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Quick And Random Stat Update
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Quick And Random Stat Update

by MoleJanuary 26, 2012

So here is a random stat that I came upon today.

*** update added VIX sell signal stats way below***

So the first quant math is how many times has the market not made a new low? Or how many times has the market closed higher than the previous day’s low consecutively. So how many times has the market not closed below the previous day’s low 19 times?

The stats do not have much of an edge (bullish or bearish)- I just though it was interesting that we got to 19 times. That being said, one way to interpret this data is that the market (since 1990) has only gotten to 22 consecutive non-lower closes 3 times. Or in English we are dealing with very very low odds of not having a lower close.

I will try to do stuff like this periodically as it literally takes me 8 seconds to run these stats. So for clartiy here are some explanations of the stats.

First off, all of the math excluding the “Ratio” presumes a long trade.

% positive= number of occurrences that the position made money on the long side out of the total- using the specified criteria.
—– Careful using this stat as if you win 7 out of 10- things look good, but does not mean a that it is a good idea. That is the reason most quants look a at skews and sharpe ratios. I prefer average max gain to average max loss. In any case “expected value” is much better than % positive. Many get caught in that scam/trap.

More definitions:

Mean= Average return for going long for the specified criteria. Mean simply means “expected return.” If it is negative- that is good for someone looking to go short.

Average Max Gain= The average of the max gain for a long trade for all occurrences that meet the specified criteria in the past- many would call this expected “run up.”

Average Max Loss= The average of the max loss fora long trade for all occurrences that meet the specified criteria- many would call this expected “run down.”

Now my favorite is the Avg. Max Gain/ Max Loss ratio. It simply means is my typical expected max run up better than run down. My calculator calculates the higher of the two and gives a risk to reward ratio. So here the max loss is greater than the gain- this spits out the risk to reward ratio of going short. Here it is about 2:1  over the next week, yet it is +2:1 going long over the next 2 week period. I presume that means a dip then a bounce is expected…. Again, there is not much of an edge here – well at least using this variable on a stand alone basis.

Skew simply means is there a tendency down or up- a negative number means downside skewness. As a trader I love to see a negative mean (negative expected value) and a negative skew. That implies the market has huge downside tails (great for lottery OTM nearby puts). Generally a -1 or +1 is significant- anything between -1 and 1 is “normal.”

Kurt means kurtosis or fat tailed. Kurt really means that the market has lots of little moves and infrequent, but huge large moves (up or down). Kurtosis only matters if it is greater than 2. If it is near 4 then it is “fat tailed.”

I hope this helps clear things up and if you have questions I will try to resolve them tonight or tomorrow.

*** ok here is another stat for you all. Here is the VIX sell signal with some extra sauce***

Ok notice that this is 31% positive in 1 week with a 12:1 Short sell ratio. Or average short selling max gain is 2.6% with a whopping 0.2% margin call. So I guess you know my position. So do not go bashing the VIX sell signal. I admit I have a small position- though I am long FEB VIX futures and short APR VIX futures (aka a bull spread or short VXV/VIX ratio ish) as well.

Here is the raw data for further inspection. 1-2 weeks is impressively good odds of more downside than upside in OHLC (open high low close) drawdown.

Cheers,

-Volar


About The Author
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.
  • volar

    FYI i added the VIX sell signal stats for u rats as well

  • Anonymous

    Thx Volar. Maybe if its easy for you to run this stuff a daily update would be cool. Much appreciated. Now go feed your brain some nanoparticles!

  • volar

    i am a very busy quant- so i will do the best that I can- I am not much for daily probabilities- but when i see stuff come across my data (eg daily sentiment, summation divergence, VIX lows, SKEWS, etc) easy for me to run the conditional probabilities and post. Unfortunatly i do not have much data pre 1990 and the best data is 02 to present, where i have the VXV.

  • Anonymous

    Whenever you have time. Much appreciated.Thx.

  • http://evilspeculator.com molecool

    GREAT stuff – thanks for that Volar.

