霧靈十二少

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霧靈十二少 (熱門博主)
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20年數據解讀OE日

(2014-12-10 09:16:42) 下一個

這是我去年底做的作業,從1993年2月到2013年11月總共250個數據樣本。個別的OE日落在周四,我都手工挑出來,盡量做到準確無誤。在這250個OE日中,有18個(7.20%)當日上漲超過1%,有32個(12.80%)當日下跌超過1%。除了這類大動以外,還有37個漲0.5%--1%(14.80%),有34個跌0.5%--1%(13.60%)。

從趨勢上看,近幾年OE日大漲大跌明顯變少,從側麵佐證了大千有人提出“聯儲加強對股市調控”的猜想。最近一次超1%的OE日下跌是2012年10月19日,SP當日跌1.67%。下周將是那以來第26個無1%下跌的OE日,顯示這個指標認為股市超買。同時暗示12月、明年頭三個月的OE日,該有一個大跌破戒(做option的同學,該明白為什末很多人買明年春天的put)。

以下貼出部分原始數據,包括OE周的表現,還有我做表格的技術代碼。三重魔力日等細節解讀,貼不貼再說。

Date Open High Low Close Volume Adj Close Daily Diff % Weekly Diff% Weekday Month Weekly Diff% abs
5/15/09 89.37 90 88.15 88.71 271502700 80.88 -0.81% -4.59% 5 5 4.59%
6/19/09 92.58 92.7 91.52 92.04 215655600 84.38 0.36% -3.20% 5 6 3.20%
7/24/09 97.2 98.14 96.69 98.06 154003100 89.9 0.40% 4.18% 5 7 4.18%
8/21/09 101.82 103.13 101.62 102.97 224605000 94.41 1.97% 2.16% 5 8 2.16%
9/18/09 107.15 107.16 106.36 106.72 153799100 98.31 0.06% 1.86% 5 9 1.86%
10/16/09 108.8 109.27 108.23 108.89 192069400 100.31 -0.74% 1.52% 5 10 1.52%
11/20/09 109.25 109.76 109.01 109.43 134196000 100.81 -0.36% -0.17% 5 11 0.17%
12/18/09 110.2 110.3 109.28 110.21 174591200 102.07 0.56% -0.81% 5 12 0.81%
1/22/10 111.2 111.74 109.09 109.21 345942400 101.15 -2.22% -3.90% 5 1 3.90%
2/19/10 110.62 111.57 110.36 111.14 222684900 102.93 0.20% 2.87% 5 2 2.87%
3/19/10 116.96 117.29 115.52 115.97 226559800 107.85 -0.51% 0.44% 5 3 0.44%
4/16/10 120.86 121.29 118.75 119.36 366786700 111 -1.60% -0.16% 5 4 0.16%
5/21/10 105.91 109.38 105.36 109.11 500909400 101.47 1.46% -4.20% 5 5 4.20%
6/18/10 111.83 112.13 111.37 111.73 174006600 104.4 0.11% 1.87% 5 6 1.87%
7/16/10 109.09 109.21 106.45 106.66 282693400 99.66 -2.75% -1.20% 5 7 1.20%
8/20/10 107.56 107.94 106.75 107.53 209714200 100.48 -0.32% -0.72% 5 8 0.72%
9/17/10 113.04 113.15 112.18 112.49 195836900 105.67 0.04% 0.91% 5 9 0.91%
10/15/10 118.28 118.35 116.76 117.7 243705000 110.57 0.21% 1.00% 5 10 1.00%
11/19/10 119.9 120.34 119.25 120.29 156852900 113 0.28% 0.07% 5 11 0.07%
12/17/10 124.08 124.46 123.82 124.3 141075300 117.38 0.10% -0.14% 5 12 0.14%
1/21/11 128.88 129.17 128.23 128.37 151462900 121.22 0.22% -0.72% 5 1 0.72%
2/18/11 134.37 134.69 134.06 134.53 130002400 127.04 0.21% 1.07% 5 2 1.07%
3/18/11 128.84 128.88 127.51 127.76 230435400 121.17 0.36% -2.35% 5 3 2.35%
4/15/11 131.8 132.37 131.41 132.04 170006700 125.23 0.36% -0.62% 5 4 0.62%
