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MarketTrak Question/Comment Message |
Posted By: Jim Date: Sun Mar 21, 2010 |
Title: DJIA point change vs. ANO |
Message: |
Response:
where i is the trading day number. The last 500 trading days are shown. The red curve is a forth-order least squares fit of the data. The current long and short position ANO set points are 0.2 and -0.2, respectively. The interval between is the cash region. The model is in error when the ANO is positive and the DJIA change is negative or when the ANO is negative and the change is positive. The setpoints are computed by an optimization program to maximize the total return. Moving the long setpoint higher and the short setpoint lower will reduce drawdowns but will also reduce return. Look at the ANO value on the forecast page then find that value on this plot to see the range of likely market behavior. |