A Brief History Of Monetary Policy And Asset Price Booms (3)

Historical Stock PricesOutput growth is consistently lower during both property and equity price deflations, and the slowdown is statistically significant except in the classical gold standard period for house prices.  See Analysis of 10-year Treasury Note Interest Rate History It presents interest rate history as a histogram (frequency chart), and considers the potential impact of interest rates on the stock market and real estate. Analyzing Treasury Interest Rates since 1900 : historical likelihood of yield being above/below 2%, 3%, 4%, etc.; potential impact of rate changes on stock market & real estate.

Current U.S. Interest Rates : for the most recent rates for U.S. Treasuries from 1 month to 30 years. For lists of other popular posts and an index of stock & bond-related posts, by subject area, see the sidebar to the left or the blog header. Increasing risk of default would result in lower bond PRICES; investors would be reluctant to own the bonds, and this would drive prices down. As an example, take a look at the historical data for the i Shares Core US Aggregate Bond (AGG) An excerpt of this historical data is shown in the image below.

I have no idea what rates are going to do in the future, but I am confident that long-bonds will continue to have low correlation with the stock market so I will continue to hold, irrespective of speculations. If you would like to use the actual close rather than the adjusted close in Ambroker, replace the highlighted line above, with the line below and re-download all of your historical data from Yahoo.

This means that a buy price shown in a backtest will not be the actual buy price that you could have received trading on that day (for any stock or ETF that at some point later in time issued a dividend or capital gain). This issue has a big impact on trade entry and exit signals with rotation/ranking systems…a system where a group of stocks/ETFs/mutual funds are being compared to each other based on open/high/low/close (OHLC) price data.Historical Stock Prices

In the table below, is the comparison of entry and exit dates and vehicles for the strategy with the green equity curve in the above two charts. Recall that the equity curves in the two charts above was generated by the same rotation strategy run against the same 10 ETFs in the list above…the only difference between the equity curves is the data…adjusted close data versus actual close data. After doing this for 12 months, of actual trading, using actual closing prices…run a backtest of this strategy on the adjusted price time series for this same basket of vehicles.

Historical Stock Prices