Chain Rule Says

日期:2016/09/22 

Chain Rule says that the area to be covered by u dv = uv - area covered by v du

In that case when u and v are high the effect of a change in the other one should be algebraically higher than when u or v is low.

I looked at the 5 occasions when tbonds, crude and SPU all set a 10 day high, sort of like today although not all highs. In the last 6 years.

I find a change in SPU is very bearish– down 32 next 5 days. A change in bonds down is very bullish. Change in crude very bearish. Down almost 10 ^+% next 5 days. Change in bonds quite bullish.



Compare that to 3 occasions when they all were at 10 day lows:

change in S&P fairly bullish

change in bonds very negative

change in crude fairly bullish

No significant effect except that bonds tends to continue at extremes.