Momentum #2

		BCB #1
Right	18.00	KNN
Wrong	5.00		Bin Test		0.0013	(binomial chance of doing better)
Null	9.00		Z-Test		0.0012	(chance of doing better with exp of 0.0)
date	close	forecast	gain/loss	sign	cum	note	outturn
20130517	6723.06	0				.275 fall, .548 rise
20130510	6624.98	1	98.08	1.00	801.57	cautious disagree. 0.1515 rise	yay
20130503	6521.46	0	n/a	0.00	703.49	cautious agree 0.2392 fall 0.5313 rise	-
20130426	6426.42	0	n/a	0.00	703.49	cautiously agree 0.317 for fall 0.5039 for rise	-

Comment:
Many people seem to think that this increase has no signs of petering out.
I would ask what has really changed over the last 3 weeks?

Momentum

		BCB #1
Right	17.00	KNN
Wrong	5.00		Bin Test		0.0022	(binomial chance of doing better)
Null	9.00		Z-Test		0.0022	(chance of doing better with exp of 0.0)
date	close	forecast	gain/loss	sign	cum	note	outturn
20130510	6624.98	1				cautious disagree. 0.1515 rise
20130503	6521.46	0	n/a	0.00	703.49	cautious agree 0.2392 fall 0.5313 rise	-
20130426	6426.42	0	n/a	0.00	703.49	cautiously agree 0.317 for fall 0.5039 for rise	-
20130419	6286.59	1	139.83	1.00	703.49	cautiously agree	yay

Experimenting with Shiller CAPE but have problems getting reasonable historic data.
It is a mean reversion indicator (which I like), but it does seem to be lagging rather than leading.
Being told that the ratio was good 12 months ago doesn't seem to help.
It may be better to look at the general trend direction of this type of data.

The other reason that I am not sure this is the top is that in real terms, this is not a top.
What I do see is that Equities are cheap compared to Gilts - but that is because Gilts are expensive.

Sideways

		BCB #1
Right	17.00	KNN
Wrong	5.00		Bin Test		0.0022	(binomial chance of doing better)
Null	8.00		Z-Test		0.0022	(chance of doing better with exp of 0.0)
date	close	forecast	gain/loss	sign	cum	note	outturn
20130502	6521.46	0	cautious agree 0.2392 fall 0.5313 rise
20130426	6426.42	0	n/a	0.00	703.49	cautiously agree 0.317 for fall 0.5039 for rise	-
20130419	6286.59	1	139.83	1.00	703.49	cautiously agree	yay
20130412	6384.39	0	n/a	0.00	563.66	agree	-

Sideways

		BCB #1
Right	17.00	KNN
Wrong	5.00		Bin Test		0.0022	(binomial chance of doing better)
Null	7.00		Z-Test		0.0021	(chance of doing better with exp. of 0.0)
date	close	forecast	gain/loss	sign	cum	note	outturn
20130426	6426.42	0				0.317 for fall 0.5039 for rise
20130419	6286.59	1	139.83	1.00	703.49	cautiously agree	yay
20130412	6384.39	0	n/a	0.00	563.66	agree	-
20130405	6249.78	1	134.61	1.00	563.66	agree expect a bounce	hurrah

Sawtooth on weekly basis?

		BCB #1
Right	16.00	KNN
Wrong	5.00		Bin Test		0.0036	(binomial chance of doing better)
Null	7.00		Z-Test		0.0041	(chance of doing better with expectation of 0.0)
date	close	forecast	gain/loss	sign	cum	note	outturn
20130419	6286.59	1				cautiously agree
20130412	6384.39	0	n/a	0.00	563.66	agree	-
20130405	6249.78	1	134.61	1.00	563.66	agree expect a bounce	hurrah
20130329	6411.74	−1	161.96	1.00	429.05	agree	yay

No comment on BCB#2 / EMA as it is not working.

I need to properly understand OCO

Sideways next week

		BCB #1
Right	16.00	KNN
Wrong	5.00		Bin Test		0.0036	(binomial chance of doing better)
Null	6.00		Z-Test		0.0040	(chance of doing better with expectation of 0.0)
date	close	forecast	gain/loss	sign	cum	note	outturn
20130412	6384.39	0				agree
20130405	6249.78	1	134.61	1.00	563.66	agree expect a bounce	hurrah
20130329	6411.74	−1	161.96	1.00	429.05	agree	yay
20130322	6392.76	0	n/a	0.00	267.09	Agree – actually the model indicates volatility

Expect a bounce

		BCB #1	BCB #2
Right	14.00	KNN	EMA
Wrong	5.00			Bin Test		0.0096	(binomial chance of doing better)
Null	6.00			Z-Test		0.0073	( doing better with expectation of 0.0)
date	close	forecast		gain/loss	sign	cum	note
20130405	6249.78	1					agree expect a bounce
20130329	6411.74	−1	0	161.96	1.00	429.05	agree (yay!)
20130322	6392.76	0	0	n/a	0.00	267.09	Agree – actually the model indicates volatility
20130315	6489.65	0		n/a	0.00	267.09	agree
20130308	6483.58	0		n/a	0.00	267.09	agree