MarketTrak Question/Comment Message


Posted By: G. Smith   Date: Fri Jan 11, 2008   [updated: Jan 25]

Title: Version 16

Message:
  Version 16 looks to be doing a superior job. When will you switch to it?

Response:
 We made the last model update to version 16 several weeks ago. Since then, we have been generating networks for the forecast library and performing a model verification and validation test series that will take about another week or two to complete. If the model passes these tests and continues to do well, we will upgrade to version 16 in the near future.

Preliminary trading model parameters for version 16 are: Long set point is +0.0007, Short set point is -0.0001, and delay is 6 days. Results using these parameters are shown below.

We are also looking at version 7 as a possible replacement for version 10. This model has been performing well during the recent decline. Preliminary trading model parameters for version 7 are: Long set point is 0.0007, Short set point is -0.0003, and delay is 4 days. Results using these parameters are shown below.

The trading parameters will probably change for versions 7 and 16 as we continue to develop these models.

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