Oct 15, 2012
Jan 3, 2011 – Oct 15, 2012 quad history
Quad | # | % | 1 | 152 | 33.70% | 2 | 40 | 8.87% | 3 | 202 | 44.79% | 4 | 57 | 12.64% |
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| Total | 451 | 100.00% |
Fri, March 30, 2012 9:43 PM EDST (Charts 11,12 new April 9, 1:30 AM)
We'll know we've cracked the VIX volatility code when our forecasts of VXX next-day close continue to be reasonably accurate over time — and if we can keep the Gang of 7 from misbehaving too badly :)
Table 1 below helps understand VXX movements from quad to quad. Here's an example using 2-digit qPath algorithm #1:
VXX closed in quad 1 for 48 days since Jan 3, 2011 after closing in quad 3 the day before (qPath=1.3, from quad 3 to quad 1) — VXX closed down 24 days and up 24 days the next day after closing in quad 1.
To- | quad |
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| 1 | 21 | 13 | 34 | 9 | 4 | 13 | 26 | 14 | 40 | 5 | 9 | 14 | 30 | 17 | 47 | 31 | 23 | 54 | 61 | 40 | 101 |
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| 2 | 3 | 5 | 8 | 2 | 5 | 7 | 8 | 6 | 14 | 0 | 0 | 0 | 5 | 10 | 15 | 8 | 6 | 14 | 13 | 16 | 29 |
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| 3 | 24 | 24 | 48 | 2 | 5 | 7 | 45 | 30 | 75 | 15 | 2 | 17 | 26 | 29 | 55 | 60 | 32 | 92 | 86 | 61 | 147 |
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| 4 | 7 | 5 | 12 | 1 | 1 | 2 | 13 | 5 | 18 | 0 | 3 | 3 | 8 | 6 | 14 | 13 | 8 | 21 | 21 | 14 | 35 |
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| total | 55 | 47 | 102 | 14 | 15 | 29 | 92 | 55 | 147 | 20 | 14 | 34 | 69 | 62 | 131 | 112 | 69 | 181 | 181 | 131 | 312 | |
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Table 2
Table 1 collapsed
To- |
1 |
2 |
3 |
4 |
1+2 |
3+4 |
All |
From |
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quad |
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1 |
34 | 13 |
40 |
14 |
47 |
54 |
101 |
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2 |
8 |
7 |
14 |
0 |
15 |
14 |
29 |
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3 |
48 |
7 |
75 |
17 |
55 |
92 |
147 |
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4 |
12 |
2 |
18 |
3 |
14 |
21 |
35 |
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total |
102 | 29 |
147 |
34 |
131 | 181 |
312 |
Our qPath algorithm for Wed, Mar 14, qPath=1.3 predicted that Thu, Mar 15th, would close down — which it did. We did not make a forecast Mar 14 because we mistakenly manually overrode (scroll down to Mar 14) the algorithm.
Table 3 qPath | %VXX |
| Days |
|
| Avg |
| StDevP | Mar 14 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | 1.3 | -59.70 | 84.14 | 23 | 23 | -2.60 | 3.66 | 2.05 | 3.44 | 133 | -38.06 | 23.08 | 15 | 8 | -2.54 | 2.88 | 2.15 | 4.52 | 1333 | -21.33 | 16.06 | 8 | 4 | -2.67 | 4.01 | 2.37 | 6.08 |
Had our Mosconi Effect algorithm been finished on Mar 14, it too would have predicted correctly that Mar 15 would close down.
