Category Archives: Market Statistics

Low S&P 500/Nasdaq-100 Correlation Positive For the Market

The 60-day correlation between S&P 500 and Nasdaq-100 has dropped to levels reached along the 2000s uptrend. Although correlation can be dubious measure, current low levels may indicate that there is potential in the market for further gains.

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Dow Jones Or S&P 500?

There was a heated discussion in Twitter a few days ago with even some harsh language about the importance of the Dow Jones Industrial Average now that the Dow 20,000 level frequently makes the headlines. The answer requires some trivial … Continue reading

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Momentum Exuberance In Dow Industrials A Warning Sign

The RSI(14) of DIA ETF has stayed above 70 for 25 days, the longest such period since its inception. The previous longest period was 20 days and was completed before the stock market entered its longest consolidation in last 66 … Continue reading

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Merry Christmas. Buy And Hold Is Post Hoc Market Timing

Trading strategies attempt to time the market ex-ante by generating entry and exit signals. Buy and hold is post-hoc market timing. There is no way to avoid market timing, whether active or passive. The claim that buy and holders do … Continue reading

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Fourth Down January In a Row For Stocks?

Stock have corrected¬†about 4% on the average in January in last three years. But before that, the market was up in January three years in a row for an average return of about +2.8%. And before that, it was again … Continue reading

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S&P 500: Never Down in December Three Years In A Row Since 1950

Although most seasonal patterns and calendar effects suffer from small samples and their statistical significance is limited, they are nevertheless interesting. For example, since 1950, the S&P 500 has never dropped in December three years in a row. In addition, … Continue reading

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Russell 2000: New Uptrend Or Bull Trap?

The Russell 2000 index is up 18.6% year-to-date with the bulk of the profits realized in a rally that started a day before the elections. Any claims that the performance of the index is due to growth prospects under the … Continue reading

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Thirteen-Day Win Streak: Why In Russell 2000 And Not In S&P 500

The chances of observing a 13-day win streak in Russell 2000 after an event that triggers a strong uptrend are 40% higher than observing the same win streak in S&P 500.

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