  • http://evilspeculator.com molecool

    AUD/JPY nose diving – just ran through 82.2 60-min NLSL.

  • Anonymous

    Fireworks tomorrow?

  • Anonymous

    Prepare for return of FrankenEuro?

  • Anonymous

    Too early. At some point Euro will be in trouble but years down the road.

  • Anonymous

    Ok!

  • Anonymous

    At break even right now, lets roll!

  • Anonymous

    Sounds good!

  • Anonymous

    Been noticing some ZL coincidences that may be helpful. Simply, closes above/below VWAP have been a good indication for the market direction and today closed below:)

  • Anonymous

    Does not get much better than this:)

  • Anonymous

    Should be receiving a AUDJPY signal shortly by the looks of ZFX.

  • http://www.facebook.com/people/David-Spears/100000424557856 David Spears

    I was thinking the same thing!

  • Anonymous

    Ya, she’s popping!!

  • Anonymous

    Lol I think she faked it this time!

  • Anonymous

    Volar, great post just love this stuff.

    Though in the following “Ok notice that this is 31% positive in 1 week with a 12:1 Short sell ratio. Or average short selling max gain is 2.6% with a whopping 0.2% margin call.”

    Shouldn’t the average short selling max gain be 1.9% for 1 week?

  • http://evilspeculator.com molecool

    For some reason I never ran the odds on that. I’ll look at it over the next few weeks and if it seems like there’s an edge I let you guys know.

  • http://evilspeculator.com molecool

    For some reason I never ran the odds on that. I’ll look at it over the next few weeks and if it seems like there’s an edge I let you guys know.

  • Anonymous

    I spotted that too. I agree with you. Volar?

  • Fibz

    I thought I had seen it all. “Davos delegates want youth to work for free.”

    http://www.cnbc.com/id/46152716

  • Anonymous

    It seems to be a trend analysis since it is the battle ground:)

  • Joe_Jones

    They also want free BJ. Doesn’t mean it’s gonna happen.

  • volar

    Yes sorry

  • Anonymous

    Nice gap @ 1260 /ES:)

  • Anonymous

    I’m not surprised.  Just think how much more $$$ aapl could make not paying their workers.  I wonder what Karl “No Slave to Fashion” Denniger (Good one Mole) would say about that http://market-ticker.org/akcs-www?post=201069

  • Joe_Jones

    A wish???

  • Joe_Jones
  • Anonymous

    LOL! A wish would be 1000:)

  • Joe_Jones

    I’ll make a hat with ES 1000 on it for that!

  • http://evilspeculator.com molecool

    You’d be surprised. I have been around a lot very rich people and it’s strange – it seems that they are the ones who get the most freebies from people who have nothing, at least here in the U.S. That includes women. I know guys who flaunt their own wealth but don’t give a penny to all those wenches who line up to spend time with them. Those are the same girls who wouldn’t accept a dinner invitation from a less wealthy guy even if he took her to a five star place and paid for it.

    In Europe we despise the rich a little and you can’t park your luxury car in Paris and not find a scratch on it at least once every few months. In the U.S. the rich are envied and put on a pedestal as if they were royalty. Strange psychology at play here.

    Anyway, those Davos idiots won’t rest until they have turned every single person on this planet into their own little debt slave. They already accomplished that with almost every student over here – i.e. student loans – it’s a complete racket. Now they want them to work for free on top of that? How are they supposed to pay back that $40,000 loan over the next forty years? Which btw will turn into at least double that considering long term interest.

    If I was young I’d say shove it where the sun don’t shine. Even if the pay is lousy – if I work an hour to bank you coin then you better fucking pay me for it.

  • http://www.facebook.com/people/David-Spears/100000424557856 David Spears

    Watching an interview with Legarde on Bloomberg. The host asked her a simple question as to whether or not there’s a contingency plan if Greece defaults. She couldn’t answer the question, then back tracked saying it’s none of his business.

    High stakes here.