Table 4 M-path | %VXX |
| Days |
|
| Avg |
| StDevP | Mar 14 | (-) | (+) | (-) | (+) | (-) | (+) | (-) | (+) | 2 days | -94.14 | 112.05 | 34 | 35 | -2.77 | 3.20 | 2.03 | 3.27 | 3 days | -52.65 | 40.06 | 21 | 19 | -2.51 | 2.11 | 2.20 | 3.19 | 4 days | -36.96 | 32.85 | 15 | 14 | -2.46 | 2.35 | 2.30 | 3.55 | 5 days | -23.63 | 14.82 | 11 | 9 | -2.15 | 1.65 | 1.99 | 0.98 | 6 days | -23.63 | 14.82 | 11 | 9 | -2.15 | 1.65 | 1.99 | 0.98 |
Table 5 contains %VXX, Days, Average %VXX, Standard Deviation StDevP, and Days Probability*100 for each 2-digit qPath. - Highest probability of VXX positive days is qPath 4.4
- Highest probability of VXX negative days is qPath 4.3
- Lowest probability of VXX positive days is qPath 4.2
- Lowest probability of VXX negative days are qPaths 4.2 and 4.4
Table 5
|
qPath |
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| %VXX |
|
| Days |
| Average |
|
| StDevP |
| Days | *100 |
| (-) | (+) | total | (-) | (+) | total | (-) | (+) |
| (-) | (+) |
| (-) | (+) | 1.1 | -57.21 | 49.93 | -7.28 | 21 | 13 | 34 | -2.72 | 3.84 |
| 2.31 | 3.81 |
| 62 | 38 | 1.2 | -15.48 | 21.63 | 6.15 | 3 | 5 | 8 | -5.16 | 4.33 |
| 2.99 | 1.16 |
| 38 | 63 | 1.3 | -61.39 | 84.83 | 23.45 | 24 | 24 | 48 | -2.56 | 3.53 |
| 2.02 | 3.42 |
| 50 | 50 | 1.4 | -23.42 | 13.63 | -9.78 | 7 | 5 | 12 | -3.35 | 2.73 |
| 2.03 | 3.80 |
| 58 | 42 | 2.1 | -29.14 | 45.42 | 16.29 | 9 | 4 | 13 | -3.24 | 11.36 |
| 1.51 | 9.03 |
| 69 | 31 | 2.2 | -2.25 | 27.71 | 25.47 | 2 | 5 | 7 | -1.12 | 5.54 |
| 0.26 | 4.30 |
| 29 | 71 | 2.3 | -7.32 | 11.37 | 4.05 | 2 | 5 | 7 | -3.66 | 2.27 |
| 2.05 | 1.60 |
| 29 | 71 | 2.4 | -2.02 | 2.21 | 0.20 | 1 | 1 | 2 | -2.02 | 2.21 |
| 0.00 | 0.00 |
| 50 | 50 | 3.1 | -89.60 | 47.90 | -41.70 | 26 | 14 | 40 | -3.45 | 3.42 |
| 2.89 | 3.23 |
| 65 | 35 | 3.2 | -21.04 | 21.24 | 0.20 | 8 | 6 | 14 | -2.63 | 3.54 |
| 1.62 | 2.38 |
| 57 | 43 | 3.3 | -124.85 | 114.16 | -10.69 | 45 | 30 | 75 | -2.77 | 3.81 |
| 2.01 | 4.04 |
| 60 | 40 | 3.4 | -33.91 | 15.85 | -18.06 | 13 | 5 | 18 | -2.61 | 3.17 |
| 1.67 | 3.84 |
| 72 | 28 | 4.1 | -19.22 | 23.33 | 4.12 | 5 | 9 | 14 | -3.84 | 2.59 |
| 1.42 | 2.52 |
| 36 | 64 | 4.2 | 0.00 | 0.00 | 0.00 | 0 | 0 | 0 | — | — |
| — | — |
| 0 | 0 | 4.3 | -48.16 | 0.97 | -47.19 | 15 | 2 | 17 | -3.21 | 0.49 |
| 2.03 | 0.48 |
| 88 | 12 | 4.4 | 0.00 | 11.13 | 11.13 | 0 | 3 | 3 | — | 3.71 |
| — | 2.42 |
| 0 | 100 | total | -535.00 | 491.34 | -43.65 | 181 | 131 | 312 |
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qPath |
%VXX |
Days |
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Average |
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StDevP |
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Days |
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total |
total |
(-) |
(+) |
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(-) |
(+) |
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(-) |
(+) |
1.1 |
-7.28 |
34 |
