The State of the Market

[XL-entLady]

Note: the Abnormal Market Filter stands at 81% and the predictions above have been significantly reduced as a result. Trade with care folks. — michael

http://marketsci.wordpress.com/state-of-the-market/

Lady

[XL-entLady]

Note: the Abnormal Market Filter stands at 83% and the predictions above have been significantly reduced as a result. Trade with care folks. — michael

http://marketsci.wordpress.com/state-of-the-market/

Lady

[alevin]

So Lady, I'm looking at this marketsci post for the first time, I'm not sure what the "aggregate prediction" represents. Is it the probability the market will go down 61%? or is it 61% probable the market is still going down right now?

[XL-entLady]

So Lady, I'm looking at this marketsci post for the first time, I'm not sure what the "aggregate prediction" represents. Is it the probability the market will go down 61%? or is it 61% probable the market is still going down right now?

Hi, Allie! The State of the Market is an aggregate of a number of signals that this site uses. Here is the long version that they use to make the signal snapshot. They post both versions every day. You can just click on the table to make it bigger.

They're not always right by a long shot but it seems they are right more often than they aren't.

http://marketsci.wordpress.com/state-of-the-market/

"Individual strategies tracked (click to zoom):

The State of the Market Report is a daily snapshot of what some of the strategies that I’ve shared on this blog are predicting for the US stock market the following trading day. Layered on top of these predictions are two very powerful concepts: confidence and adaptation (more on these later). This report will be updated daily (usually) prior to 8pm ET."

Hope that helps,

Lady

[alevin]

http://marketsci.wordpress.com/state-of-the-market/

The State of the Market Report is a daily snapshot of what some of the strategies that I’ve shared on this blog are predicting for the US stock market the following trading day. Layered on top of these predictions are two very powerful concepts: confidence and adaptation (more on these later). This report will be updated daily (usually) prior to 8pm ET."

Hope that helps,

Lady

I got part of my question answered (I think). Let me rephrase what I think you just said, check and see if I've got it at least part of the concept: The Daily snapshot Aggregate prediction for tomorrow the 23d is that the market will be up (box colored green). Correct? What does the 7% number (tied to the Aggregate Prediction box) mean? 7% confidence (probability) that the market will be up?

[XL-entLady]

I got part of my question answered (I think). Let me rephrase what I think you just said, check and see if I've got it at least part of the concept: The Daily snapshot Aggregate prediction for tomorrow the 23d is that the market will be up (box colored green). Correct? What does the 7% number (tied to the Aggregate Prediction box) mean? 7% confidence (probability) that the market will be up?

Yeah, it's like "there is a 7% greater probability that the market will be up than that it will be down" - - or something like that.

Lady

[XL-entLady]

the state

Note: the Abnormal Market Filter stands at 100%, reducing the predictions above to zero. These are dangerous markets - trade with care folks. — michael

[XL-entLady]

The State of the Market was at 0% prediction today, and the site's blog explained why:

http://marketsci.wordpress.com/

The Abnormal Market Filter Says “Barricade the Doors”

24Feb09

"The Abnormal Market Filter reading for Tuesday (02/24) has moved to 100% for the first time since the market meltdown last October.
I’ve talked a lot over the last few months about my mechanism to determine when the market is acting “abnormally”, the Abnormal Market Filter. The idea behind the filter is to give my own programs a way to measure when the market has moved beyond normal ranges, because strategies based on historical norms might not be suited for that very abnormal moment.
The filter is included in the State of the Market report and both the YK and Scotty strategies, and in all three cases, as the market becomes more “abnormal”, position sizes are reduced (eventually to zero). The graph below shows the S&P 500 (blue) versus the filter reading for that day (red) from the beginning of this year.

During both of this year’s market slides, the filter ratcheted up, hitting a high of 75% in January and 100% at this moment now.
These two very elevated months have given me an opportunity to look at how our programs react in real-time to this idea (and so far, I’m a very satisfied developer).
To illustrate, the graph below shows YK’s performance YTD both with (red) and without (green) the abnormal market filter. The red line represents the strategy as we issue it to investors, and the green line the old pre-filter version of the strategy.

[linearly-scaled]

For most of the year, the Abnormal Market Filter has actually reduced portfolio returns, and I think generally speaking this is going to be the case; there is significant money to be made when the market is making big volatile moves.
But there is also significant pain to be inflicted when we’re wrong, and the filter has done a very good job this month defending against a series of what would have been very bad positions. YK returns without the filter would have been roughly -10.1% month-to-date. With the filter? -0.9%. That’s a substantive difference.
I have no idea where the market goes from here (I leave market calls beyond 24 hours from now to the pundits). By design, the Abnormal Market Filter returns to “normal” very quickly as the market stabilizes so I foresee taking bigger positions again shortly, but at this moment in time, I would be very hesitant to make large bets in this market."


Lady

[XL-entLady]

http://marketsci.wordpress.com/state-of-the-market/

Lady

[XL-entLady]

Note: the Abnormal Market Filter stands at 63% and the readings above have been reduced to reflect that. Trade with care folks.

http://marketsci.wordpress.com/state-of-the-market/