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Quant Time

by MoleJanuary 13, 2012

Here is a Volar Quant update. This is daily data since 2002, and a form of conditional statistics. I have ~ 10 conditions below-  and here is the results for the filter of the ~10 sentiment conditions.

FWIW there looks to be some downside risk to this market- especially 1 month from now- which also jives with most seasonality metrics. The avg.max gain was 1% with the avg. max loss of 5% in less than 21 trading days. To me that is a 5:1 risk to reward to the downside- but we only have 4 data points….

*** This is a 3rd update- but that is what happens when I have no life and a nice new fun algo to compute all of this crap.

FYI: I added definitions to the statistical symbols below- hope that helps.

Your quant boy – Volar.

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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.