Jul

31

In any comparison in which one groups Dow Jones Industrial Average net changes into 12 bins, like in this chart of the day, one of the bins will have to have the lowest net change, even if only by chance. The proper way to test this is to randomly reshuffle monthly DJIA net changes into 12 bins and note the average net change of the worst bin. Repeat this test 1000 times or so as a simulation, and identify the 5th percentile of the average net change of the worst bin. This result is a reasonable threshold for statistical significance. If the average net change in September is lower than the 5th percentile, you may be onto something.

I have done this test in previous years, as have Big Al and others on the list, as you can see in the Daily Spec archives. As a student of Bacon, I recall hearing much last year about September being the worst month, but the S&P 500 futures gained 50 points (3%) in September 2013.


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