  • Anonymous

    http://content.screencast.com/users/AMCabrera/folders/Jing/media/ca035fdc-16a2-48a4-9b43-9797b02fb553/2012-01-27_0634.png
    http://content.screencast.com/users/AMCabrera/folders/Jing/media/dd9150b9-0e04-40eb-9313-76d92f8175e1/2012-01-27_0640.png
    My comrades. I look at these charts and say to myself. I would worry if I wasn’t bullish if everyone else was worry about a serious sell-off. But that is not the case. What we are seeing is everyone worrying that they are not bullish enough. I can smell the tip toeing in this chart. The fact they are attaching themselves to the middle line in the red oval from yesterday reinforces my opinion. This tells me that buying is going on because of fear of missing out. It did break away or stay below, because that would be too easy. You all know deep down inside you are worry of the big bad bull market..Do not fret place you entries correctly and stick to strict stops. When I said a while ago that sticking a buy order at 1303 would be the best policy, well that has turned into the best short area. What would be best however  and good discipline training for some would be letting the piggies come to 1340-1350..

  • Anonymous

    Less than 20 minutes until the GDP report launches things up into the stratosphere, whether it “beats” or “misses”. If that doesn’t happen, I’ll eat my hat.

  • http://www.facebook.com/people/David-Spears/100000424557856 David Spears

    Thinking the same thing, getting ready to buy.

    However, since I’m a retail piglet, the market will likely sell off after a little spike up. 

  • Anonymous
  • EvilTrader

    LOL

    eat your hat and then get some more trading flying hours before making calls, or worse, trading real money !

    Risk is OFF, correction mode ON.

  • volar

     1 week is 39, -1.9,+0.2%

  • Anonymous

    Nice follow through /ES

  • Anonymous

    Is the recent VIX sell signal still on or was cancelled?

  • Anonymous

    ok now we are in who is more disciplined territory. Your stops should be in place by now. I have lowered my stop for  the AUD/USD short from 1.0650 to 1.0620.

  • Anonymous

    There is no “official” call on whether the VIX is on or off, only personal opinion. Mole sounds like he thinks it’s off due it dropping below the BB twice after. I’m undecided but kept my short open until today to see what happens. Way I figure it if today followed through lower we should be good for a correction to at least the 1292 area. If we go up today we’re back to the uptrend and who knows how long that goes. Yesterday may have reduced sentiment enough to get out of extreme territory. Either way taking the VIX sell signal was a good trade to take to me, and you’ll know by the end of today (IMHO) whether it was valid or not.

  • Joe_Jones

    I think to solve the problem we need a mob that goes medieval on 2 or 3 of those fuckers, and that would teach others to behave. 

  • Anonymous
  • Anonymous

    My SH position stops are already at break even, I’m good to go to see where this journey ends up.

  • Fibz

    People talk about a class war happening in America, but if that happened, I think it would be concentrated in Europe and China. Either way, I certainly wouldn’t want to be driving a porsche or ferarri anywhere in a few years.

  • Joe_Jones

    The answer is there is no plan B. Either they print and kick the can down the road, thereby making the problem bigger in the future, or they let it collapse causing a chain reaction of margin calls and defaults across the entire banking sector.

    No wonder she told the host to shove it.

  • Kudos

    I don’t get these ovals. I swore you also had a yellow vertical oval on the 25th that now got changed to this red oval. Is there somewhere where I can learn more about these, cause I can’t even wrap my head around there usefulness

  • Anonymous

    http://content.screencast.com/users/AMCabrera/folders/Jing/media/e8ae016f-2693-4d8a-a9ac-2fcdb4a4ade1/2012-01-26_1040.png
    do you mean this one? If so its my target before I get seriously bullish again. Meaning any long positions taken between here and there are just for cleaning purposes.

  • Anonymous

    now putting in short order at 1.06 and one at 1.07

  • Anonymous

    NLSL for SPX is around there, 1308 I think.

  • Anonymous

    Trading pace seems kind of slow.

  • Schwerepunkt

    michigan sentiment 75 Edit: I should say U.of Michigan sentiment index

  • http://www.facebook.com/people/David-Spears/100000424557856 David Spears

    Word to the wise, do not jump in this market right now, it’s sucker tape and extremely volatile. Wait for it to calm down.

