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<!DOCTYPE html>
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<title>Chapter 5 Results | An Intelligent Market Cycle Detection System</title>
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<meta name="date" content="2020-11-25" />
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<li class="chapter" data-level="1" data-path="index.html"><a href="index.html"><i class="fa fa-check"></i><b>1</b> Introduction</a><ul>
<li class="chapter" data-level="1.1" data-path="index.html"><a href="index.html#statement-of-the-problem"><i class="fa fa-check"></i><b>1.1</b> Statement of the Problem</a></li>
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<li class="chapter" data-level="2.1" data-path="litrev.html"><a href="litrev.html#duration-dependence"><i class="fa fa-check"></i><b>2.1</b> Duration-dependence</a><ul>
<li class="chapter" data-level="2.1.1" data-path="litrev.html"><a href="litrev.html#definition"><i class="fa fa-check"></i><b>2.1.1</b> Definition</a></li>
<li class="chapter" data-level="2.1.2" data-path="litrev.html"><a href="litrev.html#turning-point-detection"><i class="fa fa-check"></i><b>2.1.2</b> Turning-point Detection</a></li>
<li class="chapter" data-level="2.1.3" data-path="litrev.html"><a href="litrev.html#cycle-length"><i class="fa fa-check"></i><b>2.1.3</b> Cycle Length</a></li>
<li class="chapter" data-level="2.1.4" data-path="litrev.html"><a href="litrev.html#cycle-synchronization"><i class="fa fa-check"></i><b>2.1.4</b> Cycle Synchronization</a></li>
<li class="chapter" data-level="2.1.5" data-path="litrev.html"><a href="litrev.html#bubbles-and-recessions"><i class="fa fa-check"></i><b>2.1.5</b> Bubbles and Recessions</a></li>
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<li class="chapter" data-level="2.2" data-path="litrev.html"><a href="litrev.html#established-cycles"><i class="fa fa-check"></i><b>2.2</b> Established Cycles</a><ul>
<li class="chapter" data-level="2.2.1" data-path="litrev.html"><a href="litrev.html#kondratiev"><i class="fa fa-check"></i><b>2.2.1</b> Kondratiev</a></li>
<li class="chapter" data-level="2.2.2" data-path="litrev.html"><a href="litrev.html#kuznets"><i class="fa fa-check"></i><b>2.2.2</b> Kuznets</a></li>
<li class="chapter" data-level="2.2.3" data-path="litrev.html"><a href="litrev.html#juglar"><i class="fa fa-check"></i><b>2.2.3</b> Juglar</a></li>
<li class="chapter" data-level="2.2.4" data-path="litrev.html"><a href="litrev.html#kitchin"><i class="fa fa-check"></i><b>2.2.4</b> Kitchin</a></li>
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<li class="chapter" data-level="2.3" data-path="litrev.html"><a href="litrev.html#classification-of-sp500"><i class="fa fa-check"></i><b>2.3</b> Classification of S&P500</a></li>
<li class="chapter" data-level="2.4" data-path="litrev.html"><a href="litrev.html#features-to-determine-phases"><i class="fa fa-check"></i><b>2.4</b> Features to determine phases</a><ul>
<li class="chapter" data-level="2.4.1" data-path="litrev.html"><a href="litrev.html#political-events"><i class="fa fa-check"></i><b>2.4.1</b> Political Events</a></li>
<li class="chapter" data-level="2.4.2" data-path="litrev.html"><a href="litrev.html#economic-factors"><i class="fa fa-check"></i><b>2.4.2</b> Economic Factors</a></li>
<li class="chapter" data-level="2.4.3" data-path="litrev.html"><a href="litrev.html#health-shocks-pandemics-and-epidemics"><i class="fa fa-check"></i><b>2.4.3</b> Health Shocks (Pandemics and Epidemics)</a></li>
<li class="chapter" data-level="2.4.4" data-path="litrev.html"><a href="litrev.html#financial-indicators"><i class="fa fa-check"></i><b>2.4.4</b> Financial Indicators</a></li>
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<li class="chapter" data-level="2.5" data-path="litrev.html"><a href="litrev.html#importance-of-features"><i class="fa fa-check"></i><b>2.5</b> Importance of features</a></li>
