MarketTrak Question/Comment Message


Posted By: david   Date: Mon Mar 14, 2011

Title: same day and 2nd day results

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.
 

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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