Friday, November 26, 2010

Odds for the Dow on 11/29/2010

Category Prediction Rate % Correct Notes
Direction 19/26 73% 21/26 disregarding minor closing range
(losses were 0.30%, 0.65%, 0.20%, 0.22%, -0.85% gains could have been made on 2 of those days)
Significant High/Low* 1/2 50%
Gap Fill+ 1/1 100%
Hypothetical Portfolio Starting Date Compounded Return
$10,000 starting balance 11/18/2010 +1.38% $10,138 balance, profits are reinvested
* 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 >= 72% in either direction, a significant high/low was made the following day.
+ When the odds of a negative high/pos low <= 3% and the market gaps in the low odds direction, the gap fills.

Here are Monday's odds. I didn't take a trade at the close today because I was on the road, but based on this, I probably wouldn't have anyway. The market is whipsawing back and forth. No tradeable edge yet. I would tend to side with the bearish case in general though. The bulls failed to reverse the trend the past few sessions.

No comments:

Post a Comment