Statistics – Schmatistics
Statistics – Schmatistics
Despite having been taken to the cleaners by Managed Fucking Global our resident quant math boy Volar found a few minutes to share his insights from the statistical side of things. I had actually counted down candles on the spoos yesterday and was reminded of the odds – however I also knew that when it comes to sell offs the odds can bite you in the ass. Meaning the trend is your friend until it’s over – and I did not see any signs of buying interest in yesterday’s tape. Be this as it may – here are the two charts Volar posted earlier in the comment section:
I agree with Volar that statistically speaking a continued sell off would be rather unusual heading into the Christmas season. But note my choice of words – I did not say ‘impossible’ as we are living in unusual times.
Yes, some weakness is typical for November, but I must also point out that Santa has been visiting the bears early and bestowed them with quite a bit of technical damage. Unless we see a major short squeeze next week I fear that a Christmas bounce is all we are going to get followed by additional application of anal lubricant in January.
My stats on consecutive days down on the S&P are slightly different than Volar’s:
| Consecutive Lower Closes | Total Events | Odds (%) |
| 1 | 1691 | 47 |
| 2 | 926 | 73 |
| 3 | 495 | 87 |
| 4 | 228 | 94 |
| 5 | 115 | 96 |
| 6 | 63 | 98 |
| 7 | 25 | 99 |
| 8 | 11 | 99 |
| 9 | 6 | 100 |
| 10 | 2 | 100 |
| 11 | 2 | 100 |
| 12 | 1 | 100 |
| 13 | 0 | 100 |
Today would be the 5th consecutive close on the S&P (6th on the spoos) and thus the odds for a reversal are high at 96% – yes. But I also would like to remind you that sometimes, just sometimes, the market is coming down with a bad case of leptokurtosis (especially during the flu season) which is a fancy way of saying that stepping underneath a falling knife is usually not a good idea. I would wait for signs of a bottoming process, on the S&P E-Mini on Thursday as well as on the AUD/JPY – once we start seeing NLBLs being breached perhaps then it’s time to start thinking long. The Zero is proposing a bit of upside right now – let’s see if it can push this turd above VWAP and then we’ll talk.
I’m heading out to a doctor’s appointment in a few minutes and will have to watch the conclusion of this on my mobile phone. I may be back before the tape closes but if I’m not then let me take this opportunity to wish you all an enjoyable and relaxing Thanksgiving weekend. Unless you’re in Europe or Asia – then it’s back to work with you lazy buggers! 😉
Cheers,
Mole
