关于星期五和星期一的统计分析

wave

既然在股市里统计数据比较有用，周末无聊，写了个小程序统计一下星期五和星期一的SP500的performance。这里上涨的定义是当天收盘比前天收盘高。

先看一下从Mar. 6 2009 熊市底到刚过去的周五的数据：

Total Friday Number is 94
Friday Up Number is 53
The ratio of up Friday is 0.564

Total Monday Number is 93
Monday Up Number is 57
The ratio of up Monday is 0.613

Both Up Number is 27
The ratio of both up days to up Friday is 0.509

Firday up but Monday down number is 26
The ratio of down Monday to up Friday is 0.491

这里ratio也可以理解为概率。所以我们可以看到与其说bullish Friday不如说 bullish Monday 更合适。2， 如果在上涨的周五收盘的时候short 大盘，周一收盘的时候cover，只有一半的胜率。
再来看看从 Jan. 1, 1990 到上个周五的统计：

Total Friday Number is 1062
Friday Up Number is 571
The ratio of up Friday is 0.538

Total Monday Number is 1008
Monday Up Number is 552
The ratio of up Monday is 0.548

Both Up Number is 306
The ratio of both up days to up Friday is 0.536

Firday up but monday down number is 265
The ratio of down Monday to up Friday is 0.464

Monday 的数目比Friday 少是因为两个national holiday 都是星期一。

nooutlier

谢谢

shoujie

嗯！那么周一收盘前烧啃腚好

leftright

jeff110

xie

l9861103

丛林法则

could not understand. what is conclusion?

丛林法则

so, I guess next monday has around 50% down/UP

wave

The conclusion is there is almost no correlation between Friday and Monday price movement. it's a Markov chain.

could not understand. what is conclusion?
丛林法则 发表于 2011-2-12 16:56

greenback

Great!

slcgh

Diver

丛林法则

The conclusion is there is almost no correlation between Friday and Monday price movement. it's a Ma ...
wave 发表于 2011-2-12 17:15

thanks, this is my guess

zippo

回复 9# wave
Thanks.

gudupingsheng

I guess tuesday has a two times movement of monday

wave

What that meant "two times movement"?

I guess tuesday has a two times movement of monday
gudupingsheng 发表于 2011-2-15 05:33

shoujie

嗯！那么周一收盘前烧啃腚好
shoujie 发表于 2011-2-12 13:10

    被俺蒙对了。。。呵呵！

接下来。。。明天可能有新高了。。。？？