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[数理预测] Interpretation of Cobra's: 6 of 7 days

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发表于 2011-12-27 06:19 PM |显示全部楼层








本帖最后由 silicon_beaver 于 2011-12-27 15:24 编辑

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Cobra has a rule: 6 of 7 days, applying to a strong rally.
i.e. SPX will see six green days within next seven days.

There are various analyses behind this rule. Here I just provide an interpretation of statistics analysis using historical data, from Jan 02, 2001 to 12/23/2011 (last Friday), approximately recent ten years.

Below is calculation result (statistical analysis), assume market SPX has been in green/up “N” days.



Note:
  • In general, next day is almost always with 50-50 chance, under whatever “N” days green  (except N=6).
  • If N = 6, next day has much higher chance (67% = 14/21) to go down.
  • For present market, N=5, chance is 21-20 that tomorrow will go green or red.

It's one of the statistical analysis family.

It's also an update per catbear
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遥指杏花村。

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发表于 2011-12-27 06:42 PM |显示全部楼层

The result of the statistical analysis becomes more reliable when you have more samples. You now have 1473+1288 = 2761 days in total. Among these samples, you only get three cases with N=8. Therefore, the conclusion based on this historical data for N=8 and N=9 may not be that useful. It appears useful for N=1 or N=5 because you have got many samples for those small N cases.

The conclusion based on those small N cases appears to be: “next day is almost always with 50-50 chance, under whatever “N” days green.” I expect the same conclusion for those large N cases as well. In other words, when you increases the size of samples for those large N cases, we will see the same trend: 50-50 chance. Currently, for N=6, we have 33-67 chance. To get to a 50-50 chance you need to increase days_up for N=6.

Therefore, we can also arrive at an opposite conclusion:  in future, if N = 6, next day has much higher chance (67% = 14/21) to go up to produce a 50-50 chance 20 years later.

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发表于 2011-12-27 06:45 PM |显示全部楼层
ok. here is complete data from yahoo (since Jan 03 1950).
It's not very close to the statistics of recent ten years above.


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发表于 2011-12-27 07:18 PM |显示全部楼层
"That's one small step for man, one giant leap for mankind."
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发表于 2011-12-27 07:44 PM |显示全部楼层
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发表于 2011-12-27 07:46 PM |显示全部楼层
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发表于 2011-12-27 08:14 PM |显示全部楼层
what happened to N=13 and N=14?

点评

silicon_beaver  per data table above (#3). N=13, next day was up; N=14, next day was down.  发表于 2011-12-27 09:30 PM
凡事预则立,不预则废。言前定则不跲,事前定则不困,行前定则不疚,道前定则不穷。
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发表于 2011-12-27 08:51 PM |显示全部楼层
Bull markets are born on pessimism, grow on skepticism, mature on optimism, and die on euphoria
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发表于 2011-12-27 10:12 PM |显示全部楼层
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发表于 2011-12-28 01:05 AM |显示全部楼层


great job !!
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发表于 2011-12-28 07:23 AM |显示全部楼层
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发表于 2011-12-28 09:09 AM |显示全部楼层
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发表于 2011-12-28 08:19 PM |显示全部楼层
silicon_beaver 发表于 2011-12-27 19:45
ok. here is complete data from yahoo (since Jan 03 1950).It's not very close to the statistics of re ...

奇怪了,电脑看见的是红叉,用手机却能看见。

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