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(Not So) Boring Stats Thursday
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(Not So) Boring Stats Thursday

by The MoleNovember 9, 2017

I just love statistics, which I in part attribute to my anal retentive Teutonic background. I’m not even that good in math but show me any graph and it’s like intellectual p0rn to me – I can’t resist. After building our most handy Evil Speculator statistics monger I spent hours looking through literally hundreds of charts. The most salient of course being the Spiders (SPY) as it gives us a pretty good historical perspective on seasonal trends on equities as a whole. So let’s see where we heading, at least statistically speaking:

SPY_monthly_quantile_stats

If you’re a bear then this is a tough quarter for you as both October and November represent two of the three strongest months of the entire year. I’m actually surprised December isn’t the third (as opposed to April??) but the numbers don’t lie.

SPY_monthly_respective_stats

Here are the monthly stats with the current month highlighted for your convenience. It seems that December didn’t use to be an outstanding earnings month on average but that changed around  2006. As of right now it is the strongest month of the year, thanks of course of the famed Santa Rally.

SPY_this_month_historical_performance

Here we’ve got some November stats since 1993 and yes there are a few bad outliers in the mix. So apparently when November turns ugly it does it with a bang. Also worth noting is that we seem to be flattening a bit in the past few years.

SPY_next_month_historical_performance

December is a mixed back and actually turned out to close negative in 2014 and 2015. And contrary to my own expectation it hasn’t been a huge earner in the past decade except for in 2010.

SPY_weekly_sharpe_stats

Weekly Sharpe ratio shows us fairly smooth cruising in the coming weeks except for around Christmas. So be sure to close out your books before the holidays as it’s actually the 2nd worst week of the year! So much for the Santa Rally, they should give it a different name. How about Hanukkah rally? Would line up perfectly as it ends December 20th this year. Whatever it should be called let’s see if it delivers this year.

SPY_weekly_percent_positive_stats

Finally we’ve got the percent positive stats and we actually are supposed to be in one of the highest probability weeks in terms of an positive close. However tell that the S&P which is currently dropping as I’m typing this.

Campaign Update

2017-11-09_ZN_exit

Our ZN campaign met its maker overnight at 1R. Never really got out of the gate but fortunately we at least managed to squeeze a few pennies out of it.

A few new setups below the fold for my intrepid subs:

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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.
  • Yoda

    An outlier November could be fun, and also make some room for a Santa rally

  • http://evilspeculator.com Sir Mole III

    What are the odds? 😉

  • Mark Shinnick

    How ’bout them bonds :)

  • Mark Shinnick

    Well, some definite wake-up shots-over-the-bow and quite a tightly-linked result between recent HY and stocks akin to the argument of equities being highly leveraged with debt.

  • ridingwaves

    Widow maker trying to break out here…..holds above 3.20 and play it larger I may…

  • ridingwaves

    12-1

  • Mark Shinnick

    I wonder how many of the BTFD crowd are concerned about recent rate scene?

  • Edgy

    I agree with the outlier scenario. It seems the SPY is a bit peaked for the time being and already starting to catch its breath.

  • Brishort

    Not that it matters much, but since it’s been an eternity since the last “O”, I thought it might be worthwhile posting…. Nothing to call home about just yet, but if it could lead to a significant negative close candle on the weekly NDX, we could then be on to something….

    https://uploads.disquscdn.com/images/52a33d918633df307d15fdab9340946d5899d66a69519495f10736072fc6a951.png

  • Mark Shinnick

    Glad you did this.

  • Julie

    Brishort I have a target $NDX 6370 matching the upper trend line of a parallel channel from July
    JULIE

  • Julie

    A Julie Plan BAC IMO A longer term short setting up …. Daily chart Yesterday BAC bounced off the 34 ema and filled a gap. I determined the bounce was going to be sold into which did occur. Looking for pricr to drop down to the confluence of (1) 55 ema (2) 38.2% retracement (3) Upper trend line of red channel. I plan to short a bounce from target to a lower high for what I believe will be an excellent short opportunity Shown is BAC Daily Chart JULIE https://uploads.disquscdn.com/images/fe20b2e7e6877fe3a366f4ddd2efbf67fc15bcb4447bd0ae3d4ba2fe85ebb9e1.jpg

  • Mark Shinnick

    A really worthwhile short may not bounce in-accord with recency bias within the chart.