<li class="chapter" data-level="2.6" data-path="litrev.html"><a href="litrev.html#market-prediction"><i class="fa fa-check"></i><b>2.6</b> Market prediction</a></li>
</ul></li>
<li class="chapter" data-level="3" data-path="methodology.html"><a href="methodology.html"><i class="fa fa-check"></i><b>3</b> Methodology</a><ul>
<li class="chapter" data-level="3.1" data-path="methodology.html"><a href="methodology.html#data"><i class="fa fa-check"></i><b>3.1</b> Data</a></li>
<li class="chapter" data-level="3.2" data-path="methodology.html"><a href="methodology.html#techniques"><i class="fa fa-check"></i><b>3.2</b> Techniques</a></li>
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<li class="chapter" data-level="4" data-path="methodology.html"><a href="methodology.html#data"><i class="fa fa-check"></i><b>4</b> Data Preparation</a><ul>
<li class="chapter" data-level="4.1" data-path="data.html"><a href="data.html"><i class="fa fa-check"></i><b>4.1</b> Factors Tested</a></li>
<li class="chapter" data-level="4.2" data-path="data.html"><a href="data.html#testing-stationarity"><i class="fa fa-check"></i><b>4.2</b> Testing Stationarity</a></li>
<li class="chapter" data-level="4.3" data-path="data.html"><a href="data.html#recessions"><i class="fa fa-check"></i><b>4.3</b> Recessions</a></li>
<li class="chapter" data-level="4.4" data-path="data.html"><a href="data.html#sp500-index"><i class="fa fa-check"></i><b>4.4</b> S&P500 Index</a></li>
<li class="chapter" data-level="4.5" data-path="data.html"><a href="data.html#national-financial-conditions-index"><i class="fa fa-check"></i><b>4.5</b> National Financial Conditions Index</a></li>
<li class="chapter" data-level="4.6" data-path="data.html"><a href="data.html#industrial-production-index"><i class="fa fa-check"></i><b>4.6</b> Industrial Production Index</a></li>
<li class="chapter" data-level="4.7" data-path="data.html"><a href="data.html#real-government-consumption-expenditures-and-gross-investment"><i class="fa fa-check"></i><b>4.7</b> Real Government Consumption Expenditures and Gross Investment</a></li>
<li class="chapter" data-level="4.8" data-path="data.html"><a href="data.html#dollar-index"><i class="fa fa-check"></i><b>4.8</b> Dollar Index</a><ul>
<li class="chapter" data-level="4.8.1" data-path="data.html"><a href="data.html#trade-weighted-u.s.-dollar-index-advanced-foreign-economies-goods-and-services-dtwexafegs"><i class="fa fa-check"></i><b>4.8.1</b> Trade Weighted U.S. Dollar Index: Advanced Foreign Economies, Goods and Services (DTWEXAFEGS)</a></li>
<li class="chapter" data-level="4.8.2" data-path="data.html"><a href="data.html#trade-weighted-u.s.-dollar-index-broad-goods-and-services-dtwexbgs"><i class="fa fa-check"></i><b>4.8.2</b> Trade Weighted U.S. Dollar Index: Broad, Goods and Services (DTWEXBGS)</a></li>
<li class="chapter" data-level="4.8.3" data-path="data.html"><a href="data.html#trade-weighted-u.s.-dollar-index-major-currencies-goods-discontinued-dtwexm"><i class="fa fa-check"></i><b>4.8.3</b> Trade Weighted U.S. Dollar Index: Major Currencies, Goods (DISCONTINUED) (DTWEXM)</a></li>
<li class="chapter" data-level="4.8.4" data-path="data.html"><a href="data.html#trade-weighted-u.s.-dollar-index-broad-goods-discontinued-dtwexb"><i class="fa fa-check"></i><b>4.8.4</b> Trade Weighted U.S. Dollar Index: Broad, Goods (DISCONTINUED) (DTWEXB)</a></li>
</ul></li>
<li class="chapter" data-level="4.9" data-path="data.html"><a href="data.html#year-treasury-constant-maturity-rate-dgs10"><i class="fa fa-check"></i><b>4.9</b> 10-Year Treasury Constant Maturity Rate (DGS10)</a></li>
<li class="chapter" data-level="4.10" data-path="data.html"><a href="data.html#real-gross-domestic-product-gdpc1"><i class="fa fa-check"></i><b>4.10</b> Real Gross Domestic Product (GDPC1)</a></li>
