Concordance Based Stock Index Prediction

Measures: Tau = 0.613920, Gini = 0.889614 and Rho = 0.816276 Concordant+Predictor Period: S&P (2/12/2014 to 12/17/2014), Most Recent 200 Market Days: S&P (3/7/2016 to 12/16/2016), Forecast: S&P (from 12/19/2016 to 1/10/2017)

The top concordant period shifts from the 1995-96 period to 2014. Again, the recent and predictor periods are not calendar aligned, but are closer, with the recent period start March 6 and the concordant period start at February 12, less than a month separated.

The concordance has weakened, with all three metrics now below the strong range. Forecasts based upon this concordance must be expected to be less reliable than those based upon the matches from recent weeks.

Note that the concordant period preceded a significant market drop, and a forecast is for a similar drop. Caution must be exercised in comparing economic and market conditions to judge whether such a forecast is consistent with the conditions in the forecaster period.

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

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

Concordance reporting delayed due to holiday/travel.