HedgeFundLIVE.com — Reposting my blog (with updated stats) from Feb. 11, 2011, a very similar day to today in that we made a round trip (up) day on a Friday.
The action in the Spooz so far today reminded me of a blog that I had written on Jan. 14, 2011. I had run an analysis on Round Trip days.
A “Round Trip” is a HFL coined term that means a name has moved from below S4 to above R4 or vice versa (R4 down to S4). We saw this action on Jan. 14, which happened to be a Friday like today as well.
Here are the updated stats for what occurs in the market on the day following a round trip up (S4 to R4):
All Days Fridays Only Next Day Pct Chg Input 0.00% Upside: Next Day Pct Chg Input 1.00% Downside: Next Day Pct Chg Input -1.00% Number of Instances 121 17 Number of Up > 0% Next Days 65 8 Number of Higher High Next Days 87 11 Number of Lower Low Next Days 16 4 Number of Up More Than 1% Next Days 13 2 Number of Down More Than -1% Next Days 20 0 Number of High Above R4 Next Days 27 4 Number of Low Below S4 Next Days 41 5 Probability of Up >0% Next Day 53.72% 47.06% Probability of Higher High Next Day 71.90% 64.71% Probability of Lower Low Next Day 13.22% 23.53% Probability of Up More Than 1% Next Day 10.74% 11.76% Probability of Down More Than -1% Next Day 16.53% 0.00% Probability of Ticking Above R4 Next Day 22.31% 23.53% Probability of Ticking Below S4 Next Day 33.88% 29.41%The blue font denotes input parameters for this model. The bold font denotes the output of the model.
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