastic’s top often indicates whether a decline is likely tobe steep or sluggish. A narrow top in Stochastic shows that bulls are weakand a severe decline is likely. A Stochastic top that is high and wide showsthat bulls are strong —it is safer to pass up that sell signal.
5. Do not buy when Stochastic is overbought and do not sell short whenit is oversold. This rule filters out most bad trades.
Line Direction
When both Stochastic lines are headed in the same direction, they confirmthe short-term trend. When prices rise and both Stochastic lines rise, theuptrend is likely to continue. When prices slide and both Stochastic lines fall,the short-term downtrend is likely to continue.
More on Stochastic
Stochastic can be used in any timeframe, including weekly, daily, or intra-day. Weekly Stochastic usually changes its direction one week prior toweekly MACD-Histogram. If weekly Stochastic turns, it warns you thattrend-following MACD-Histogram is likely to turn the next week. It is a sig-nal to tighten stops on existing positions or start taking profits.
Choosing the width of the Stochastic window is important. Short-termoscillators are more sensitive. Long-term oscillators turn only at importanttops and bottoms. If you use Stochastic as a stand-alone oscillator, a longerStochastic is preferable. If you use Stochastic as part of a trading system,combined with trend-following indicators, then a shorter Stochastic ispreferable.
An ingenious way to use Stochastic, popularized by Jacob Bernstein, iscalled a Stochastic pop. When Stochastic crosses above its upper referenceline, it indicates strength. You can buy for a quick rally and sell as soon asStochastic turns down. This signal can help you catch the last splash of thebullish wave.
Stochastic is one of the favorite tools of automatic trading systems devel-opers. These modern-day alchemists try to use Stochastic in a pu.cly162 COMPUTERIZED TECHNICAL ANALYSIS
mechanical manner, buying and selling when the two Stochastic lines cross.They discard Stochastic when it fails to deliver magic results. Trading thecrossovers of Stochastic lines is not profitable, no matter how much youoptimize them, because Stochastic works differently, depending on whetherthe market is in a trend or in a trading range.
31. RELATIVE STRENGTH INDEX
Relative Strength Index (RSI) is an oscillator developed by J. Welles Wilder,Jr. It is now included in most software packages. RSI measures the strengthof any trading vehicle by monitoring changes in its closing prices. It is aleading or a coincident indicator — it is never a laggard.
100
RSI = 100 - ————1+RS
average of net UP closing changes for a selected number of days
average of net DOWN closing changes for the samenumber of days
The pattern of RSI peaks and valleys does not change in response to thewidth of its time window. Trading signals become more visible with shorterRSI, such as 7 or 9 days. Most traders use computers to calculate and plotRSI. Take these steps to calculate a 7-day RSI for any market:
1. Obtain closing prices for the past 7 days.
2. Find all days where the market closed higher than the day before andadd up the amounts of increases. Divide the sum by 7 to obtain theaverage UP closing change.
3. Find all days when the market closed lower than the day before andadd up the amounts of declines. Divide the sum by 7 to obtain theaverage DOWN closing change.
4. Divide the average UP closing change by the average DOWN closingchange to obtain Relative Strength (RS). Insert RS in the formulaabove to arrive at RSI — Relative Strength Index.
5. Repeat the process daily (see worksheet, Figure 31-1).31. RELATIVE STRENGTH INDEX 163
Swiss Franc
 
 
0.08430.3967; 0.0765
0.0685
i 0.0789
0.2634 =: 0.0676
11/15 . 0.2258 i 0.11081iN6 . 0.2478 ; 0.0950
Figure 31-1. Seven-Day Relative Strength Index WorksheetBegin by calculating average UP closing and average DOWN closing for
the past 7 days. Insert the results in the RSI formula and then start usingthe calculation shortcut, as outlined in the text.
 
If you calculate RSI by hand, you can use a shortcut. Once you have 7days’ worth of data, replace steps 2 and 3 on all following days:
2. Multiply yesterday’s average UP closing change by 6, add today’s UPclosing change, if any, and divide the total by 7. That is your newaverage UP closing change.
3. Multiply yesterday’s average DOWN closing change by 6, add today’sDOWN close if any, and divide the total by 7. That is your new aver-age DOWN closing change. Then proceed to step 4 (opposite page).
RSI fluctuates between 0 and 100. When RSI reaches a peak and turnsdown, it identifies a top. When RSI falls and then turns up, it identifies a bot-tom. These turns come at different levels in different markets or even in thesame market, during bull and bear periods.164 COMP