S&P500 – Statistics – January

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Monthly statistics for the S&P500 based on the closing price between year 1950-1958 and 2014 or 1995 to 2014. In pictures, mean, median, win rate per trading day, sum %, profit factor, avg. trade %, quartiles and percentiles.

Quartiles and Percentiles on monthly development, graph at top is the gathering graph for all quartiles and percentiles for the month. The rest are zoomed in on different levels, based on closing price of December.

To the left OR at top (1950-1958 to 2014) to the right OR below (1995-2014)

Green bar represents the mean of positive trading day and red for negative. Win rate is the line that marks how each trading day has performed in the S&P500 history since 1950 to 2014 (top) OR 1995 to 2014 (below).

The graph shows where the top and bottom has been in the month since 1957 (top) or 1995 (below). Dots show on which trading day and value as either the top or bottom has occurred. The line shows the number of events per trading day.

Matrices data from 1957 (left) and 1995 (right), read from left and up for variation of ENTRY and EXIT. The matrices show different things such as index points, sum, win rate, avg. trade, profit factor, total net profit and avg. trade net profit.

Total net profit is calculated at 100 000 and no specific currency. Total net profit is profit minus loss and avg. trade profit is average profit per trade. Count matrix is how many trades there are in the data set, most are 58 but the last days of the month can vary because some months is longer or shorter than others.

Matrix graphs, sum %, win rate %, avg. trade %, profit factor, net profit graphs, median trade % and STDEV, with various ENTRY.

Do you have any questions about this post write to me, contact page form, OR follow me on twitter @stockdotnu

OMXS30 – Statistics – January

admin OMXS30

Monthly statistics for OMXS30 based on the closing price between year 1987 and 2014. Matrices, read from left and up for variation of ENTRY and EXIT. The matrices show different things such as index points, sum, win rate, win rate mean/median, avg. trade, profit factor, total net profit, avg. trade net profit, median and standard deviation.

Total net profit is calculated at 100 000 and no specific currency. Total net profit is profit minus loss and avg. trade profit is average profit per trade. Count matrix is how many trades there are in the data set, most are 28 but the last days of the month can vary because some months is longer or shorter than others.

I have removed the last trading day in profit factor because it went up in to large numbers. Note the low numbers in profit on trading day 7-8 and 16.

Matrix graphs, sum %, win rate %, avg. trade %, profit factor, net profit graphs, median trade % and STDEV, with various ENTRY.

Do you have any questions about this post write to me, contact page form, OR follow me on twitter @stockdotnu

S&P500 Drawdown HI100/20

admin S&P 500, Statistics

This is a graph of S&P500 where it shows the drawdown from HI100 or HI20 since year 2000 up to 16 December 2014. During the previous market crashes you will see that it went quickly down, and it’s been a while since we had such market movements. Right now we are -5.14% from HI100/20 and based on the closing price of 1972.74 on 16 December.

S&P500 – Fibonacci Statistics

admin S&P 500, Statistics

Fibonacci statistics, almost close at P95 = 1999.94 in VALUE and P75 in TIME (12 Dec). On Monday (15 Dec) P80 in TIME and IF lower than close Friday <P95 and P96 = 1991.50. First square shows P80 to P95 both in VALUE and TIME, second square P96 to P99.

Current VALUE is oversold and <P95 is extreme. In combination with monthly statistics it should turn within few trading days and become Bullish, second picture zoomed in.

The third picture shows where P80 (light red) and P90-P95 (dark red) have occurred since the end of 2011 until August of this year. In the picture is a table that says how often it occurs by the fact that it goes below a certain level in terms of percentiles.

Value <P95 is quite stable around 1-3 time per year and <P90 gives an increased frequency in really poor stock market years. IF it goes <P95 now in the short term, there have then been two times in 2014 last on 15 Oct, shown in first picture.

Do you have any questions about this post write to me, through contact page form, OR follow me on twitter @stockdotnu

S&P500 – December Correlation

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In the top graph are mean and median of the correlation results of the last 5 trading days of November. The bottom graph is the correlation results for the first five trading days in December and they have high values and is more reliable than the first estimate.

If you look at the results so it does not seem to be any weak point during the trading month, but right now from trading day 6-7 to trading day 11 is a historic worse period in this month and there should be alert for a possible dip. In extreme events can change outcomes and this is just information on my calculations from two different starting points. This is what history says and translated into graphs.