<li class="chapter" data-level="4.11" data-path="data.html"><a href="data.html#unemployment-rate-unrate"><i class="fa fa-check"></i><b>4.11</b> Unemployment Rate (UNRATE)</a></li>
<li class="chapter" data-level="4.12" data-path="data.html"><a href="data.html#sp500-analysis"><i class="fa fa-check"></i><b>4.12</b> S&P500 Analysis</a><ul>
<li class="chapter" data-level="4.12.1" data-path="data.html"><a href="data.html#price-vs.recessions-line"><i class="fa fa-check"></i><b>4.12.1</b> Price vs. Recessions (Line)</a></li>
<li class="chapter" data-level="4.12.2" data-path="data.html"><a href="data.html#returns-vs.-recessions-line"><i class="fa fa-check"></i><b>4.12.2</b> Returns Vs. Recessions (Line)</a></li>
<li class="chapter" data-level="4.12.3" data-path="data.html"><a href="data.html#returns-vs.-recessions-box-plot"><i class="fa fa-check"></i><b>4.12.3</b> Returns Vs. Recessions (Box-plot)</a></li>
<li class="chapter" data-level="4.12.4" data-path="data.html"><a href="data.html#draw-downs-vs.recessions-line"><i class="fa fa-check"></i><b>4.12.4</b> Draw-downs vs. Recessions (Line)</a></li>
</ul></li>
<li class="chapter" data-level="4.13" data-path="data.html"><a href="data.html#fundamentals"><i class="fa fa-check"></i><b>4.13</b> Fundamentals</a><ul>
<li class="chapter" data-level="4.13.1" data-path="data.html"><a href="data.html#sp-500-pe-ratio"><i class="fa fa-check"></i><b>4.13.1</b> S&P 500 PE Ratio</a></li>
<li class="chapter" data-level="4.13.2" data-path="data.html"><a href="data.html#sp-500-earnings-yield-inverse"><i class="fa fa-check"></i><b>4.13.2</b> S&P 500 Earnings Yield (inverse)</a></li>
<li class="chapter" data-level="4.13.3" data-path="data.html"><a href="data.html#shiller-pe-ratio"><i class="fa fa-check"></i><b>4.13.3</b> Shiller PE Ratio</a></li>
<li class="chapter" data-level="4.13.4" data-path="data.html"><a href="data.html#sp-500-price-to-sales-ratio"><i class="fa fa-check"></i><b>4.13.4</b> S&P 500 Price to Sales Ratio</a></li>
<li class="chapter" data-level="4.13.5" data-path="data.html"><a href="data.html#sp-500-price-to-book-value"><i class="fa fa-check"></i><b>4.13.5</b> S&P 500 Price to Book Value</a></li>
<li class="chapter" data-level="4.13.6" data-path="data.html"><a href="data.html#sp-500-dividend-growth"><i class="fa fa-check"></i><b>4.13.6</b> S&P 500 Dividend Growth</a></li>
</ul></li>
<li class="chapter" data-level="4.14" data-path="data.html"><a href="data.html#seasonal-analysis"><i class="fa fa-check"></i><b>4.14</b> Seasonal Analysis</a><ul>
<li class="chapter" data-level="4.14.1" data-path="data.html"><a href="data.html#time-analysis-breakdown"><i class="fa fa-check"></i><b>4.14.1</b> Time Analysis Breakdown</a></li>
<li class="chapter" data-level="4.14.2" data-path="data.html"><a href="data.html#sarima"><i class="fa fa-check"></i><b>4.14.2</b> SARIMA?</a></li>
<li class="chapter" data-level="4.14.3" data-path="data.html"><a href="data.html#archgarch"><i class="fa fa-check"></i><b>4.14.3</b> ARCH/GARCH?</a></li>
<li class="chapter" data-level="4.14.4" data-path="data.html"><a href="data.html#fourier-analysis"><i class="fa fa-check"></i><b>4.14.4</b> Fourier Analysis</a></li>
</ul></li>
<li class="chapter" data-level="4.15" data-path="data.html"><a href="data.html#technical-analysis"><i class="fa fa-check"></i><b>4.15</b> Technical Analysis</a><ul>
<li class="chapter" data-level="4.15.1" data-path="data.html"><a href="data.html#moving-averages"><i class="fa fa-check"></i><b>4.15.1</b> Moving Averages</a></li>
<li class="chapter" data-level="4.15.2" data-path="data.html"><a href="data.html#relative-strength-indicator"><i class="fa fa-check"></i><b>4.15.2</b> Relative Strength Indicator</a></li>
<li class="chapter" data-level="4.15.3" data-path="data.html"><a href="data.html#commodity-channel-index"><i class="fa fa-check"></i><b>4.15.3</b> Commodity Channel Index</a></li>