  • Julie

    I have a short TAL Price between exp moving average convergence i.e 55 21 and 5 emas Must break below the 5 ema which will also break below a lower trend line . I moved my stop down to today’s high 30.90 My INTC short probe still working JULIE https://uploads.disquscdn.com/images/c0309f5be1e43ebc63ea7b3b603edaa01d65e5d8af243f76cfe51e022fad5251.jpg

  • Mark Shinnick

    My volatility objectives keep getting hit with momo. Some vol resistance at the moment.

  • Julie

    Mark BAC is overbought Monthly and weekly charts The lower trend line break of the blue parallel channel is significant IMO BAC mirrors the Banking Index $BKX and XLF is running into trouble
    JULIE

  • ridingwaves

    XLF could test 25.45 to finish the down move….

  • Julie

    INTC As posted I have a short probe. Daily chart a minor bearish rounded top forming . Will add to short with a bearish close below the Ichi Cloud conversion line (8) 45,74 Stop 46.48 JULIE https://uploads.disquscdn.com/images/e4cab9bc3b85b04aa0052fe1c6cbbbf7ecb881d45aa6c92a8297a270bb33bcec.jpg

  • Mark Shinnick

    BTFD’s area.

  • Mark Shinnick
  • Julie

    Hi RW XLF down to it’s 55 ema and upper cloud boundary now oversold https://uploads.disquscdn.com/images/aee022f250e73182789ff399bd03f65f5b727e01feb4c1f6b95e6272588fb4d2.jpg Looking for a shortable bounce up to the conversion line and baseline both at 26.41 I am trading BAC in lieu of XLF JULIE

  • Julie

    Explanation No trade BAC yet as I want the lower high on a bounce
    JULIE

  • Mark Shinnick

    Have you lived and traded thu bear environments?

  • Julie

    I have not but my husband has, He is an excellent trader GG and my husband go back years
    JULIE

  • Mark Shinnick

    See if you can capture a sense of it….of its numbing surprize after denial….but leading to more denial.

  • ridingwaves

    IBB and XBI are now pretty oversold, good spot for bounce area, maybe one more move down

  • Mark Shinnick

    Yes, a natural support….a very good test of what’s really happening.

  • Brishort

    This is probably the only interesting day from a bear perspective since the two down periods of last August. Clearly the BTFDippers are conditioned for reaction and will show-up

    The real test comes afterward…

    As when there is a trend change, its early steps are nearly impossible to decipher.
    Now why would there be a trend change? That is the beauty of charts.
    Let’s not ask why, in fact do we even care why…?

    Will be monitoring the charts to see if tradeable opportunities occur with additional volatility where selling pressure shows up, and ripping bear rallies (aka short squeeze) come to life. If that is the case, we will then have all the markings of a possible short term trend change.

    Otherwise no trend change and short positions are still not advisable. Indeed, a nice weekly and long reversal candle would be the initial confirmation best sought to obtain first before committing to serious bear positions.

    Maybe Mole is more prescient than he knows, re: ” So apparently when November turns ugly it does it with a bang. ”

    Or is it that Mole is planning a trip and keeping us the surprise? ;-p

  • Yoda

    Actually quite good given Gartman’s latest bullish call. 😉

  • Mark Shinnick

    Yes, this has been the first main area of that conditioned reaction…with another still possible unless all the momo evaporates as we’ve been knowing recently. I’d sure love to see it further conditioned into the 2600’s fairly soon…just have to see what happens :)

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

    I definitely need some time off but it’ll have to wait until December, sorry folks!

  • http://evilspeculator.com Sir Mole III

    My condolences!

  • http://evilspeculator.com Sir Mole III

    LOL

  • Mark Shinnick

    Maybe I’m a BTFD’r until then :)

  • ridingwaves

    dang…
    whats your take on /NG?

  • ridingwaves

    that gap down there 25.40 might be exhaustion spike if we close red and some bad news to gun futures..or not :)

  • BobbyLow

    Statistics are not boring. They are the life’s blood of system building. Without stats we would be operating in the blind and going on hunches or worse, follow some carnival barker on CNBC.

    Speaking of systems, I’ve developed a shit load of systems over the years only to abandon them after the going got tough. Then I was on to the next new system that had a promising edge. This new system would eventually be dumped after a few losses as well. This was not a problem for me because I could always come up with another brand new shiny idea that would allow me to enter the trading promise land. Basically I was full of shit and conning myself.

