[tech-spec] After the drop

  • From: JAMES SOGI <jsogi@xxxxxxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx
  • Date: Wed, 05 Jan 2005 08:36:58 -1000

After dropping into a wave, surfers head straight up and hit the lip at the top of the wave and do a big spray. What happens in the market after a big drop? At 2:36 the market seems to be trying a nice off the lip.

("..goal is to pursue promising threads from Spec-List or elsewhere in a more
organized & quantitative way.  I hope & expect everyone will pitch in, give
it the ol' college try.   quick & dirty, back of the envelope, rather than beautiful 
computer science")



SP Big since 94, Daily (private data)  R

Days after over 40 points down
date p t t1.1 794 1997-10-27 1099.6 -69.0 51.0 987 1998-08-04 1264.0 -44.0 15.5 1004 1998-08-27 1226.0 -53.0 -3.0 -
1006 1998-08-31 1145.0 -78.0 47.0 1345 2000-01-04 1519.7 -55.5 3.0 1358 2000-01-24 1520.2 -42.5 7.5 1362 2000-01-28 1475.7 -43.5 34.0 1388 2000-03-07 1459.7 -43.5 15.0 1414 2000-04-12 1566.2 -43.9 -19.1 -90.9 1416 2000-04-14 1456.2 -90.9 47.4 1599 2001-01-05 1329.9 -44.5 6.0 1643 2001-03-12 1203.0 -52.6 18.5
1659 2001-04-03 1120.5 -41.0 4.0 1770 2001-09-17 1040.3 -57.3 -2.5 -
> spd[spd$t < -30,] days after over 30 points down
date p t t1.1 794 1997-10-27 1099.6 -69.0 51.0 845 1998-01-09 1144.9 -31.3 15.4 987 1998-08-04 1264.0 -44.0 15.5 1004 1998-08-27 1226.0 -53.0 -3.0 -
1006 1998-08-31 1145.0 -78.0 47.0 1013 1998-09-10 1161.0 -33.0 43.0 1027 1998-09-30 1207.0 -30.5 -32.0 1028 1998-10-01 1175.0 -32.0 18.0 -
1069 1998-11-30 1343.5 -31.7 11.5 1104 1999-01-21 1404.0 -33.0 -2.5 1146 1999-03-23 1429.0 -39.3 6.7 1183 1999-05-14 1496.5 -34.0 1.8 1274 1999-09-23 1418.7 -30.1 -1.0 1288 1999-10-13 1416.7 -37.4 1.5
1290 1999-10-15 1384.8 -33.4 8.4 1345 2000-01-04 1519.7 -55.5 3.0 1358 2000-01-24 1520.2 -42.5 7.5
1362 2000-01-28 1475.7 -43.5 34.0 1377 2000-02-18 1461.7 -32.0 -4.0 1388 2000-03-07 1459.7 -43.5 15.0 1414 2000-04-12 1566.2 -43.9 -19.1 -90.9 47.4 40.1
1416 2000-04-14 1456.2 -90.9 47.4 40.1 -13.5 7.5
1433 2000-05-10 1478.2 -31.5 26.5 1488 2000-07-28 1499.4 -31.5 8.0 1541 2000-10-12 1390.4 -34.0 41.0 1544 2000-10-17 1404.9 -31.5 -7.5 1550 2000-10-25 1419.9 -30.5 -3.5
1562 2000-11-10 1418.4 -31.0 -13.5 1570 2000-11-22 1368.4 -33.5 23.6 1586 2000-12-15 1352.4 -31.5 20.5
1589 2000-12-20 1305.9 -37.0 7.0 1596 2001-01-02 1325.4 -30.5 59.0 -
1599 2001-01-05 1329.9 -44.5 6.0
1642 2001-03-09 1255.6 -35.9 -52.6 1643 2001-03-12 1203.0 -52.6 18.5
1659 2001-04-03 1120.5 -41.0 4.0 1770 2001-09-17 1040.3 -57.3 -2.5
1773 2001-09-20 982.3 -33.0 -10.6 1862 2002-01-29 1097.5 -34.8 15.3 1974 2002-07-10 913.1 -35.5 8.6 1981 2002-07-19 837.4 -32.0 -24.0
1992 2002-08-05 828.4 -30.5 27.5 2012 2002-09-03 872.3 -34.6 11.9 Statistics for day after > 40 pt drop
> a<- subset(spd, t < -40 , select = t1.1)
Min. :-19.10 1st Qu.: 3.25 Median : 11.25 Mean : 16.02 3rd Qu.: 30.13 Max. : 51.00 One Sample t-test t = 2.8082, df = 13, p-value = 0.01480
mean of x 16.02143


> a<- subset(spd, t < -30 , select = t1.1) ##Statistics for day after > 30 pt drop
One Sample t-test t = 2.933, df = 42, p-value = 0.005417
mean of x 9.960465 Min. :-52.60 1st Qu.: -2.50 Median : 8.00 Mean : 9.96 3rd Qu.: 19.50 Max. : 59.00 > sd(a)
t1.1
22.26910



> a<- subset(spd, t < -10 & t1.1 < -15 , select = t2) ##day after >10 and 15 pt drop last 2 days
One Sample t-test t = 1.8264, df = 58, p-value = 0.07293
mean of x 5.81017
Min. :-90.90 1st Qu.: -4.00 Median : 6.00 Mean : 5.81 3rd Qu.: 18.25 Max. : 59.00 > sd=24.43470
>




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