MarketTrak Question/Comment Message

Posted By: Roy   Date: Sun Mar 14, 2010

Title: 5 day position

  On the 5 day forecast, with the ano value computed at the close 2 previous trading days, where would that put its position, cash or long?

  The 5-day model is still in cash. Below are the last three ANO values:

      date    djia       ano
     100310  10567.33  0.12899
     100311  10611.84  0.18160
     100312  10624.69  0.23850

You can see that the 5-day model will go long at the close on Tuesday. I found it interesting that the data correction did not affect the 5-day model. It must be that it is not using the data that was in error. Please remember that the 1-day model is our standard. The 5-day model is still experimental and is not fully tested.

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