-2.72 | 3.84 |
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2.31 |
3.81 |
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62 | 38 |
1.2 |
6.15 |
8 |
-5.16 |
4.33 |
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2.99 |
1.16 |
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38 |
63 |
1.3 |
23.45 |
48 |
-2.56 |
3.53 |
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2.02 |
3.42 |
|
50 |
50 |
1.4 |
-9.78 |
12 |
-3.35 |
2.73 |
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2.03 |
3.80 |
|
58 |
42 |
2.1 |
16.29 |
13 |
-3.24 |
11.36 |
|
1.51 |
9.03 |
|
69 |
31 |
2.2 |
25.47 |
7 |
-1.12 |
5.54 |
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0.26 |
4.30 |
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29 |
71 |
2.3 |
4.05 |
7 |
-3.66 |
2.27 |
|
2.05 |
1.60 |
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29 |
71 |
2.4 |
0.20 |
2 |
-2.02 |
2.21 |
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0.00 |
0.00 |
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50 |
50 |
3.1 |
-41.70 |
40 |
-3.45 |
3.42 |
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2.89 |
3.23 |
|
65 |
35 |
3.2 |
0.20 |
14 |
-2.63 |
3.54 |
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1.62 |
2.38 |
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57 |
43 |
3.3 |
-10.69 |
75 |
-2.77 |
3.81 |
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2.01 |
4.04 |
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60 |
40 |
3.4 |
-18.06 |
18 |
-2.61 |
3.17 |
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1.67 |
3.84 |
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72 |
28 |
4.1 |
4.12 |
14 |
-3.84 |
2.59 |
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1.42 |
2.52 |
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36 |
64 |
4.2 |
0.00 |
0 |
— |
— |
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— |
— |
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0 |
0 |
4.3 |
-47.19 |
17 |
-3.21 |
0.49 |
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2.03 |
0.48 |
|
88 |
12 |
4.4 |
11.13 |
3 |
— |
3.71 |
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— |
2.42 |
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0 |
100 |
total |
-43.65 |
312 |
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Data above can be pasted into a spreadsheet and sorted by different columns, like the following Table 7 sorted by descending probability Days closing up — showing which 2-digit qPaths are most likely to close up the next day.
Table 7 Probability
qPath |
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%VXX |
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Days |
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Average |
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|
StDevP |
|
Days |
*100 |
|
(-) |
(+) |
total |
(-) |
(+) |
total |
(-) |
(+) |
|
(-) |
(+) |
|
(-) |
(+) |
4.4 |
0.00 |
