Now Reading
AAPL Long Term Statistics
51

AAPL Long Term Statistics

by The MoleAugust 30, 2017

Over the past few days I have been making a lot of progress on my statistical charts project. Today’s milestone was to hook in a python routine to extract data from Yahoo instead of IQFeed, as adjusted daily data is more than sufficient for calculating long term statistics – plus of course it is free. The end goal is to integrate the code into a simple web page with a symbol query field on top that accepts all Yahoo finance symbols. If that works as planned then it would be available around the clock to all my subscribers.

Of course there is still a bit of legwork ahead as I not only will have to set up Django (a python server) but also integrate whatever form I get to work with the rest of the site. So give me a few more weeks but I will keep plugging on this. In the interim I plan on occasionally posting a few stats right here on various symbols of interest. So if you have any particular symbols you are interested in then please make sure to make yourselves heard in the comment section. Yes, the Mole is taking special requests, but don’t over do it! 😉

Today’s turn is AAPL – for no particular reason and simply because it was my symbol for testing integration of the Yahoo module.

Monthly Stats:

AAPL_annual_cumulative_stats

Cumulative performance shows pretty pronounced in June and September. Good to know if you’re holding AAPL today.

AAPL_monthly_change_stats

Monthly returns in percent terms. June and September clearly suck for Apple.

AAPL_monthly_sharpe_stats

The same but measured in monthly Sharpe ratio.

AAPL_monthly_skew_stats

Monthly SKEW. Interestingly that October seems to be slightly negatively shifted despite being a high performing month. Apparently we have a few negative outliers in October.

AAPL_monthly_respective_monthly_stats

Respective monthly performance. I love this chart and who of you would have guessed that August is one of the best performing months for AAPL?

AAPL_monthly_quantile_stats

Quantiles:
  • Crap: September, June, July
  • Sideways: March February, May
  • Good: November, December, April
  • Best: August!!?, January, October

AAPL_monthly_percent_positive_stats

Percent Positive – very interesting and once again September stands out here as a hands-down loser.

AAPL_monthly_trading_range

Monthly trading ranges of AAPL. Clearly September and October are by far the most volatile.

AAPL_monthly_stdev_stats

Standard Deviation: January seems to be not only the one of the best performing but also most trending months.

AAPL_August_historical_performance_stats

Here is the historical performance for the month of August only. I know it’s almost over but I didn’t have time to hack the code to spit out next month. Anyway, note how August performance seems to be leveling off since 2000.

AAPL_August_monthly_return_stats

And here’s the histogram of all August returns. Historically a great month for AAPL – note how the 0 mark is shifted over quite a bit.

Weekly Stats:

AAPL_weekly_change_stats

Weekly performance in percentage terms. Boy oh boy – September really does suck for AAPL.

AAPL_weekly_percent_positive_stats

Weeks which by percent positive. The end of the year (Christmas shopping season) clearly is the highest performing season.

AAPL_weekly_trading_range

Trading Ranges per week. If you’re holding AAPL after mid September then strap on our helmets!

AAPL_weekly_stdev_stats

Standard deviation – that’s in percentage terms which I probably should point out on the chart.

AAPL_weekly_sharpe_stats

Sharpe Ratio – which again is the mean divided by standard deviation.

AAPL_weekly_skew_stats

Weekly SKEW – apparently the last week of September is by far the worst.

AAPL_week_num_35_histogram

Histogram for week #35, which of course is the current week. It has more outliers on the positive end, which accounts for it being a more favorable month.

I hope you all enjoyed perusing this laundry list of statistical charts as much as I enjoyed building them 

Campaign Updates:

2017-08-30_spoos_update

Let’s do some campaign updates real quick. I’ve advanced my stop on the E-Mini long campaign to about 0.3R. Enough to weather out a bit of whipsaw but this thing has to kick higher today or we may slide lower over the remainder of the week. There wasn’t much participation on the Zero yesterday and if it’s just the bots being long here then this drive higher will fizzle out quickly.

2017-08-30_AUDUSD_stop_out

AUD/USD finally got stopped out at break/even. I’m not too sad about this as I’m not a big fan of this level of intra day volatility. Better luck next time.


About The Author
The Mole
Mole created Evil Speculator amidst the chaos of the financial crisis in early August of 2008. His vision for Evil Speculator is a refuge of reason, hands-on trading knowledge, and inspiration for traders of all ages and stripes. You can follow him and his nefarious schemes at various social media waterholes below.
  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    $USD remained firm overnight.
    I’m seeing divergence on the daily.