</ul></li>
<li class="chapter" data-level="4.16" data-path="data.html"><a href="data.html#politics"><i class="fa fa-check"></i><b>4.16</b> Politics</a><ul>
<li class="chapter" data-level="4.16.1" data-path="data.html"><a href="data.html#days-to-next-presidential-elections"><i class="fa fa-check"></i><b>4.16.1</b> Days to next Presidential Elections</a></li>
<li class="chapter" data-level="4.16.2" data-path="data.html"><a href="data.html#political-party"><i class="fa fa-check"></i><b>4.16.2</b> Political Party</a></li>
</ul></li>
<li class="chapter" data-level="4.17" data-path="data.html"><a href="data.html#economics"><i class="fa fa-check"></i><b>4.17</b> Economics</a><ul>
<li class="chapter" data-level="4.17.1" data-path="data.html"><a href="data.html#national-financial-conditions-index-nfci"><i class="fa fa-check"></i><b>4.17.1</b> National Financial Conditions Index (NFCI)</a></li>
<li class="chapter" data-level="4.17.2" data-path="data.html"><a href="data.html#industrial-production-index-ipro"><i class="fa fa-check"></i><b>4.17.2</b> Industrial Production Index (IPRO)</a></li>
<li class="chapter" data-level="4.17.3" data-path="data.html"><a href="data.html#government-consumption-expenditures-and-gross-investment-gce"><i class="fa fa-check"></i><b>4.17.3</b> Government Consumption Expenditures and Gross Investment (GCE)</a></li>
<li class="chapter" data-level="4.17.4" data-path="data.html"><a href="data.html#unemployment-rate-unrate-1"><i class="fa fa-check"></i><b>4.17.4</b> Unemployment Rate (UNRATE)</a></li>
<li class="chapter" data-level="4.17.5" data-path="data.html"><a href="data.html#real-gross-domestic-product-gdpc1-1"><i class="fa fa-check"></i><b>4.17.5</b> Real Gross Domestic Product (GDPC1)</a></li>
<li class="chapter" data-level="4.17.6" data-path="data.html"><a href="data.html#personal-saving-rate-psavert"><i class="fa fa-check"></i><b>4.17.6</b> Personal Saving Rate (PSAVERT)</a></li>
<li class="chapter" data-level="4.17.7" data-path="data.html"><a href="data.html#disposable-personal-income-dspi"><i class="fa fa-check"></i><b>4.17.7</b> Disposable Personal Income (DSPI)</a></li>
<li class="chapter" data-level="4.17.8" data-path="data.html"><a href="data.html#real-manufacturing-and-trade-industries-sales-cmrmtspl"><i class="fa fa-check"></i><b>4.17.8</b> Real Manufacturing and Trade Industries Sales (CMRMTSPL)</a></li>
<li class="chapter" data-level="4.17.9" data-path="data.html"><a href="data.html#new-private-housing-units-authorized-by-building-permits-permit"><i class="fa fa-check"></i><b>4.17.9</b> New Private Housing Units Authorized by Building Permits (PERMIT)</a></li>
<li class="chapter" data-level="4.17.10" data-path="data.html"><a href="data.html#year-treasury-constant-maturity-rate-dgs10-1"><i class="fa fa-check"></i><b>4.17.10</b> 10-Year Treasury Constant Maturity Rate (DGS10)</a></li>
<li class="chapter" data-level="4.17.11" data-path="data.html"><a href="data.html#year-treasury-constant-maturity-minus-2-year-treasury-constant-maturity-t10y2y"><i class="fa fa-check"></i><b>4.17.11</b> 10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity (T10Y2Y)</a></li>
<li class="chapter" data-level="4.17.12" data-path="data.html"><a href="data.html#year-treasury-constant-maturity-minus-federal-funds-rate-t10yff"><i class="fa fa-check"></i><b>4.17.12</b> 10-Year Treasury Constant Maturity Minus Federal Funds Rate (T10YFF)</a></li>
<li class="chapter" data-level="4.17.13" data-path="data.html"><a href="data.html#month-treasury-bill-minus-federal-funds-rate-tb6smffm"><i class="fa fa-check"></i><b>4.17.13</b> 6-Month Treasury Bill Minus Federal Funds Rate (TB6SMFFM)</a></li>
<li class="chapter" data-level="4.17.14" data-path="data.html"><a href="data.html#month-treasury-constant-maturity-minus-federal-funds-rate-t6mff"><i class="fa fa-check"></i><b>4.17.14</b> 6-Month Treasury Constant Maturity Minus Federal Funds Rate (T6MFF)</a></li>