5/20/11 134.33 134.68 133.36 133.61 182594900 126.72 -0.80% -0.32% 5 5 0.32%
6/17/11 127.93 127.94 126.62 127.05 233284900 121.1 0.30% -0.43% 5 6 0.43%
7/15/11 131.66 131.87 130.77 131.69 220012800 125.52 0.58% -2.02% 5 7 2.02%
8/19/11 112.96 115.88 112.5 112.64 428281300 107.36 -1.63% -4.64% 5 8 4.64%
9/16/11 121.29 121.97 120.32 121.52 284528300 116.42 0.59% 4.83% 5 9 4.83%
10/21/11 123.09 124.12 122.72 123.97 278999400 118.77 1.90% 1.14% 5 10 1.14%
11/18/11 122.5 122.75 121.47 121.98 215580400 116.87 -0.10% -3.69% 5 11 3.69%
12/16/11 122.23 122.95 121.3 121.59 220481400 117.23 0.15% -3.54% 5 12 3.54%
1/20/12 131.24 131.95 130.92 131.95 138230200 127.22 0.37% 2.41% 5 1 2.41%
2/17/12 136.52 136.63 135.96 136.41 129869400 131.52 0.27% 1.53% 5 2 1.53%
3/16/12 140.36 140.48 140 140.3 152893500 135.86 0.14% 1.98% 5 3 1.98%
4/20/12 138.33 138.83 137.87 137.95 143199600 133.59 0.17% 0.59% 5 4 0.59%
5/18/12 131.37 131.6 129.55 129.74 319615900 125.64 -0.85% -4.33% 5 5 4.33%
6/15/12 133.38 134.26 133.1 134.14 169444500 130.57 1.02% 0.78% 5 6 0.78%
7/20/12 136.95 137.16 136.32 136.47 142904500 132.84 -0.92% 0.53% 5 7 0.53%
8/17/12 142.23 142.3 141.86 142.18 90813700 138.4 0.14% 0.95% 5 8 0.95%
9/21/12 146.64 146.67 145.81 145.87 108737500 142.75 -0.04% -0.93% 5 9 0.93%
10/19/12 145.55 145.56 143.05 143.39 185645200 140.32 -1.67% 0.35% 5 10 0.35%
11/16/12 135.9 136.64 134.7 136.37 239483900 133.45 0.50% -1.30% 5 11 1.30%
12/21/12 142.17 144.09 141.94 142.79 245883800 140.72 -0.91% 0.49% 5 12 0.49%
1/18/13 147.97 148.49 147.43 148.33 169906000 146.18 0.22% 0.86% 5 1 0.86%
2/15/13 152.43 152.59 151.55 152.11 215226500 149.91 -0.12% 0.20% 5 2 0.20%
3/15/13 155.85 156.04 155.31 155.83 138601100 154.26 -0.13% 0.25% 5 3 0.25%
4/19/13 154.5 155.55 154.12 155.48 149687600 153.91 0.87% -2.09% 5 4 2.09%
5/17/13 165.95 167.04 165.73 166.94 129801000 165.26 0.97% 2.16% 5 5 2.16%
6/21/13 159.64 159.76 157.47 159.07 271956800 158.3 0.32% -2.52% 5 6 2.52%
7/19/13 168.52 169.23 168.31 169.17 103831700 168.35 0.18% 0.99% 5 7 0.99%
8/16/13 166.06 166.63 165.5 165.83 130868200 165.03 -0.33% -2.06% 5 8 2.06%
9/20/13 172.33 172.33 170.58 170.72 132867100 170.72 -0.70% 0.82% 5 9 0.82%
10/18/13 173.86 174.51 173.51 174.39 138316000 174.39 0.68% 2.43% 5 10 2.43%
11/15/13 179.56 180.12 179.33 180.05 102745200 180.05 0.44% 1.56% 5 11 1.56%
            avg -0.06% 0.16%     1.76%
            std 1.00% 2.44%     1.69%

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