    Daily UUP
    http://stockcharts.com/h-sc/ui?s=UUP&p=D&yr=0&mn=6&dy=0&id=p87215167919

    Weekly [$USD]
    The weekly remains undetermined.
    http://stockcharts.com/h-sc/ui?s=%24USD&p=W&yr=2&mn=0&dy=0&id=p50616346347

  • Mary

    Thanks Mole. How much does AAPL correlate with QQQ, thus /NQ?

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    knowing AAPL’s stats is fantastic.

    I remember a sour day, where the traders (here) were commiserating,
    *it’s all correlated*
    :-)

    https://uploads.disquscdn.com/images/739edecf66b27353887d2e6b3a5f8c0e4ddaf3c58e33612147d2b3d3f07a976d.png

  • Yoda

    Fantastic stats.

  • ridingwaves

    crude getting some action

    Great stats Mole….It looks like next month you can take a bite out of Apple….or at least a short on a lower high

  • Yoda

    Hitting the volume hole on ES now. Let’s see if the tape has enough juice to cross that gap.

  • http://www.linkedin.com/in/sharondsessions/ Sharon

    Awesome post and news about the new website offering. I just love hanging out here.

  • BobbyLow

    Hey RW,

    You were right about LABU having more to go. It’s up another $3+ today. I’m experiencing an extremely large “coulda, woulda, shoulda” right now, because if I had finished my most recent back test a couple of weeks ago instead of this past weekend, I wouldn’t have missed a +$13.00 trade. It also looks like it could touch it’s old 52 week high of $76 which would be another $3.

    The only saving grace is an old cliche that “I would rather have regret for not entering a trade than regret for entering one. But it’s still one hell of a big fish that got away.

  • ridingwaves

    sneak bull attack on spy right now

  • HD

    Aside from the NK gap down, SPX is getting the EOM rally. Was wanting to see sellers defend 24(55). Looks like we lost that level. 2462/66 above as the .618 and symmetry from 2417. That rally was 2 days and 38 points too.

  • HD

    AAPL loves the fibs, $(55) 2013 low, $1(34) 2015 high, $(89) 2016 low, $(144) June 2017 low and so on.

  • http://evilspeculator.com Sir Mole III

    And we love to have you here :-)

  • http://evilspeculator.com Sir Mole III

    Boy it’s quiet here! Was expecting a bit more of a response :-(

  • HD

    seems like a cool feature if you need all those stats. What’s the take away? September can be down for AAPL? Last year it tanked $6…. Powerhouse stock.

  • Øyvind Nyhammer

    The most interesting question is if NDX will hit 6000 before or after the weekend.
    Why not make some statistics on TQQQ.
    Since February 2010 it has increased by 1900%, while NDX has increased with 250%. In other words far more than the 3X leverage.

  • ridingwaves
  • Grant

    The leveraged etf’s degenerate or decay at an exponential rate. Don’t trade them. If you trade with leverage, use futures or currencies and have a system (short term preferably).

    https://seekingalpha.com/article/1864191-what-you-need-to-know-about-the-decay-of-leveraged-etfs

  • Grant

    Mole this is excellent stuff but you may be going way over the heads of most traders… You’re actually working on winning over the long term and that takes time, patience, and long suffering. These are not the qualities of the average trader.

  • BKXtoZERO

    I like it if that helps you Mole!

  • Julie

    Hi Mole and Everyone. On vacation at Bakers Hole Campground near Yellowstone Natl. Park. I was going to go down to the Jackson Hole Central Banker Conclave but was not invited ….. LOL ! Hope Everyone is doing great ! Be Safe this upcoming Labor Day Weekend. Thinking about all the great people here !
    JULIE

  • Julie

    Is Scott doing OK ?
    JULIE

  • Grant

    Stick with this mole. Over time you will collect a solid base of successful people looking for this information. The average person that wants to make a fast buck in trading is not the best customer.

  • BobbyLow

    Hi Julie, sounds like you’re having a great vacation. I’ve camped and spent a few days near and in Yellowstone and have some fantastic memories. That is a beautiful area.

    I don’t think you’ve missed much on the trading front.

    As far as I know, Scott is doing fine and on the mend.

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    Stats!?
    you have green arrows, roll with it 0yvind!!
    😉

  • http://gerb-reloaded.blogspot.com/ Gold_Gerb

    this post is useless without hot tub bikini shots.