<li class="chapter" data-level="4.17.15" data-path="data.html"><a href="data.html#coincident-economic-activity-index-for-the-united-states-usphci"><i class="fa fa-check"></i><b>4.17.15</b> Coincident Economic Activity Index for the United States (USPHCI)</a></li>
<li class="chapter" data-level="4.17.16" data-path="data.html"><a href="data.html#leading-index-for-the-united-states-usslind"><i class="fa fa-check"></i><b>4.17.16</b> Leading Index for the United States (USSLIND)</a></li>
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<li class="chapter" data-level="5" data-path="results.html"><a href="results.html"><i class="fa fa-check"></i><b>5</b> Results</a><ul>
<li class="chapter" data-level="5.1" data-path="results.html"><a href="results.html#presidential-cycles-1"><i class="fa fa-check"></i><b>5.1</b> Presidential Cycles</a></li>
<li class="chapter" data-level="5.2" data-path="results.html"><a href="results.html#moving-average-classification"><i class="fa fa-check"></i><b>5.2</b> Moving Average Classification</a></li>
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<li class="chapter" data-level="6" data-path="conclusion.html"><a href="conclusion.html"><i class="fa fa-check"></i><b>6</b> Conclusion</a><ul>
<li class="chapter" data-level="6.1" data-path="conclusion.html"><a href="conclusion.html#summary"><i class="fa fa-check"></i><b>6.1</b> Summary</a></li>
<li class="chapter" data-level="6.2" data-path="conclusion.html"><a href="conclusion.html#further-research"><i class="fa fa-check"></i><b>6.2</b> Further Research</a><ul>
<li class="chapter" data-level="6.2.1" data-path="conclusion.html"><a href="conclusion.html#sp500-market-sectors"><i class="fa fa-check"></i><b>6.2.1</b> S&P500 Market Sectors</a></li>
<li class="chapter" data-level="6.2.2" data-path="conclusion.html"><a href="conclusion.html#consensus"><i class="fa fa-check"></i><b>6.2.2</b> Consensus</a></li>
<li class="chapter" data-level="6.2.3" data-path="conclusion.html"><a href="conclusion.html#fourier-analysis-matching"><i class="fa fa-check"></i><b>6.2.3</b> Fourier Analysis matching</a></li>
<li class="chapter" data-level="6.2.4" data-path="conclusion.html"><a href="conclusion.html#fourier-analysis-contractionexpansion"><i class="fa fa-check"></i><b>6.2.4</b> Fourier Analysis Contraction/Expansion</a></li>
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<li class="chapter" data-level="7" data-path="ref.html"><a href="ref.html"><i class="fa fa-check"></i><b>7</b> References</a></li>
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<h1><span class="header-section-number">Chapter 5</span> Results</h1>
<div id="presidential-cycles-1" class="section level2">
<h2><span class="header-section-number">5.1</span> Presidential Cycles</h2>
<pre><code>## [1] "^GSPC"</code></pre>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-79-1.png" width="672" /></p>
<table>
<caption>
<span id="tab:unnamed-chunk-82">Table 5.1: </span>List of Presidents
</caption>
<thead>
<tr>
<th style="text-align:left;">
</th>
<th style="text-align:left;">
President
</th>
<th style="text-align:left;">
Party
</th>
<th style="text-align:left;">
Presidency_start
</th>
<th style="text-align:left;">
Presidency_end
</th>
</tr>
</thead>
<tbody>
<tr>
<td style="text-align:left;">
29
</td>
<td style="text-align:left;">
Warren G. Harding
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
1921-03-04
</td>
<td style="text-align:left;">
1923-08-02
</td>
</tr>
<tr>
<td style="text-align:left;">
30
</td>
<td style="text-align:left;">
Calvin Coolidge
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
1923-08-02
</td>
<td style="text-align:left;">
1929-03-04
</td>
</tr>
<tr>
<td style="text-align:left;">
31
</td>
<td style="text-align:left;">
