sp500 statistics since 1984

M

man

I want to discuss some properties of daily data on the sp future. I use the prompt contract. data source is bloomberg. To explain the following: avg daily gain is the return of the day, calculated as ln(Cto/Oto). To those who do not use log returns: within these small numbers it does not make any significant difference whether one uses percentage or log.

I gonna put in some conditions to see if the properties remain constant. Environment 1 uses the previous days range to see if this has an impact on todays gain.

Environment 2 calculates yesterday's range as a percentage of the previous 5 day's range and calculates today's average gain.

Environment 3 is the same as 2 plus yesterday must be an inside bar in reference to the day before.
 
data
SP500 prompt future
start 04.01.1984
end 04.04.2003
observations 4848

avg daily range 1.39%
avg daily gain abs 0.72%

ENVIRONMENT 1
yesterdays range
observations 3058
upper 1.39%
lower 0.00%
avg daily gain abs 0.61%

yesterdays range
observations
upper 10.00%
lower 1.39%
avg daily gain abs 0.90%

yesterdays range
observations 381
upper 10.00%
lower 2.50%
avg daily gain abs 1.35%

ENVIRONMENT 2
yesterdays range in % of previous 5 days average range
observations 4848
upper 10000.00%
lower 0.00%
avg daily gain abs 0.72%

yesterdays range in % of previous 5 days average range
observations 2752
upper 100.00%
lower 0.00%
avg daily gain abs 0.72%

yesterdays range in % of previous 5 days average range
observations 2096
upper 10000.00%
lower 100.00%
avg daily gain abs 0.70%

ENVIRONMENT 3
yesterday was an inside bar
yesterdays range in % of previous 5 days average range
observations 557
upper 1000.00%
lower 0.00%
avg daily gain abs 0.70%

yesterday was an inside bar
yesterdays range in % of previous 5 days average range
observations 517
upper 100.00%
lower 0.00%
avg daily gain abs 0.70%

yesterday was an inside bar
yesterdays range in % of previous 5 days average range
observations 391
upper 75.00%
lower 0.00%
avg daily gain abs 0.67%

yesterday was an inside bar
yesterdays range in % of previous 5 days average range
observations 123
upper 50.00%
lower 0.00%
avg daily gain abs 0.62%
 
It seems that narrow range inside bars do not give a shift in probability of the expected change for today.

Yesterday's daily range compared to the previous seems also irrelevant.

But it makes a difference if yesterday had a range above or below the average. Wide range days seem to lead to days with more gain.


Nevertheless this last conclusion is biased since the average day was know before the analysis took place. So I will rerun it without that bias.
 
running the same test as in environment 1, but making the average dynamic (thus at any point of time the average is calculated only with data prior to that day), changes numbers slightly but leaves the picture in place.


Summing up this would mean that narrow range inside days are not followed by days that trend more than an average day.


peace
 
in addition to the sp's reaction to itself I want to look for dependencies with exogene data.

the general target is to define what influences the sp, but not so much in terms of directional forecasting (at least not in the frist place), but in other trading related forecasting like expected range or expected trendiness.
 
some statistics on month and weekday effects since 1984. first column is the number of observations. second is selfexplaining. third is median of todays gain, fourth is mean of today's gain.

419 Jan 0.05% 0.02%
384 Feb 0.00% 0.01%
435 Mar 0.03% 0.04%
396 Apr 0.06% -0.01%
404 Mai 0.04% 0.04%
402 Jun 0.00% 0.01%
403 Jul 0.09% 0.01%
421 Aug 0.04% -0.04%
380 Sep 0.00% -0.03%
423 Okt 0.02% 0.04%
388 Nov 0.08% 0.04%
399 Dez 0.02% 0.07%

926 Mo 0.09% 0.06%
994 Di -0.02% 0.00%
991 Mi 0.05% 0.05%
977 Do 0.02% 0.03%
966 Fr 0.03% -0.03%
 
same analysis since march 2000

63 Jan -0.02% -0.03%
57 Feb -0.23% -0.17%
63 Mar 0.10% 0.07%
65 Apr -0.08% -0.09%
66 Mai -0.21% -0.04%
63 Jun -0.11% -0.02%
63 Jul 0.00% -0.13%
68 Aug 0.21% 0.05%
55 Sep -0.12% -0.18%
68 Okt 0.27% 0.18%
62 Nov 0.07% 0.11%
61 Dez -0.11% -0.05%

143 Mo 0.14% 0.04%
153 Di -0.09% -0.12%
153 Mi -0.13% 0.00%
152 Do -0.01% 0.02%
153 Fr -0.02% -0.03%
 
since 2.1.2002, Monday and Friday effect have reverted.

41 Jan -0.06% -0.12%
38 Feb -0.17% -0.06%
41 Mar 0.10% 0.22%
26 Apr -0.33% -0.25%
22 Mai -0.23% -0.17%
20 Jun 0.51% 0.00%
22 Jul -0.73% -0.24%
22 Aug 0.48% 0.17%
20 Sep -0.05% -0.36%
23 Okt 0.45% 0.37%
20 Nov 0.33% 0.27%
21 Dez -0.17% -0.07%

59 Mo -0.12% -0.10%
65 Di -0.09% -0.24%
63 Mi 0.52% 0.27%
64 Do -0.11% -0.11%
65 Fr 0.11% 0.09%
 
my personal conclusion from the weekly analysis to keep hands off since these statistics are way too volatile to enhance trading.
 
You must log in or register to reply here.
Back
Top