11.13 |
11.13 |
0 |
3 |
3 |
— |
3.71 |
|
— |
2.42 |
|
0 |
100 |
2.2 |
-2.25 |
27.71 |
25.47 |
2 |
5 |
7 |
-1.12 |
5.54 |
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0.26 |
4.30 |
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29 |
71 |
2.3 |
-7.32 |
11.37 |
4.05 |
2 |
5 |
7 |
-3.66 |
2.27 |
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2.05 |
1.60 |
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29 |
71 |
4.1 |
-19.22 |
23.33 |
4.12 |
5 |
9 |
14 |
-3.84 |
2.59 |
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1.42 |
2.52 |
|
36 |
64 |
1.2 |
-15.48 |
21.63 |
6.15 |
3 |
5 |
8 |
-5.16 |
4.33 |
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2.99 |
1.16 |
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38 |
63 |
1.3 |
-61.39 |
84.83 |
23.45 |
24 |
24 |
48 |
-2.56 |
3.53 |
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2.02 |
3.42 |
|
50 |
50 |
2.4 |
-2.02 |
2.21 |
0.20 |
1 |
1 |
2 |
-2.02 |
2.21 |
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0.00 |
0.00 |
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50 |
50 |
3.2 |
-21.04 |
21.24 |
0.20 |
8 |
6 |
14 |
-2.63 |
3.54 |
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1.62 |
2.38 |
|
57 |
43 |
1.4 |
-23.42 |
13.63 |
-9.78 |
7 |
5 |
12 |
-3.35 |
2.73 |
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2.03 |
3.80 |
|
58 |
42 |
3.3 |
-124.85 |
114.16 |
-10.69 |
45 |
30 |
75 |
-2.77 |
3.81 |
|
2.01 |
4.04 |
|
60 |
40 |
1.1 |
-57.21 | 49.93 |
-7.28 |
20 |
13 |
33 |
-2.72 |
3.84 |
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2.31 | 3.81 |
|
62 |
38 |
3.1 |
-89.60 |
47.90 |
-41.70 |
26 |
14 |
40 |
-3.45 |
3.42 |
|
2.89 |
3.23 |
|
65 |
35 |
2.1 |
-29.14 |
45.42 |
16.29 |
9 |
4 |
13 |
-3.24 |
11.36 |
|
1.51 |
9.03 |
|
69 |
31 |
3.4 |
-33.91 |
15.85 |
-18.06 |
13 |
5 |
18 |
-2.61 |
3.17 |
|
1.67 |
3.84 |
|
72 |
28 |
4.3 |
-48.16 |
0.97 |
-47.19 |
15 |
2 |
17 |
-3.21 |
0.49 |
|
2.03 |
0.48 |
|
88 |
12 |
4.2 |
0.00 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
|
— |
— |
|
0 |
0 |
total |
-535.00 |
491.34 |
-43.65 |
181 |
131 |
312 |
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and sorted by descending probability Days closing down — showing which 2-digit qPaths are most likely to close down the next day.
Table 8Probability
qPath |
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%VXX |
|
|
Days |
|
Average |
|
|
StDevP |
|
Days |
*100 |
|
(-) |
(+) |
total |
(-) |
(+) |
total |
(-) |
(+) |
|
(-) |
(+) |
|
(-) |
(+) |
4.3 |
-48.16 |
0.97 |
-47.19 |
15 |
2 |
17 |
-3.21 |
0.49 |
|
2.03 |
0.48 |
|
88 |
12 |
3.4 |
-33.91 |
15.85 |
-18.06 |
13 |
5 |
18 |
-2.61 |
3.17 |
|
1.67 |
3.84 |
|
72 |
28 |
2.1 |
-29.14 |
45.42 |
16.29 |
9 |
4 |
13 |
-3.24 |
11.36 |
|
1.51 |
9.03 |
|
69 |
31 |
3.1 |
-89.60 |
47.90 |
-41.70 |
26 |
14 |
40 |
-3.45 |
3.42 |
|
2.89 |
3.23 |
|
65 |
35 |
1.1 |
-57.21 | 49.93 |
-7.28 |
21 |
13 |
34 |
-2.72 | 3.84 |
|
2.31 |