    {GG ducks}

  • Julie

    Thanks BL
    JULIE

  • Ronebadger

    We assume you have such pics at your fingertips…

  • Yoda

    Too many pots on the stove for me right now, son’s birthday, watching tape and of course regular work… I look forward to use the above stats to bank coin

  • Yoda
  • Mary

    and posting your hot tub pix …

  • Mark Shinnick

    Wow man, I have no such repertoire of images, myself :)

  • Darkthirty

    C ii target hit

  • http://evilspeculator.com Sir Mole III

    Hey there, Julie. You must be having a blast at Yellowstone. It’s one of the national parks I’ve never visited – definitely on my bucket list. Travel safely now!

  • http://evilspeculator.com Sir Mole III

    Not sure if you’re aware but I’ve been running this blog for over nine years now 😉

  • http://evilspeculator.com Sir Mole III

    Yes, a beta correlation function is planned but I wanted to hit the basics first before getting into more advanced stuff. Thus far the reception has been a bit underwhelming. Which is a bit surprising to me as this is very basic stuff for me.

  • Tomcat

    Thought these crowd would get a kick out of this post I read on seekinalpha:
    “Take yesterday’s equity sell off following the North Korea missile launch. Those who ignored the threat of nuclear war and bought the dip are now patting themselves on a great contrarian long. But if President Trump had responded with ‘fire and fury’ rhetoric again those same longs would be kicking themselves.
    Or put another way, the only thing separating a 30 point S&P500 (SPY) gain, and a horrific loss was the presence (or not) of a 140 character tweet.”

  • Yoda

    I hope you don’t 😉

  • Yoda

    😉

  • Mary

    Don’t mistake silence for apathy. This is great stuff but probably different than most people here are accustomed to. I think some digestion time is required … at least for me. I need to figure out a way to use it to get an edge.

  • Øyvind Nyhammer

    Thanks a lot GG, and please have a look at TQQQ since February 2010.
    And have a look at UDOW and UPRO when you are on it.
    We all know the mathematics of triple etfs, and i would not touch them for single shares or smaller samples.
    But for broad indexes that moves slower and steadily upwards the dynamic over time is quite good actually.

  • BKXtoZERO

    See Yellowstone now before it blows up…… Fire, ash…. 900 mile radius. I am a ray of sunshine kind of a guy! if she blows, look for huge markey rally.

  • https://scottphillipstrading.com/trade-setup Scott Phillips

    I’m feeling much better, even got back to the gym this week. Had a family emergency so I’m back in Australia for 3 weeks.

    Hope you are well Bobby :-)

  • Mark Shinnick

    The time of QE has been extraordinary and the banks over the last couple of months collectively began announcing intent to begin cashing in.

  • http://evilspeculator.com Sir Mole III

    Losers will always find justification to voice their ire. Guess what – that is why it was a low probability campaign, a.k.a. a lottery ticket.

    However, the thought has occurred to me that Kim Jong Un would be a fool to not realize the profit potential of doing this. Think about it. He’s got agents pretty much everywhere across South East Asia and probably in Europe and the U.S. How difficult would it be to instruct them to place appropriate trades ahead of time? Come to think about it he would be a fool for not doing it as it probably finances a large portion of his missile program.

  • http://evilspeculator.com Sir Mole III

    Post some eye bleach for fuck’s sake!

    https://image.dhgate.com/albu_341528562_00/1.0×0.jpg

  • Grant

    This prolly is not my place since it’s not my blog but if you know what to look for then the chart will confirm price movement. I posted this chart a couple days ago. No stress, no guessing, just follow the rules. It didn’t matter what bad haircut (Kimmy or Trump) did or didn’t do. I believe Mole caught the falling knife but he’s better at that than I am.

    https://uploads.disquscdn.com/images/8ab7173b0e4154c580fcee139bfb19442f4fc150632d446aeda9e19bbdd31ece.png

  • BobbyLow

    Glad to hear you are so much better Scott and hope things work out for you in Australia.

    I’ve been well and have no complaints. :)

  • Mark Shinnick

    a blast at Yellowstone

  • http://evilspeculator.com Sir Mole III
  • http://evilspeculator.com Sir Mole III

    Not the first time that I did though. How long have been coming here?

  • Øyvind Nyhammer

    That is many months old public information and will have nothing to do with price formation ahead.
    What will drive things is the increasing realization that low interest rates are here to stay.