    After much self evaluation, I’m now convinced that I developed an unrealistic loss aversion after my early trading years. I had no risk or loss aversion during the tech bubble. This was because back then you could throw a dart at anything tech and make money all while mistakes big or small were always forgiven. Then after getting burned back in 2002, I managed to make substantial gains and give them back a number of times. These experiences helped lead me to extreme loss aversion and caused a jumping from system to system. All in all, I’ve done well enough to stay in the game but my long term results have really suffered because of this problem.

    Over the past few days, I remembered something from a Nick Rage film that began to flash over and over in my head. This is that even with a 60% Win Rate, it’s possible to have 10 or more losses in a row. Duh! Thinking you’re smart has nothing to do with consistently making money in this business but sticking with a system that has a statistical edge does. Further proof for me is having success trading oil using variations of the same system. But when trading oil began to suck,about a year ago, I abandoned trading it altogether. So what happened? After doing a what if using my same old tried and true method over the past year, I would have made some serious money. But noooooooo, I was on to bigger and better things. BTW, I’ve also back tested and traded this same system over a 15 year period and during elections, OPEC, Wars and all kinds of shit happening, it still made money. I think there is only one way to have consistent results and that is to trade consistently. This sounds simple . . .

    So in the mean time, I’m currently long Gold and will patiently wait for a shorting opportunity on Oil. I had my head up my ass during the last Long opportunity on Oil so now it’s a waiting game.

    Why am I putting this all out here? It’s because there is nobody else that I communicate with who is crazy enough to be in this business and might be able to understand WTF I’m talking about. :)

  • Yoda

    A different tape for a little while would be good. I’d blame it on Gerb going on sabbatical leave. 😉

  • Brishort
  • Mark Shinnick

    Yep, good stuff here man.

  • Trouzzer_Snake

    Great info, love the stats! Cable looks interesting, but I like the short side myself. Looking for an entry at 1.3187, flip long if I get stopped out. https://uploads.disquscdn.com/images/f302c2c0a40c280690a5a36f3fd1449c76d49aaee70d75f40671ab23bfefec9b.png

  • Mark Shinnick

    …looking like a good place to re-short with very tight stops.

  • Trouzzer_Snake

    tight stops being key… I have a feeling the “end of day ramp” bots are waiting for some weak hands to get short.

  • Mark Shinnick

    We might take some side cue from HY… don’t know.

  • Mark Shinnick

    Short case is running out of time; degrading if it can’t re-present.

  • ridingwaves

    added 1/4 here..

  • http://evilspeculator.com Sir Mole III

    He gets it.

  • Julie

    BAC and XLF bounced off their daily 55 emas just as posted below and planned
    JULIE

  • Mark Shinnick

    These are nice coincidences when they happen. One market phrase to keep in mind: “Things that happen more often-than-not….but not always.”

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

    Great stuff Bobby. Also long gold, looks good to my eyes. Palladium worth a look for your stable because it just broke to all time highs (nothing more bullish than that)

    FYI I have a short setup today on CL on break of daily low. A bit ass puckering because of the Saudi bullshit, but I’ll be following my rules anyway.

    That’s how winning is done 😉

  • BobbyLow

    Thanks Scott.

    I’ll always appreciate the time you spent trying to help me get my head straight. I’m probably always going to be a work in progress and that’s OK as long as I’m aware of when “stinking thinking” tries to take over and improve stuff that doesn’t need improving. :)

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

    Mate your systems are EXCELLENT.

    The desire to tinker with your systems is actually BECAUSE they are so excellent.

    Think about that for a minute.

    Your systems are excellent BECAUSE they are tightly matched with a given market type.

    It’s impossible to match them so tightly without them sucking in other market types.

    It’s unreasonable to expect it to work all the time. My systems are the same.

    What’s the solution? There are two

    1) Have a regime filter – Mole and I have tried this a bunch of different ways with minimal success to be honest. Its difficult.

    2) Scale your position sizing up when it’s working well, and down when it sucks.

    I personally run a donchain channel on my equity curve and scale down when it falls towards the bottom of the donchian. That way my drawdowns are lower

  • ridingwaves

    yep, couldn’t get below the 10-13 daily candle…

  • ridingwaves

    TGIF Rats…
    scalping something today….just need to find it

  • http://evilspeculator.com Sir Mole III