The Angle of Ascent

作者:Victor Niederhoffer
日期:2011/05/31

I have recently been considering the angle of ascent as a predictor of subsequent movements as part of a general consideration of the principle of conservation of momentum's applicability to markets.

Here's one approach:

Consider all moves during a week of 10 to 20 full points i.e. 1% in s & p

. number of obs move the next day sd
.previous Wed
.to Friday
.up more than 10 44 -2 13
.up btwn 5 and 10 27 -1 9
.up btwn 1 and 5 14 0 0
.-5 < sp <0 11 0 12
.sp < -5 9 20 22

There would seem to be some small evidence that for weekly moves during the last 10 years, given that the move during the week was between 1 and 2%, the algebraic speed of ascent in the last part was negatively correlated with the move the next day.

The approach has many bifurcations and variations and mite be interesting to pursue to the physicists in our audience.