Concordance Based Stock Index Prediction

Measures: Tau = 0.758442, Gini = 0.933108 and Rho = 0.921565 Concordant+Predictor Period: S&P (8/21/1985 to 6/27/1986), Most Recent 200 Market Days: S&P (12/23/15 to 10/7/16), Forecast: S&P (from 10/10/2016 to 10/28/2016)

The top concordant period (1985-86) continues to display a rolling alignment with recent market behavior, but has weakened slightly in terms of Tau and Rho, with a slight improvement in Gini.

The concordance is in a strong concordance range, with Tau, GINI and Rho greater than 0.75, 0.9 and 0.9 respectively.

Given the strength of this concordance, forecasts based on it should be roughly comparable in terms of reliability.

As the rolling alignment continues, some speculation may be appropriate, as the '85-86 period corresponded to the lead up to the 1986 elections.

While those elections were not associated with a presidential race, this was a period following a significant rough period, economically, with uncertainty about the results of the upcoming elections.

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

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