3.81 |
|
62 |
38 |
3.3 |
-124.85 |
114.16 |
-10.69 |
45 |
30 |
75 |
-2.77 |
3.81 |
|
2.01 |
4.04 |
|
60 |
40 |
1.4 |
-23.42 |
13.63 |
-9.78 |
7 |
5 |
12 |
-3.35 |
2.73 |
|
2.03 |
3.80 |
|
58 |
42 |
3.2 |
-21.04 |
21.24 |
0.20 |
8 |
6 |
14 |
-2.63 |
3.54 |
|
1.62 |
2.38 |
|
57 |
43 |
1.3 |
-61.39 |
84.83 |
23.45 |
24 |
24 |
48 |
-2.56 |
3.53 |
|
2.02 |
3.42 |
|
50 |
50 |
2.4 |
-2.02 |
2.21 |
0.20 |
1 |
1 |
2 |
-2.02 |
2.21 |
|
0.00 |
0.00 |
|
50 |
50 |
1.2 |
-15.48 |
21.63 |
6.15 |
3 |
5 |
8 |
-5.16 |
4.33 |
|
2.99 |
1.16 |
|
38 |
63 |
4.1 |
-19.22 |
23.33 |
4.12 |
5 |
9 |
14 |
-3.84 |
2.59 |
|
1.42 |
2.52 |
|
36 |
64 |
2.2 |
-2.25 |
27.71 |
25.47 |
2 |
5 |
7 |
-1.12 |
5.54 |
|
0.26 |
4.30 |
|
29 |
71 |
2.3 |
-7.32 |
11.37 |
4.05 |
2 |
5 |
7 |
-3.66 |
2.27 |
|
2.05 |
1.60 |
|
29 |
71 |
4.4 |
0.00 |
11.13 |
11.13 |
0 |
3 |
3 |
— |
3.71 |
|
— |
2.42 |
|
0 |
100 |
4.2 |
0.00 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
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— |
— |
|
0 |
0 |
total |
-535.00 |
491.34 |
-43.65 |
181 |
131 |
312 |
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Please note that there are only 16 2-digit qPaths. Tables 5-8 would have 64 entries for 3-digit qPaths and 256 entries for 4-digit qPaths (see Table 13,) of which Table 3 shows 1 qPath each. See Chart 7 below for VXX 3-digit "Next-day-close days after 3-digit qPaths."
Charts 1-6 below show next-day close after 2-digit qPaths from Jan 3, 2011 to March 29, 2012. (%VXX positive blue, negative red) of: - %VXX Totals
- %VXX Days
- %VXX Averages
- %VXX Averages +- One Standard Deviation
- %VXX Standard Deviations
- %VXX Probabilities
- %VXX Next-day-close days after 3-digit qPaths
- %VXX Net days close days after 3-digit qPaths
- Chart 8 with probabilities
- Chart 9 probabilities and net days
- %VXX 4-digit qPath probabilities and net days new!
- Chart 11 with data new!
Charts 1,2,3,4,5,6,7,8,9,10,11,12 Chart 2
Chart 3 Chart 4
Chart 5
Chart 6 
Chart 7
Chart 8*
Chart 9*
Chart 10*
* Probabilities in Charts 8,9,10 are *10 in charts are *100 in data
Data below shows that knowing the 4th day's qPath data is important to determine how VXX will likely close the day after qPath 131; e.g. qPath 1314 is the most likely of the 4 4-digit qPaths to close up on the day after qPath 131.
Table 9
qPath |
%VXX |
|
Days |
|
|
Avg |
|
StDevP |
Apr 3 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
1.3 |
-61.39 |
84.83 |
24 |
24 |
-2.56 |
3.53 |
2.02 |
3.42 |
131 |
-14.34 |
40.62 |
4 |
9 |
-3.59 |
4.51 |
1.89 |
2.50 |
1311 |
-3.95 |
18.89 |
1 |
3 |
-3.95 |
6.30 |
0.00 |
2.29 |
1312 |
-5.15 |
5.66 |
2 |
1 |
-2.58 |
5.66 |
2.16 |
0.00 |
1313 |
-5.24 |
14.41 |
1 |
4 |
-5.24 |
3.60 |
0.00 |
2.13 |
1314 |
0.00 |
1.66 |
0 |
1 |
— |
1.66 |
— |
0.00 |
The Mosconi Effect M-path algorithm for qPath 1313 gives similar predictions but with a lower probability than algorithm #1 qPath 1313 above.
