Nov

30

It is hard to believe that the moves of the Nikkei on Wednesday and Thursday overnight, before the US stocks opened, were not indicative of the imminent break through from below of the round 1400 by the S&P, but this must be tested.

  NIKKEI (NI1) S&P (SP1)
Date Open Close Open Close
1-Nov 16375 16380 1386.1 1372.9
2-Nov 16395 16350 1368.8 1371.3
3-Nov 16350 16330 1375.8 1368.5
6-Nov 16320 16380 1372.8 1383.8
7-Nov 16385 16420 1385.0 1389.0
8-Nov 16420 16235 1382.5 1391.6
9-Nov 16235 16245 1392.5 1384.0
10-Nov 16240 16080 1383.5 1384.8
13-Nov 16085 16020 1384.0 1388.0
14-Nov 16025 16295 1391.3 1397.7
15-Nov 16300 16260 1397.0 1401.5
16-Nov 16270 16170 1405.4 1405.1
17-Nov 16175 16065 1400.2 1404.8
20-Nov 16065 15735 1403.2 1405.3
21-Nov 15740 15720 1404.8 1406.2
22-Nov 15720 15855 1407.0 1408.4
23-Nov #N/A #N/A #N/A #N/A
24-Nov 15800 15725 1401.6 1402.9
27-Nov 15725 15860 1401.9 1383.6
28-Nov 15860 15865 1381.2 1388.6
29-Nov 15855 16080 1392.7 1402.2
30-Nov 16080 16310 1402.5 1402.9

An Earnest Spec replies:

On a related note regarding moves in the East, I was wondering if you might critique this Kindergartner’s effort in the quantitative world. What is worthy? What is worthless? What to add? What to omit?

IF was up 9.5% yesterday, completing a five-day percentage gain of more than three standard deviations above the average five-day percentage change measured over the last 30 trading days. I queried IF’s history for like moves while trading over the 200sma. The table is expressed as percentage change, T+(X) days out from yesterday’s event.

Date t+7 t+8 t+12 t+28 t+30
04/23/1992 -7.1 -7.1 -5.9 -2.4 -1.2
05/28/1993 2.3 0.0 2.3 3.5 3.5
12/27/1993 -11.1 -15.3 -21.7 -22.8 -24.9
05/11/1995 -6.1 -7.1 -6.1 -8.2 -8.2
04/25/1996 -5.7 -3.8 -2.8 -5.7 -6.6
07/08/1997 -11.1 -11.1 -16.2 -29.3 -33.3
01/06/1999 -11.9 -3.0 -14.9 -9.0 -10.4
06/08/1999 -4.5 -3.6 -1.8 -5.4 -11.6
08/23/1999 -8.6 -10.8 -14.0 -8.6 -11.8
04/09/2002 -4.0 0.0 -0.4 -6.0 -5.2
05/09/2003 -6.7 -6.7 -1.8 -0.9 0.9
10/13/2003 -1.3 -2.9 -4.0 -5.1 -6.9
12/26/2003 -14.1 -14.2 -16.8 -23.7 -22.0
11/29/2006 NaN NaN NaN NaN NaN
           
Avg -6.9 -6.6 -8.0 -9.5 -10.6
AvgPos 2.3 NaN 2.3 3.5 2.2
AvgNeg -7.7 -7.8 -8.9 -10.6 -12.9
PctPos 7.7 0.0 7.7 7.7 15.4
PctNeg 92.3 84.6 92.3 92.3 84.6
Maximum 2.3 0.0 2.3 3.5 3.5
Minimum -14.1 -15.3 -21.7 -29.3 -33.3
StdDev 4.5 5.0 7.7 9.7 10.6
Avg/SD -1.5 -1.3 -1.0 -1.0 -1.0
Date t+7 t+8 t+12 t+28 t+30
01/06/1999 : 1 Obs. Min. :-14.100 Min. :-15.300 Min. :-21.700 Min. :-29.300 Min. :-33.300
04/09/2002 : 1 Obs. 1st Qu.:-11.100 1st Qu.:-10.800 1st Qu.:-14.900 1st Qu.:-9.000 1st Qu.:-11.800
04/23/1992 : 1 Obs. Median : -6.700 Median : -6.700 Median : -5.900 Median : -6.000 Median : -8.200
04/25/1996 : 1 Obs. Mean : -6.915 Mean : -6.585 Mean : -8.008 Mean : -9.508 Mean : -10.59
05/09/2003 : 1 Obs. 3rd Qu.: -4.500 3rd Qu.: -3.000 3rd Qu.: -1.800 3rd Qu.: -5.100 3rd Qu.: -5.200
05/11/1995 : 1 Obs. Max. : 2.300 Max. : 0.000 Max. : 2.300 Max. : 3.500 Max. : 3.500
Other : 7 Observations
t.test(Dataset$t.7, alternative=’two.sided’, mu=0.0, conf.level=.95)
One Sample t-test  data:  Dataset$t.7 t = -5.492, df = 12, p-value = 0.000138
alternative hypothesis:
true mean is not equal to 0 95 percent confidence interval:  -9.658867 -4.171903
sample estimates: mean of x -6.915385  
t.test(Dataset$t.30, alternative=’two.sided’, mu=0.0, conf.level=.95)
One Sample t-test  data:  Dataset$t.30 t = -3.6192, df = 12, p-value = 0.00352
alternative hypothesis:
true mean is not equal to 0 95 percent confidence interval:  -16.969087  -4.215529
sample estimates: mean of x -10.59231

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