Concordance Based Stock Index Prediction

Measures: Tau = 0.761457, Gini = 0.935354 and Rho = 0.918959 Predictor/Concordant Period: S&P (8/8/1985 to 6/13/1986), Most Recent 200 Market Days: S&P (12/9/15 to 9/23/16), Forecast: S&P (from 9/26/2016 to 10/14/2016)

The top concordant period (1985-86) again displays a rolling alignment with recent market behavior, and has improved in each of the metrics.

The concordance now in a strong concordance range, with Tau passing 0.75, and both GINI and Rho greater than 0.9.

Given the strengthening concordance, forecasts based on it may well be more reliable than those for recent weeks.

Note: This forecast was delayed due to conflicts with the academic grading cycle.

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

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