Some Numerical Queries
07-Nov-2006
Some Numerical Queries, by Victor Niederhoffer
The recent S&P moves relative to open, high, and low cry out for description and prediction.
S&P Futs Day Open High Low Close
20-Oct-06 Fri 1374.5 1375.5 1369.8 1374.9
23-Oct-06 Mon 1371.6 1384.2 1370.1 1380.7
24-Oct-06 Tue 1379.0 1385.3 1378.2 1384.8
25-Oct-06 Wed 1383.0 1389.5 1381.4 1389.2
26-Oct-06 Thr 1392.0 1395.2 1385.0 1392.9
27-Oct-06 Fri 1391.0 1392.2 1381.2 1384.8
30-Oct-06 Mon 1381.3 1386.8 1378.9 1383.2
31-Oct-06 Tue 1385.3 1387.1 1377.1 1383.2
01-Nov-06 Wed 1386.1 1386.9 1370.9 1372.9
02-Nov-06 Thr 1368.8 1373.5 1367.3 1371.3
03-Nov-06 Fri 1375.8 1377.2 1365.6 1368.5
06-Nov-06 Mon 1372.8 1386.3 1372.6 1383.8
07-Nov-06 Tue 1385.0 1391.7 1383.3 1391.0
- A run of six lower lows in a row was broken on Monday.
- A run of six days without a rise was broken.
- The high on Monday was below but within 1 point of three highs of the previous week.
- The change at the open on Monday was within a quarter point of the change on the previous day.
- Two up opens in a row more than four occurred in conjunction.
- Hopes were dashed on Friday when a nice up open was followed by a move down of 12 points.
- Wednesday of the previous week the high-low range was 16 points and Friday the high-low range was 12 points but the other three days the range was below 10.
- A string of six weeks up in a row was broken last Friday with a down week, giving the bears hope.
- The volume on Tuesday end of month was 50% higher than the average for the other days in conjunction with an unchanged day.
- The low on Monday was just a quarter point below the open and the high last Friday was just 1 point below the open. Similar low maximum within day moves above open occurred on 10/27, 10/31, and 11/03.
Many queries as to randomness, predictability, and further observations and hypotheses arise.