Concordance Based Stock Index Prediction

Measures: Tau = 0.760553, Gini = 0.932077 and Rho = 0.923766 Concordant+Predictor Period: S&P (8/28/1985 to 7/7/1986), Most Recent 200 Market Days: S&P (12/31/15 to 10/14/16), Forecast: S&P (from 10/17/2016 to 11/4/2016)

The top concordant period (1985-86) continues its rolling alignment with recent market behavior, weakened slightly in Gini, improving slightly in Tau and Rho.

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 this concordance should be comparable to those based on the previous week's in terms of reliability.

As the rolling alignment continues, some speculation may be appropriate, despite the fact that alignment is not also calendar aligned, as the '85-86 period was the lead up to the 1986 elections, but offset by four months.

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.