It is Interesting to Consider, from Victor Niederhoffer
It is interesting to consider to what extent there are more or less two day moves in the same direction between markets. For example, the two day move in crude has been up on 9 consecutive days. How frequent is it, relative to other markets, taking account of the drift in markets. Is it predictive of anything in the future? Is it consistent with randomness. e.g. number of occasions that the two day move close to close was up versus down on two consecutive occasions.
2009 - present
market up down
crude 487 421
spu 558 342
bonds 469 407
gold 509 397
euro 483 407
yen 442 463
etc