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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 the usual social media waterholes.
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