Friday, November 12, 2010

Odds for the Dow on 11/15/2010

Category Prediction Rate % Correct Notes
Direction 13/17 76% 15/17 disregarding minor closing range
(losses were 0.30% and 0.65%)
Range 9/17 53% 13/17 disregarding minor closing range
Significant High/Low* no instances

Next Day Gap** 3/5 60%
Gap Fill+ 1/1 100%
* A significant high/low occurs when the market makes a move greater than 0.5%. This test is measuring the following case: If the odds of a significant high/low are >= 70% in either direction, a significant high/low was made the following day.
** The next day gap determines if the condition correctly predicted the gap.The next day gap test is measuring times the odds of a positive low or negative high were >= 14%.
+ When the odds of a negative high/pos low <= 3% and the market gaps in the low odds direction, the gap fills.

  • Since the odds of a negative high >= 14%, does the market gap down tomorrow? YES
Everything came in as expected today for a change. Looks like next week I'll be posting my presentation on this method. Even if the next 3 days fail, it will still be 75% accurate through 20 samples (based on what I have in the "Notes" section above, not the literal value), so it could be a trade-able system.

Monday is the first toss-up. I would consider it a success if there is both up and down on Monday with a slightly positive close, since range is positive. Shorts might take profits on weakness or hedge on it. The 2 and 3 day outlook is bearish, so maybe the bears still have the edge here over the next few days.

Looks like interest in my site is also way down. I know there are a couple readers, but there will come a point when I might have to stop posting just because there isn't any interest. This was a good way to document my own results though and think through the testing.

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