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Light At The End Of The Tunnel
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Light At The End Of The Tunnel

by The MoleSeptember 30, 2019

We’ve reached the end of September plus it’s a Monday, so let’s talk some stats. First up big props to Rob Hanna over at QuantifiableEdgesΒ whose SPX stats properly pinned week #39 with high odds of closing in the red – which it did. My own most humble SPY stats did back up his view as well but let’s give credit where credit is due. Okay, so what does have week #40 in store for us?

Well, what do we have here? Are we looking at an up week? Yes, it’s a small one but at this point I think everyone would enjoy a few green candles in succession. We have one more prospective down week ahead of us, after which we are finally entering the long awaited EOY rally season. I for one can’t wait.

However, as with all things in life and especially when it comes to statistics, the Sharpe ratio chart only tells us part of the story:

Turns out that this week historically has only a coin-toss chance of ending in the green. So if it’s a green week as whole, this should mean that the winning weeks outweigh the losing weeks not in terms of frequency but in gains.

Which is supported by the SKEW panel which shows us a value of -1.35 – remember that negative skew is positive as the mean is lower than the median.

More stats below the fold for my intrepid subs:

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On the event front we we are pretty safe until Friday when Fed Chairman once again graces us with a speech, so you may as well make plans for an extended weekend πŸ˜‰


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 the usual social media waterholes.
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