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I could also employ a pure chartist approach, perhaps to give the counterfactual.
==S&P 500 dataIndex Data==
As much as I love the Dow, it accounts for about 25% of the economy, whereas the S&P500 accounts for around 80%. So I'll likely use the S&P500. I'll download both from Yahoo:
*https://finance.yahoo.com/quote/%5EGSPC/history?period1=157766400&period2=1595548800&interval=1d&filter=history&frequency=1d
*https://finance.yahoo.com/quote/%5EDJI/history?period1=157766400&period2=1595548800&interval=1d&filter=history&frequency=1d
Trying for older data is problematic from Yahoo. The site complains about start dates being ahead of end dates with start dates before 1976ish... Usually, the issue doesn't happen with 2digit date less than 41. You can edit the URL directly using [https://www.unixtimestamp.com/index.php Unix Timestamps] to create 1900 to 28th July 2020: https://finance.yahoo.com/quote/%5EDJI/history?period1=-2208988800&period2=1595980800&interval=1d&filter=history&frequency=1d. However, the data you get will still start on 1/29/1985. The Dow started in May 26, 1896 [https://www.spglobal.com/spdji/en/indices/equity/dow-jones-industrial-average/#data]. The WSJ gives data from 1970 forward... However, historical data is available from WRDS for the DJI from May 26th 1896 to Dec 31st 2007. I downloaded it as dbe3d1bd4ba151a3.txt (525 KB, 27955 observations 3 variables).
S&P500 identifiers have apparently become proprietary - WRDS no longer carries them. Also the S&P500 started in 1957, which is long after the Wall Street Crash (I'd like to include this crash!), and historical data is now hard to find. Overall, I think I'll go back the Dow!
==COMPUSTAT data==
[https://en.wikipedia.org/wiki/Self-organized_criticality Self-Organizing Criticality], which gives rise to [https://en.wikipedia.org/wiki/Scale_invariance Scale Invariance], might provide a model. See the [https://en.wikipedia.org/wiki/Abelian_sandpile_model Abelian sandpile model] as a place to start.
==Checking results==
I wrote an Op-Ed and submitted it to the WSJ on August 8th. It is in the project folder:
E:\projects\stockmarketanalysis\Egan (2020) - Category 3 Stock Market Crash (WSJ Op Ed V2-2).docx (and .pdf)
In that article, I included a table of durations, multiples lost, and max declines. I want to check the durations...
*First check: Did I double load the index file? Probably not as some durations are odd. DJIAFull.txt has 31127 lines. Table djia has 31126 record, all distinct.
*Second check: Durations are calculated by counting records WHERE WHERE reltrading >ppreltrading AND reltrading < refindreltradingfirst in DJIACrashFirst, etc. These queries come from DJIACrashWMarkers, which is blown out by Event (and has 85,732 records). I checked the Asian Contagion and Black Monday. They were fine.
*Third check: I manually checked the index file for and calculated the duration of the dot com crash:
**I found a -6% on April 14th,2000. The index was a 10305. I worked back.
**The prior peak was on Jan 17th, 2000. It was 11722. I worked forward.
**The next time the index hit that level was Mar 10th, 2006. There were 1,699 trading days in the interim, which is what I have in the report.
**It then stayed above that level until June 26th, 2008... So one crash blends into the next.
