Intro to Stock Performance Statistics

As I sit here studying for my statistics midterm exam, the textbook provides me a few ideas of how to utilize this analytical information within the financial markets. In this post, I will be focusing on the daily performance of one stock, Nutrisystems Inc. (NTRI). Please keep in mind that this approach can be used in reviewing any stock.

To start the statistical analysis for NTRI stock prices, I go to Yahoo Finance and download the daily stock prices for the last few years, in this case back to the start of 2005. From here, I calculated the daily price percentage gain from the previous close to see the distribution of the daily gains. In Exhibit 1, you will see the normal distribution of daily gains with a mode of 0% (highest frequency bar). Also, an interesting aspect of this data is that the average (aka mean) is +0.3%, representing that over the 903 days you would see a positive gain, a good sign for highly active or day traders. I have also attached the raw data and statistics results shown in Exhibit 2.

Exhibit 1. 

 Exhibit 2. 

 The other interesting aspect of this data shows how efficient the market is, in this case with NutriSystems common stock. So in order to do this, I setup the data to see how many days the stock would “run” positive, or streaks. I calculated how many times, in the 903 days, the stock had a positive 1-day run, 2-day run, 3-day run, and so on until 9 days.

Exhibit 3 illustrates the data and results of this analysis. To read this chart, there were 141 times that the stock had a 3-day positive run resulting in a 53.8% change from the 262 two-day runs that NTRI experienced. 

Exhibit 3. 

In summary, the odds were in your favor if you actively traded NTRI starting in 2005 until today, retrospectively speaking. On average, there was a positive daily close average with a higher than 50% opportunity in predicting a multiple day run (seeing a 2-day run and betting on a 3-day run, seeing a 3-day run and betting on a 4-day run, etc).

As I previously mentioned, I received this analysis idea from my textbook “The Manager’s Guide to Statistics by Erol A. Pekoz”. If you would like me to provide you the same analysis on a stock that you follow, please leave a comment and I will post the results.

Hopefully you enjoyed this short post on stock performance statistics, if so please consider subscribing to help me reach my goals. 

Author Disclosure: I am neither long nor short NTRI at the time of this posting