Briefly Speaking, by Victor Niederhoffer
It is hard to believe that the moves of the Nikkei on Wednesday and Thursday overnight, before the US stocks opened, were not indicative of the imminent break through from below of the round 1400 by the S&P, but this must be tested.
| NIKKEI (NI1) | S&P (SP1) | |||
| Date | Open | Close | Open | Close |
| 1-Nov | 16375 | 16380 | 1386.1 | 1372.9 |
| 2-Nov | 16395 | 16350 | 1368.8 | 1371.3 |
| 3-Nov | 16350 | 16330 | 1375.8 | 1368.5 |
| 6-Nov | 16320 | 16380 | 1372.8 | 1383.8 |
| 7-Nov | 16385 | 16420 | 1385.0 | 1389.0 |
| 8-Nov | 16420 | 16235 | 1382.5 | 1391.6 |
| 9-Nov | 16235 | 16245 | 1392.5 | 1384.0 |
| 10-Nov | 16240 | 16080 | 1383.5 | 1384.8 |
| 13-Nov | 16085 | 16020 | 1384.0 | 1388.0 |
| 14-Nov | 16025 | 16295 | 1391.3 | 1397.7 |
| 15-Nov | 16300 | 16260 | 1397.0 | 1401.5 |
| 16-Nov | 16270 | 16170 | 1405.4 | 1405.1 |
| 17-Nov | 16175 | 16065 | 1400.2 | 1404.8 |
| 20-Nov | 16065 | 15735 | 1403.2 | 1405.3 |
| 21-Nov | 15740 | 15720 | 1404.8 | 1406.2 |
| 22-Nov | 15720 | 15855 | 1407.0 | 1408.4 |
| 23-Nov | #N/A | #N/A | #N/A | #N/A |
| 24-Nov | 15800 | 15725 | 1401.6 | 1402.9 |
| 27-Nov | 15725 | 15860 | 1401.9 | 1383.6 |
| 28-Nov | 15860 | 15865 | 1381.2 | 1388.6 |
| 29-Nov | 15855 | 16080 | 1392.7 | 1402.2 |
| 30-Nov | 16080 | 16310 | 1402.5 | 1402.9 |
An Earnest Spec replies:
On a related note regarding moves in the East, I was wondering if you might critique this Kindergartner’s effort in the quantitative world. What is worthy? What is worthless? What to add? What to omit?
IF was up 9.5% yesterday, completing a five-day percentage gain of more than three standard deviations above the average five-day percentage change measured over the last 30 trading days. I queried IF’s history for like moves while trading over the 200sma. The table is expressed as percentage change, T+(X) days out from yesterday’s event.
| Date | t+7 | t+8 | t+12 | t+28 | t+30 |
| 04/23/1992 | -7.1 | -7.1 | -5.9 | -2.4 | -1.2 |
| 05/28/1993 | 2.3 | 0.0 | 2.3 | 3.5 | 3.5 |
| 12/27/1993 | -11.1 | -15.3 | -21.7 | -22.8 | -24.9 |
| 05/11/1995 | -6.1 | -7.1 | -6.1 | -8.2 | -8.2 |
| 04/25/1996 | -5.7 | -3.8 | -2.8 | -5.7 | -6.6 |
| 07/08/1997 | -11.1 | -11.1 | -16.2 | -29.3 | -33.3 |
| 01/06/1999 | -11.9 | -3.0 | -14.9 | -9.0 | -10.4 |
| 06/08/1999 | -4.5 | -3.6 | -1.8 | -5.4 | -11.6 |
| 08/23/1999 | -8.6 | -10.8 | -14.0 | -8.6 | -11.8 |
| 04/09/2002 | -4.0 | 0.0 | -0.4 | -6.0 | -5.2 |
| 05/09/2003 | -6.7 | -6.7 | -1.8 | -0.9 | 0.9 |
| 10/13/2003 | -1.3 | -2.9 | -4.0 | -5.1 | -6.9 |
| 12/26/2003 | -14.1 | -14.2 | -16.8 | -23.7 | -22.0 |
| 11/29/2006 | NaN | NaN | NaN | NaN | NaN |
| Avg | -6.9 | -6.6 | -8.0 | -9.5 | -10.6 |
| AvgPos | 2.3 | NaN | 2.3 | 3.5 | 2.2 |
| AvgNeg | -7.7 | -7.8 | -8.9 | -10.6 | -12.9 |
| PctPos | 7.7 | 0.0 | 7.7 | 7.7 | 15.4 |
| PctNeg | 92.3 | 84.6 | 92.3 | 92.3 | 84.6 |
| Maximum | 2.3 | 0.0 | 2.3 | 3.5 | 3.5 |
| Minimum | -14.1 | -15.3 | -21.7 | -29.3 | -33.3 |
| StdDev | 4.5 | 5.0 | 7.7 | 9.7 | 10.6 |
| Avg/SD | -1.5 | -1.3 | -1.0 | -1.0 | -1.0 |
| Date | t+7 | t+8 | t+12 | t+28 | t+30 |
| 01/06/1999 : 1 Obs. | Min. :-14.100 | Min. :-15.300 | Min. :-21.700 | Min. :-29.300 | Min. :-33.300 |
| 04/09/2002 : 1 Obs. | 1st Qu.:-11.100 | 1st Qu.:-10.800 | 1st Qu.:-14.900 | 1st Qu.:-9.000 | 1st Qu.:-11.800 |
| 04/23/1992 : 1 Obs. | Median : -6.700 | Median : -6.700 | Median : -5.900 | Median : -6.000 | Median : -8.200 |
| 04/25/1996 : 1 Obs. | Mean : -6.915 | Mean : -6.585 | Mean : -8.008 | Mean : -9.508 | Mean : -10.59 |
| 05/09/2003 : 1 Obs. | 3rd Qu.: -4.500 | 3rd Qu.: -3.000 | 3rd Qu.: -1.800 | 3rd Qu.: -5.100 | 3rd Qu.: -5.200 |
| 05/11/1995 : 1 Obs. | Max. : 2.300 | Max. : 0.000 | Max. : 2.300 | Max. : 3.500 | Max. : 3.500 |
| Other : 7 Observations |
t.test(Dataset$t.7, alternative=’two.sided’, mu=0.0, conf.level=.95)
One Sample t-test data: Dataset$t.7 t = -5.492, df = 12, p-value = 0.000138
alternative hypothesis:
true mean is not equal to 0 95 percent confidence interval: -9.658867 -4.171903
sample estimates: mean of x -6.915385
t.test(Dataset$t.30, alternative=’two.sided’, mu=0.0, conf.level=.95)
One Sample t-test data: Dataset$t.30 t = -3.6192, df = 12, p-value = 0.00352
alternative hypothesis:
true mean is not equal to 0 95 percent confidence interval: -16.969087 -4.215529
sample estimates: mean of x -10.59231