Herbert Hoover
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
1929-03-04
</td>
<td style="text-align:left;">
1933-03-04
</td>
</tr>
<tr>
<td style="text-align:left;">
32
</td>
<td style="text-align:left;">
Franklin D. Roosevelt
</td>
<td style="text-align:left;">
Democratic
</td>
<td style="text-align:left;">
1933-03-04
</td>
<td style="text-align:left;">
1945-04-12
</td>
</tr>
<tr>
<td style="text-align:left;">
33
</td>
<td style="text-align:left;">
Harry S. Truman
</td>
<td style="text-align:left;">
Democratic
</td>
<td style="text-align:left;">
1945-04-12
</td>
<td style="text-align:left;">
1953-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
34
</td>
<td style="text-align:left;">
Dwight D. Eisenhower
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
1953-01-20
</td>
<td style="text-align:left;">
1961-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
35
</td>
<td style="text-align:left;">
John F. Kennedy
</td>
<td style="text-align:left;">
Democratic
</td>
<td style="text-align:left;">
1961-01-20
</td>
<td style="text-align:left;">
1963-11-22
</td>
</tr>
<tr>
<td style="text-align:left;">
36
</td>
<td style="text-align:left;">
Lyndon B. Johnson
</td>
<td style="text-align:left;">
Democratic
</td>
<td style="text-align:left;">
1963-11-22
</td>
<td style="text-align:left;">
1969-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
37
</td>
<td style="text-align:left;">
Richard Nixon
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
1969-01-20
</td>
<td style="text-align:left;">
1974-08-09
</td>
</tr>
<tr>
<td style="text-align:left;">
38
</td>
<td style="text-align:left;">
Gerald Ford
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
1974-08-09
</td>
<td style="text-align:left;">
1977-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
39
</td>
<td style="text-align:left;">
Jimmy Carter
</td>
<td style="text-align:left;">
Democratic
</td>
<td style="text-align:left;">
1977-01-20
</td>
<td style="text-align:left;">
1981-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
40
</td>
<td style="text-align:left;">
Ronald Reagan
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
1981-01-20
</td>
<td style="text-align:left;">
1989-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
41
</td>
<td style="text-align:left;">
George H. W. Bush
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
1989-01-20
</td>
<td style="text-align:left;">
1993-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
42
</td>
<td style="text-align:left;">
Bill Clinton
</td>
<td style="text-align:left;">
Democratic
</td>
<td style="text-align:left;">
1993-01-20
</td>
<td style="text-align:left;">
2001-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
43
</td>
<td style="text-align:left;">
George W. Bush
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
2001-01-20
</td>
<td style="text-align:left;">
2009-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
44
</td>
<td style="text-align:left;">
Barack Obama
</td>
<td style="text-align:left;">
Democratic
</td>
<td style="text-align:left;">
2009-01-20
</td>
<td style="text-align:left;">
2017-01-20
</td>
</tr>
<tr>
<td style="text-align:left;">
45
</td>
<td style="text-align:left;">
Donald Trump
</td>
<td style="text-align:left;">
Republican
</td>
<td style="text-align:left;">
2017-01-20
</td>
<td style="text-align:left;">
2020-11-25
</td>
</tr>
</tbody>
</table>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-86-1.png" width="672" /></p>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-90-1.png" width="672" /></p>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-92-1.png" width="672" /></p>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-94-1.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-94-2.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-94-3.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-94-4.png" width="672" /></p>
