天气因素、政局紧张,都可能扭曲周五就业报告的市场反应。我们也多次领教了市场反应和数据结果不吻合。那我们就抛开就业数据本身,从纯粹历史数据的统计分布看周五市场变动。十二少取2011到2013年36个数据点,发现就业报告发布日SP走向如下:
平均涨 0.02%
平均波动(不管涨跌,取绝对值)0.76%
36次中有7回超过1%的上涨,有4回超过1%的下跌。
最近的大涨是去年12月和今年2月,分别涨1.12%、1.34%
最近的大跌是2012年6月,分别跌2.58%
2013年12次,有5次大涨,无大跌
结论:该关键日大涨的平均可能大于大跌。但是,因为上次大跌是20月前,而平均大跌概率是每九个月出一次,所以现在处于“久旱逢甘露”的情形。本月和未来的两三个月,严重欠一个就业报告日的1%大跌。
本研究用数据说话,摈弃多空倾向,严格依照数字指向。
Date |
Open |
High |
Low |
Close |
Volume |
Adj Close |
Close diff |
Diff % |
code |
Diff abs |
1/7/11 |
127.56 |
127.77 |
126.15 |
127.14 |
156034600 |
120.06 |
-0.24 |
-0.20% |
1 |
0.20% |
2/4/11 |
130.83 |
131.2 |
130.23 |
131.15 |
134634800 |
123.85 |
0.35 |
0.28% |
1 |
0.28% |
3/4/11 |
133.37 |
133.63 |
131.6 |
132.47 |
277202300 |
125.1 |
-0.94 |
-0.76% |
1 |
0.76% |
4/1/11 |
133.41 |
133.77 |
132.83 |
133.15 |
153850100 |
126.28 |
0.53 |
0.42% |
1 |
0.42% |
5/6/11 |
134.94 |
135.63 |
133.68 |
134.2 |
222787200 |
127.28 |
0.56 |
0.44% |
1 |
0.44% |
6/3/11 |
130.15 |
131.42 |
130.08 |
130.42 |
234690200 |
123.7 |
-1.24 |
-1.01% |
1 |
1.01% |
7/1/11 |
132.09 |
134.1 |
131.78 |
133.92 |
202385700 |
127.64 |
1.85 |
1.45% |
1 |
1.45% |
8/5/11 |
121.76 |
122.07 |
116.86 |
120.08 |
655619200 |
114.45 |
-0.17 |
-0.16% |
1 |
0.16% |
9/2/11 |
118.42 |
120.87 |
117.43 |
117.85 |
255517200 |
112.33 |
-2.94 |
-2.64% |
1 |
2.64% |
10/7/11 |
117.17 |
117.25 |
115.06 |
115.71 |
312657900 |
110.86 |
-0.75 |
-0.65% |
1 |
0.65% |
11/4/11 |
125.23 |
125.7 |
124.01 |
125.48 |
249401600 |
120.22 |
-0.74 |
-0.61% |
1 |
0.61% |
12/2/11 |
126.12 |
126.5 |
124.78 |
124.86 |
221109700 |
119.62 |
-0.11 |
-0.09% |
1 |
0.09% |
1/6/12 |
128.2 |
128.22 |
127.29 |
127.71 |
148050000 |
123.13 |
-0.32 |
-0.26% |
1 |
0.26% |
2/3/12 |
134 |
134.62 |
133.77 |
134.54 |
160598500 |
129.72 |
1.8 |
1.39% |
1 |
1.39% |
3/2/12 |
137.64 |
137.82 |
137 |
137.31 |
120638300 |
132.39 |
-0.4 |
-0.30% |
1 |
0.30% |
4/5/12 |
139.38 |
140.2 |
139.26 |
139.79 |
137439400 |
135.37 |
-0.07 |
-0.05% |
1 |
0.05% |
5/4/12 |
138.52 |
139.3 |
136.92 |
137 |
193927300 |
132.67 |
-2.18 |
-1.64% |
1 |
1.64% |
6/1/12 |
129.41 |
131.5 |
128.16 |
128.16 |
253240900 |
124.11 |
-3.2 |
-2.58% |
1 |
2.58% |
7/6/12 |
135.47 |
135.77 |
134.85 |
135.49 |
151192100 |
131.88 |
-1.27 |
-0.96% |
1 |
0.96% |
8/3/12 |
138.56 |
139.64 |
136.68 |
139.35 |
157825000 |
135.64 |
2.64 |
1.94% |
1 |
1.94% |
9/7/12 |
144.01 |
144.39 |
143.88 |
144.33 |
107272100 |
140.49 |
0.55 |
0.39% |
1 |
0.39% |
10/5/12 |
146.91 |
147.16 |
145.7 |
146.14 |
124842100 |
143.01 |
0.01 |
0.01% |
1 |
0.01% |
11/2/12 |
143.68 |
143.72 |
141.41 |
141.56 |
137702200 |
138.53 |
-1.24 |
-0.89% |
1 |
0.89% |
12/7/12 |
142.53 |
142.69 |
141.67 |
142.41 |
108726400 |
139.36 |
0.42 |
0.30% |
1 |
0.30% |
1/4/13 |
145.97 |
146.61 |
145.67 |
146.37 |
116817700 |
144.25 |
0.63 |
0.44% |
1 |
0.44% |
2/1/13 |
150.65 |
151.42 |
150.39 |
151.24 |
131173000 |
149.05 |
1.52 |
1.03% |
1 |
1.03% |
3/1/13 |
151.09 |
152.34 |
150.41 |
152.11 |
170634800 |
149.91 |
0.49 |
0.33% |
1 |
0.33% |
4/5/13 |
153.95 |
155.35 |
153.77 |
155.16 |
159666000 |
153.59 |
-0.7 |
-0.45% |
1 |
0.45% |
5/3/13 |
161.14 |
161.88 |
159.78 |
161.37 |
144202300 |
159.74 |
1.6 |
1.00% |
1 |
1.00% |
6/7/13 |
163.85 |
164.95 |
163.14 |
164.8 |
188337800 |
163.14 |
2.05 |
1.26% |
1 |
1.26% |
7/5/13 |
162.47 |
163.08 |
161.3 |
163.02 |
122416900 |
162.23 |
1.73 |
1.06% |
1 |
1.06% |
8/2/13 |
170.28 |
170.97 |
170.05 |
170.95 |
91116700 |
170.12 |
0.29 |
0.17% |
1 |
0.17% |
9/6/13 |
166.51 |
166.98 |
164.48 |
166.04 |
159756500 |
165.23 |
0.08 |
0.05% |
1 |
0.05% |
10/4/13 |
167.75 |
169.06 |
167.53 |
168.89 |
96878000 |
168.89 |
1.27 |
0.76% |
1 |
0.76% |
11/1/13 |
176.02 |
176.61 |
175.22 |
176.21 |
139760400 |
176.21 |
0.42 |
0.24% |
1 |
0.24% |
12/6/13 |
180.67 |
181.11 |
180.15 |
180.94 |
127591300 |
180.94 |
2 |
1.12% |
1 |
1.12% |
|
|
|
|
|
|
|
|
0.02% |
|
0.76% |
|
|
|
|
|
|
|
|
1.02% |
|
0.67% |
|