MarketTrak Question/Comment Message


Posted By: Jim   Date: Sun Mar 21, 2010

Title: DJIA point change vs. ANO

Message:
  Can you show a plot of the change in the DJIA versus the ANO value?

Response:
  Thanks for asking for this plot. It is interesting and informative. The plot shows the daily change in the DJIA versus the ANO value. Results are for our standard 1-day forecast model. The following definitions apply to the data points:

DJIA Change = DJIA[i+1] - DJIA[i]
ANO[i]

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.

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