Concordance Based Stock Index Prediction

Measures: Tau = 0.705176, Gini = 0.928643 and Rho = 0.873630 Concordant+Predictor Period: S&P (7/6/2012 to 5/15/2013), Most Recent 200 Market Days: S&P (5/11/2016 to 2/24/2017), Forecast: S&P (from 2/27/2017 to 3/17/2017)

The top concordant period shifts into the 2012/13 period, with a significant strengthening in all three metrics. Gini/GMD is not strong, while both Tau and Rho saw quite noticeable increases, Tau gaining more than 0.09 and Rho 0.07.

No calendar alignment (similarity in dates) between last week's concordant period and this week's is present. Due to strengthening, forecasts based upon this concordance may be expected to be more reliable than those based on last week's top concordance.

Graph showing concordance over full periods, scaled for percent change, plus forecast.

Graph showing concordance over last 67 days including 15 day forecast.