<pre><code>##
## Call:
## lm(formula = logValue ~ date, data = df_GSPC)
##
## Coefficients:
## (Intercept) date
## 4.5521489 0.0001796</code></pre>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-96-1.png" width="672" /></p>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-97-1.png" width="672" /></p>
<pre><code>##
## Call:
## lm(formula = y ~ sin(2 * pi/per * t) + cos(2 * pi/per * t))
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.93597 -0.19359 -0.07352 0.17951 1.25356
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.004768 0.001874 2.544 0.011 *
## sin(2 * pi/per * t) 0.223227 0.002618 85.278 <2e-16 ***
## cos(2 * pi/per * t) 0.235011 0.002682 87.628 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.286 on 23334 degrees of freedom
## Multiple R-squared: 0.3939, Adjusted R-squared: 0.3938
## F-statistic: 7581 on 2 and 23334 DF, p-value: < 2.2e-16</code></pre>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-97-2.png" width="672" /></p>
<pre><code>## [1] 12000</code></pre>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-98-1.png" width="672" /></p>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-99-1.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-99-2.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-99-3.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-99-4.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-99-5.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-99-6.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-99-7.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-99-8.png" width="672" /></p>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-100-1.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-100-2.png" width="672" /></p>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-101-1.png" width="672" /></p>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-102-1.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-102-2.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-102-3.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-102-4.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-102-5.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-102-6.png" width="672" /><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-102-7.png" width="672" /></p>
<div class="figure"><span id="fig:unnamed-chunk-103"></span>
<img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-103-1.png" alt="\label{fig:figs}GSPC Daily Returns vs Political Parties" width="672" />
<p class="caption">
Figure 5.1: GSPC Daily Returns vs Political Parties
</p>
</div>
<div class="figure"><span id="fig:unnamed-chunk-104"></span>
<img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-104-1.png" alt="\label{fig:figs}GSPC Monthly Returns vs Political Parties" width="672" />
<p class="caption">
Figure 5.2: GSPC Monthly Returns vs Political Parties
</p>
</div>
<div class="figure"><span id="fig:unnamed-chunk-105"></span>
<img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-105-1.png" alt="\label{fig:figs}GSPC Quarterly Returns vs Political Parties" width="672" />
<p class="caption">
Figure 5.3: GSPC Quarterly Returns vs Political Parties
</p>
</div>
<div class="figure"><span id="fig:unnamed-chunk-106"></span>
<img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-106-1.png" alt="\label{fig:figs}GSPC Yearly Returns vs Political Parties" width="672" />
<p class="caption">
Figure 5.4: GSPC Yearly Returns vs Political Parties
</p>
</div>
</div>
<div id="moving-average-classification" class="section level2">
<h2><span class="header-section-number">5.2</span> Moving Average Classification</h2>
<pre><code>## [1] "^GSPC"</code></pre>
<p><img src="MichaelAzer_thesis_files/figure-html/unnamed-chunk-112-1.png" width="672" /></p>
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