The SPX model accuracy (since 2010 test set) for correctly predicting positive/negative days:
Just a simple but rather data preparation intensive study shows that the day of POMO did not necessarily lead to a green SPX day. The below plot shows a green SPX day & a day with POMO. If each occurred we get “TRUE”.
From this source QE started on 2008-12-15 which is the start date of this analysis to current day 2014-10-24″.
Next I may examine if “front-running” the scheduled POMO had an effect by seeing if there were gap ups before the day of POMO. I may also gauge the magnitude of POMO’s impact on the up days.
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The predictors I used were: VIX, Crude, Gold and Previous Day’s Close (factor).
The results were factors either returning 1 or 0 if the following day’s close was higher than the previous.
The train/test data set start date is 2007-12-31. I first tried data partitioning (75/25) the train and test sets in a random fashion irrespective of time-series. Then I tried testing it in slices (75/25) so time was continuous. Results were very little changed.
Here is how the SVM model performed using those 4 variables:
The results were fairing unimpressive but better than 50/50 is a great start.
Here is a test to see if there any correlation between NYSE Advance Decline Ratio and SPX returns. SPX Returns from left to right are ordered: that same day, 1 day out, 2 days out. 3 days out, 4 days out.
As you can see there is very little correlation in general.
What happens after SPX falls more than 5% (Open-Low) in Oct?