  • Kudos

    I just want to know how to make these ovals useful to me and the methodology? any help on that, like point me to a book or how they are determined? I always understand the important dashed lines but I dont understand the probability of how these ovals are “supposed” to resolve

  • Anonymous

    Probably slow due to weekly opex.

  • bshah

    Insanity… How many days NASDAQ is gonna be green ? Isn’t it very close to yearly high and 5 yr high.  Any ETF to trade NASDAQ Comp.. QID or QQQ ?  god damn most of the stocks are green.. Nothing affects these tards.. DE since december up only.. wow..

  • Anonymous
  • Anonymous

    Honestly, I started drawing them back in my colleges days when lectures were too boring. I guess I should write a book on compression reflection. 😉 But it is not anything complex. The most important lines are the middle ones in the ovals (nightie nights) when price action bounces off the middle line. But in bear turns the red ovals they quickly lose support especially so when you increase time frame. I think others on here could chime in and see if they have ever used it and if so how they implemented in their methodology.

  • Anonymous

    ^rut has hopium spirits flowing right now…divergence? Or could miners be adding juice?

  • Kudos

    Thanks for the response

  • Schwerepunkt

    Draghi talked up the Eurozone. Good for 30-pips. 

  • nyse

    Interesting.

  • Anonymous

    /SI near weekly Mid 25 BB 33.95

  • bshah

    why is NASDAQ high today ? Any earnings ? or 

  • seek_truth

    FAZ is working on a new low for the day, this and what appears to be a slight divergence on the 5 min  ZL points to a few points coming for the /ES

  • Anonymous

    /RB up 12 cents today, 4+%,
    better fillup this weekend before they raise the prices

  • Anonymous

    entering mini lot short here for AUD/usd

  • Anonymous

    Mole, I’m not surprised by your comment about women.  Women want a challenge and they despise men who try to buy their love.  Women, especially hotties, are attracted to men who treat them indifferently and are extremely confident – if they’re wealthy then that a bonus.  Women will do anything to attract this type of man’s attention.  But, an average guy can score babes too – just gotta have game.

    A great book is “The Game” by Neil Strauss

    There’s also evolutionary logic behind a women’s attraction to super wealthy men which is well documented in the book “Sperm Wars” by Robin Baker.

  • Anonymous

    Short /CL on the last surge.

  • Kudos

    the zero staying between +1/-1 for a month is driving me nuts. I’m doing well but still, i just keep watching every single dip or rally and no one wants to commit. Still have my SPY puts from a few days ago coupled with my longs to bring me to delta neutral and vega neutral. Just sitting on my hands

  • Fibz

    going to Russia or eastern europe will teach any guy how to act around women. women aren’t considered so equal there as they are in the west, so it’s more obvious how you should treat them and how they want to be treated.

  • Anonymous

    1300 test soon.

  • Anonymous

    From little down days, grow large Bear trees

  • http://practicalt.blogspot.com/ Gold_Gerb

    SPX 5min, zig zag city!

    heaven or hell depending on your trading style.

  • Anonymous

    I think what may be worse is limbo..You really don’t know where your going 😉

  • Anonymous

    Fibz, you’re exactly right.  I’ve been to Ukraine and it’s a different world in more ways than one for sure.

    You also hit on a very important rule NEVER EVER tell a woman she’s hot or give any other compliments for that matter, if you do she instantly knows she’s better than you and will lose all interest.

  • Anonymous

    yeah, a consolidation which forms hourly inside bars 

  • Anonymous

    Well, as a purveyor, collector and appreciator of fine women all my life, I would say you don’t know what the shit your talking about..