Table 10
M-path |
%VXX |
|
Days |
|
|
Avg |
|
StDevP |
Apr 3 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
2 days |
-94.14 |
112.05 |
34 |
35 |
-2.77 |
3.20 |
2.03 |
3.27 |
3 days |
-41.48 |
72.00 |
13 |
16 |
-3.19 |
4.50 |
1.65 |
2.87 |
4 days |
-22.77 |
31.26 |
6 |
9 |
-3.80 |
3.47 |
1.78 |
2.94 |
Table 11
qPath |
%VXX |
|
Days |
|
|
Avg |
|
StDevP |
Apr 3 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
3.3 |
-124.85 |
114.16 |
45 |
30 |
-2.77 |
3.81 |
2.01 |
4.04 |
331 |
-59.71 |
37.37 |
18 |
6 |
-3.32 |
6.23 |
2.61 |
6.33 |
3311 |
-32.19 |
2.22 |
7 |
1 |
-4.60 |
2.22 |
2.85 |
0.00 |
3312 |
0.00 |
0.00 |
0 |
0 |
— |
— |
— |
— |
3313 |
-22.22 |
22.38 |
8 |
3 |
-2.78 |
7.46 |
2.34 |
8.08 |
3314 |
-5.30 |
12.76 |
3 |
2 |
-1.77 |
6.38 |
0.52 |
3.45 |
The Mosconi Effect M-path algorithm for qPath 3311 gives similar predictions but with a lower probability than algorithm qPath 3311 above.
Table 12
M-path |
%VXX |
|
Days |
|
|
Avg |
|
StDevP |
Apr 3 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
2 days |
-206.93 |
142.12 |
73 |
40 |
-2.83 |
3.55 |
1.97 |
3.88 |
3 days |
-93.19 |
60.60 |
28 |
11 |
-3.33 |
5.51 |
2.22 |
5.01 |
4 days |
-55.22 |
25.46 |
14 |
6 |
-3.94 |
4.24 |
2.27 |
2.39 |
Data in Table 13 below for 3 digit qPath shows %VXX, Days in Quads, %VXX averages, and %VXX StDevP, Jan 7.2011 - Mar 29, 2012. Table 13 new Apr 7
qPath |
|
| .....
|
|
Days |
......... |
Avg.... | ........ |
StDevP |
qPath |
|
%VXX.. |
..... |
|
Days |
......... |
...Avg |
........ |
StDevP |
|
(-) |
(+) |
(-) |
(+) |
|
(-) |
(+) |
(-) |
(+) |
|
(-) |
(+) |
(-) |
(+) |
|
(-) |
(+) |
(-) |
(+) |
111 |
-22.04 |
5.16 |
6 |
3 |
-3 |
-3.67 |
1.72 |
2.97 |
1.23 |
311 |
-26.66 |
16.49 |
8 |
4 |
-4 |
-3.33 |
4.12 |
1.22 |
4.85 |
112 |
-0.97 |
21.96 |
1 |
4 |
3 |
-0.97 |
5.49 |
0.00 |
5.40 |
312 |
0.00 |
5.49 |
0 |
3 |
3 |
— |
1.83 |
— |
1.03 |
113 |
-25.46 |
21.80 |
11 |
5 |
-6 |
-2.31 |
4.36 |
1.94 |
2.59 |
313 |
-48.17 |
22.53 |
13 |
6 |
-7 |
-3.71 |
3.76 |
3.31 |
2.54 |
114 |
-8.74 |
1.00 |
3 |
1 |
-2 |
-2.91 |
1.00 |
1.50 |
0.00 |
314 |
-14.78 |
3.39 |
5 |
1 |
-4 |
-2.96 |
3.39 |
3.46 |
0.00 |
121 |
-0.94 |
10.05 |
1 |
2 |
1 |
-0.94 |
5.03 |
0.00 |
0.11 |
321 |
-18.24 |
12.20 |
6 |
3 |
-3 |
-3.04 |
4.07 |
1.67 |
3.17 |
122 |
-7.54 |
9.52 |
1 |
2 |
1 |
-7.54 |
4.76 |
0.00 |
0.28 |
322 |
-1.56 |
4.19 |
1 |
1 |
0 |
-1.56 |
4.19 |
0.00 |
