a worked study

NFP, sector correlation, and the index

After a nonfarm-payrolls print, when Energy (XLE) and Utilities (XLU) have been highly correlated over the trailing window, does the S&P 500 fall over the next sessions? The grid sweeps the window, the correlation threshold, and the horizon, and every p-value is corrected across the whole grid so the search itself is priced in.

running the study ...

window	threshold	horizon	n cond	base	conditional	p	p (BH)
20	0.60	1	7	50%	29%	0.227	1.000
20	0.60	5	7	63%	86%	0.961	1.000
20	0.70	1	5	50%	40%	0.500	1.000
20	0.70	5	5	63%	80%	0.901	1.000
20	0.80	1	3	50%	67%	0.875	1.000
20	0.80	5	3	63%	100%	1.000	1.000
40	0.60	1	6	50%	67%	0.891	1.000
40	0.60	5	6	63%	100%	1.000	1.000
40	0.70	1	5	50%	60%	0.813	1.000
40	0.70	5	5	63%	100%	1.000	1.000
40	0.80	1	4	50%	50%	0.687	1.000
40	0.80	5	4	63%	100%	1.000	1.000