  • http://practicalt.blogspot.com/ Gold_Gerb

    Yes.
    time for ConvictScott training deployment.
    (your lines may vary)
    [SPX] http://i40.tinypic.com/vd2xso.png

  • volar

    my largest R of the year was buying RBOB on the breakout and  using it with the seasonality

    http://content.screencast.com/users/wprosser/folders/Jing/media/429887d0-7a63-4432-834e-c12c997607d1/2012-01-27_1000.png

  • Schwerepunkt

    Bit of a disconnect with EUR. Hasmoved up more than 70-pips from today’s bottom, but ES has not followed.

  • Joe_Jones

    Yep. The place starts to smell like a locker room

  • Schwerepunkt

    Holder issuing civil subpoenas to [various] FINS over MBS. Interesting . . .

  • Anonymous

    I think the lack of bounce in VIX shows no fear of the consolidation of /ES at this support. Maybe everyone expecting it to bounce?

  • Anonymous

    thanks for that volar. 
    DeMark Sequential shows the same (momentum phase is yellow count, trend continuation green). 
    This year is a larger % rise during the momo phase. 
    Today its at the weekly Upper BB, which is now opening up
    http://screencast.com/t/gtZfKNfmnA

  • Anonymous

    I got news for you – your “collection” of women are just using you if you’re kissing their ass and buying them shit – you’re just a friend or sugar daddy to them.

    What I’ve said above is well documented just google pickup artists.  I’ve been using these techniques for the past 5 years and it works extremely well.

  • nyse

    “The Game” changed my life 😉
    My friend’s motto: “Either make ’em laugh, or make ’em feel stupid.” 
    Seems to work well for him.

  • nyse

    Right. You gotta “neg” ’em, which is like a backhanded compliment. 
    Per example: “That is great perfume. My aunt always wears that”
    “That is a beautiful dress; how long did it take you to make it?”

  • volar
  • TwinTurboRX7

    Mole, does the tape being walked down means they are just bleeding off overbought conditions?

  • Joe_Jones

    I like this chart

  • Anonymous

    Sure seems like the dog is being walked, following crude right now.

  • Schwerepunkt

    I noticed that too. What would you interpret that to mean? Euro is ahead of itself, or ES needs to catch up?

  • Anonymous

    Has anybody taken a look at this week’s AAII data?
    bullish: 48.40 (+1.2)
    neutral: 32.7 (+3.5)
    bearish: 18.9 (-4.7) (!)

  • Anonymous

    Bear utterly destroyed?
    No one is shorting this market… something is in the sleeve..

  • Anonymous

    Short AAPL, with all the momo full STO below 80:)

  • Fibz

    that’s something Apple can do with their cash… give it to the shorts.

  • Schwerepunkt

    FTICH just downgraded bunch of Euro countries Edit: actually they removed six countries from watch negative.

  • Joe_Jones

    Thanks! I forgot about those.

    Now, who in their right mind here would want to BTFD. mmm…Anybody? Amygdala7?

  • Anonymous

    LOL! Ya, I’ll take it if they don’t want it:)

  • Kudos

    I would rather sell a strangle,  call, or bear call spread. Company beat earnings by 30 percent and only went up about 8% the next day, only about 5% higher than their all-time high. They are a $410 billion company already, what are they going to be next, a trillion?

  • volar

    just a pair trade IMO- uber bulls in stocks and bears in Euro- figured one or both would work itself out

  • Anonymous

    The bigger they are the harder they fall:)

  • http://evilspeculator.com molecool

    A company’s earnings and a company stock are two separate issues. I would advise against confounding the two. Which is exactly why I only stick with technical analysis, but that’s me.

  • http://evilspeculator.com molecool

    Yup, may lead to more but think about it. Usually corrections move at least at twice the speed of advances. People’s emotions accelerates the tape. A slow walk down like this is usually a systematic boiling the frog endeavor.

  • Anonymous

    Changed my life for the better too.

  • Anonymous

    You are right, the huge black candle and the chart is telling me to short.

  • Anonymous

    Exactly “neg’em”.

    “I didn’t know the Salvation Army had such stylish clothes.”

    “I love your hair, it makes your head look normal.”