0.00 |
123 |
-7.01 |
2.05 |
1 |
1 |
0 |
-7.01 |
2.05 |
0.00 |
0.00 |
323 |
0.00 |
4.85 |
0 |
2 |
2 |
— |
2.43 |
— |
0.28 |
124 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
324 |
-1.23 |
0.00 |
1 |
0 |
-1 |
-1.23 |
— |
0.00 |
— |
131 |
-14.34 |
40.62 |
4 |
9 |
5 |
-3.59 |
4.51 |
1.89 |
2.50 |
331 |
-59.71 |
37.37 |
18 |
6 |
-12 |
-3.32 |
6.23 |
2.61 |
6.33 |
132 |
-3.26 |
18.20 |
2 |
4 |
2 |
-1.63 |
4.55 |
0.77 |
2.46 |
332 |
-11.34 |
16.27 |
3 |
4 |
1 |
-3.78 |
4.07 |
0.85 |
2.38 |
133 |
-39.74 |
23.77 |
16 |
9 |
-7 |
-2.48 |
2.64 |
2.09 |
4.31 |
333 |
-46.32 |
41.01 |
18 |
14 |
-4 |
-2.57 |
2.93 |
1.34 |
3.15 |
134 |
-4.05 |
2.24 |
2 |
2 |
0 |
-2.02 |
1.12 |
1.69 |
0.78 |
334 |
-7.49 |
19.51 |
6 |
6 |
0 |
-1.25 |
3.25 |
0.53 |
2.57 |
141 |
-16.15 |
13.17 |
5 |
3 |
-2 |
-3.23 |
4.39 |
1.16 |
4.14 |
341 |
-12.99 |
0.00 |
4 |
0 |
-4 |
-3.25 |
— |
1.02 |
— |
142 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
342 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
143 |
-0.32 |
0.00 |
1 |
0 |
-1 |
-0.32 |
— |
0.00 |
— |
343 |
-20.48 |
15.85 |
8 |
5 |
-3 |
-2.56 |
3.17 |
1.79 |
3.84 |
144 |
-6.94 |
0.46 |
1 |
2 |
1 |
-6.94 |
0.23 |
0.00 |
0.23 |
344 |
-0.44 |
0.00 |
1 |
0 |
-1 |
-0.44 |
— |
0.00 |
— |
211 |
-9.09 |
3.59 |
3 |
1 |
-2 |
-3.03 |
3.59 |
1.62 |
0.00 |
411 |
-19.22 |
3.89 |
5 |
3 |
-2 |
-3.84 |
1.30 |
1.42 |
0.26 |
212 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
412 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
213 |
-20.05 |
21.86 |
6 |
2 |
-4 |
-3.34 |
10.93 |
1.44 |
9.77 |
413 |
0.00 |
14.75 |
0 |
5 |
5 |
— |
2.95 |
— |
3.06 |
214 |
0.00 |
19.98 |
0 |
1 |
1 |
— |
19.98 |
— |
0.00 |
414 |
0.00 |
4.70 |
0 |
1 |
1 |
— |
4.70 |
— |
0.00 |
221 |
0.00 |
0.83 |
0 |
1 |
1 |
— |
0.83 |
— |
0.00 |
421 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
222 |
0.00 |
20.66 |
0 |
2 |
2 |
— |
10.33 |
— |
1.80 |
422 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
223 |
-2.25 |
1.36 |
2 |
1 |
-1 |
-1.12 |
1.36 |
0.26 |
0.00 |
423 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
224 |
0.00 |
4.86 |
0 |
1 |
1 |
— |
4.86 |
— |
0.00 |
424 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
231 |
-5.71 |
0.00 |
1 |
0 |
-1 |
-5.71 |
— |
0.00 |
— |
431 |
-7.40 |
0.00 |
2 |
0 |
-2 |
-3.70 |
— |
1.56 |
— |
232 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
432 |
-1.75 |
0.00 |
1 |
0 |
-1 |
-1.75 |
