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Message:
Lets say that the real-time results begin Jan 1, 2011, up to mar 11:
and supposing we apply the ANO to the S&P:
using .2 as the setpoint and applying the ANO to the very next day: 32
days long, gain of 36 points
using .15 as the setpoint and applying the ANO to the very next day: 35
days long, gain of 45 points
using .2 as the setpoint, as currently designed:
32 days long, gain of 20 points
using .15 as the setpoint, as currently designed:
35 days long, gain of 33 points
***
So far, real-time, there has been no evidence that using the ANO for the
2nd day is superior to using it for the very next day. Of course, a lot of the
underperformance of 2nd day came on March 10th.
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Response:
Nice work David. I think our performance would have been better if it
wasn't for unexpected events in Egypt, Libya, and now Japan.
Going from a one-day forecast to a two-day forecast was done
to give us a full day to plan our trades. Perhaps, I need to revisit
this decision.
Rich
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