  • volar

    my sentiment index (6 surveys) I guess it could be extreme- but this is the most extreme i have ever seen it for a market that has yet to make new highs

    http://content.screencast.com/users/wprosser/folders/Jing/media/5d9050e6-75cb-4d7d-a4db-4484f895e031/2012-01-27_1129.png

    sentimentrader did a piece on that too

    Something notable about our current situation is
    that the S&P 500 is not sitting at a 52-week high.  That has made a
    difference.

     

    Here’s how the S&P
    performed over the next 2 months when the 4-week Bull Ratio reached this kind of
    extreme, broken down by whether the S&P was at a high or not:

     

    The S&P was at
    a 52-week high (11 instances):

    Average return:  +2.1%

    Average worst loss:  -1.1%

    Average best gain:  +2.5%

     

    The S&P was not
    at a 52-week high (12 instances:

    Average return:  -1.6%

    Average worst loss:  -3.8%

    Average best gain:  +0.9%

    There was a stark difference in performance.  When the S&P hadn’t yet moved
    up to a new high, it showed a positive return only 4 of the 12 times, with a
    nearly 4-to-1 risk-to-reward ratio during the next couple of months.

     

  • EvilTrader

    nice index pal.
    Would you mind to disclosure the meaning of the letters ? HFDSI , II , CI, NAAIM, TSP ?

  • TwinTurboRX7

    Boiling frog endeavor is something new to me.

    Taken from some website…
    “You probably know the story of the boiling frog.
    The premise is simple.  If a frog is placed in a pot of water that is already boiling, it will immediately sense danger and jump out, relatively unscathed. If it is placed in a pot of cool water, the frog will happily stay in the pot while it is slowly heated to a boil.  By the time the frog realizes the danger, it is too late.”

  • Anonymous

    Crude testing $100

  • http://evilspeculator.com molecool

    Going to include that into my next post so everyone sees it.

  • volar

    tot.

    HFDSI = Hulbert daily sentiment index

    II=  Investors intelligence

    CI= Consensus inc

    NAAIM = national assoc. of active ivstmt mgt

    TSP= TSP talk survey

  • volar

    cooo

  • Anonymous

    Wow, thanks for the info. I was thinking about doing exactly that kind of statistic.
    The one thing I’m a bit unclear about is how you choose the variables for the models. Basically, you only take a strict subset of all possible candidate variables. How do you know which ones are relevant and which ones aren’t or is this strictly based on the assumption of correlation independent of your choice of variables? Actually, I’d very much appreciate it if you could point me to some resources like textbooks on this subject matter. I find this methodology highly interesting.

  • volar

    oh i just took all the surveys i had and very simply adjusted the data to come up with an average. they are all correlated- but tis nice to see more than one survey say people are bullish- I am not much for the AAII. I like II and HFDSI the best

  • Fibz

    facebook IPO on wednesday according to wsj.

  • Anonymous

    kodak moment

  • EvilTrader

    ok thanks volar.

  • Anonymous

    Forgot to say if you’re ever in Vegas and need a wingman just let me know.

  • http://evilspeculator.com molecool

    ¤ø„¸¸„ø¤º°¨¤ø„¸¸„ø¤º°¨ 
    ¨°º¤ø„¸  N E W  „ø¤º°¨ 
    ¸„ø¤º°¨ P O S T “°º¤ø„¸
    ¸„ø¤º°¨¤ø„¸¸„ø¤º°º¤ø„¸

  • Anonymous

    Saw that also.  A few days ago there was speculation because secondary market was halted.
    Bears be nimble as this kind of ‘news’ gives bulls a reason to buy anything so as not to miss the boat. Plus we could have EOM tape painting by hedgies/fund mgrs on Mon & Tues so they can use January’s returns as ‘hot point’ to get $$$ from customers/retail…And don’t forget ‘new month’ money on Weds, Feb 1st (if, in fact, there is such a thing)…Blow off top anyone?

  • http://evilspeculator.com molecool

    I’m kind of lonely over there…

  • nyse

    Haha! These are awesome.

  • Fibz

    agree… also bernanke testifying before house committee on feb 2nd.