— |
0.00 |
— |
233 |
-1.60 |
10.45 |
1 |
4 |
3 |
-1.60 |
2.61 |
0.00 |
1.62 |
433 |
-37.64 |
0.97 |
11 |
2 |
-9 |
-3.42 |
0.49 |
2.14 |
0.48 |
234 |
0.00 |
0.92 |
0 |
1 |
1 |
— |
0.92 |
— |
0.00 |
434 |
-1.38 |
0.00 |
1 |
0 |
-1 |
-1.38 |
— |
0.00 |
— |
241 |
-2.02 |
0.00 |
1 |
0 |
-1 |
-2.02 |
— |
0.00 |
— |
441 |
0.00 |
6.96 |
0 |
1 |
1 |
— |
6.96 |
— |
0.00 |
242 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
442 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
243 |
0.00 |
2.21 |
0 |
1 |
1 |
— |
2.21 |
— |
0.00 |
443 |
0.00 |
4.17 |
0 |
2 |
2 |
— |
2.09 |
— |
0.94 |
244 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
444 |
0.00 |
0.00 |
0 |
0 |
0 |
— |
— |
— |
— |
Data in Table 14 corresponds to 3 distinct regions in Chart 11 for 4-digit qPaths predicting VXX next-day close: - 1-39 VXX next day close up
- 40-66 VXX next day no change
- 67-107 VXX next day close down
Table 14 new Apr 9
Summary of 4-digit data in Chart 12
|
|
|
|
Days |
|
Net |
Days |
Prob |
|
|
%VXX |
VXX |
qPath |
# |
(-) |
(+) |
total |
(-) |
(+) |
|
(-) |
(+) |
Total |
up |
1-39 |
39 |
8 |
61 |
69 |
0 |
53 |
0.22 |
-29.70 |
242.13 |
212.43 |
n/c |
40-66 |
27 |
50 |
40 |
90 |
-10 |
0 |
0.29 |
-138.91 |
144.50 |
5.60 |
down |
67-107 |
41 |
122 |
28 |
150 |
-94 |
0 |
0.49 |
-367.23 |
104.09 |
-263.14 |
|
|
|
|
|
|
|
|
|
|
|
|
|
total |
107 |
180 |
129 |
309 |
-104 |
53 |
1.00 |
-535.84 |
490.73 |
-45.11 |
|
|
|
309 |
|
|
157 |
|
|
-45.11 |
|
|
Chart 11
Chart 11 with data Chart 12 
We recommend you not make any investment decisions based on any information above, or anywhere on our website.
We've been wrong, and so will you.
January 31, 2012
2011 VXX history data by Quads
| | | To Quad | |
| |
| |
| 1 | 2 | 3 | 4 |
| 1 + 2 | 3 + 4 |
| From Quad | | | Days |
|
| (+) | (-) | total | 1 | 31 | 13 | 31 | 13 |
| 44 | 44 | 88 | 2 | 7 | 4 | 12 | 0 |
| 11 | 12 | 23 | 3 | 42 | 5 | 57 | 11 |
| 47 | 68 | 115 | 4 | 9 | 1 | 14 | 1 |
| 10 | 15 | 25 |
|
|
|
|
|
|
|
|
| Total | 89 | 23 | 114 | 25 |
| 112 | 139 | 251 |
| |
|
|
|
|
|
|
|
December 30, 2011 data not included
The actual %VXX values corresponding to the above data must also be considered to project VXX gains and losses.
This data, however, gives a good indication of which Quad VXX closes in from one day to the next, but not gain and loss values.
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|