Interpretation of Cobra's: 6 of 7 days

silicon_beaver

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

coolboy

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.

silicon_beaver

ok. here is complete data from yahoo (since Jan 03 1950).
It's not very close to the statistics of recent ten years above.

DOW股市

xz214

acoust

quickcow

what happened to N=13 and N=14?

bokchoy888

zhmliu

catbear

great job !!

NYQ

Fan8an

DOW股市

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。