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Re: CASH index is poor model for Oddball & Variants


  • To: omega-list@xxxxxxxxxx
  • Subject: Re: CASH index is poor model for Oddball & Variants
  • From: alex@xxxxxxxxxxxxxx (Alex Matulich)
  • Date: Mon, 20 May 2002 11:49:10 -0700
  • In-reply-to: <200205201644.g4KGiMiL094306@xxxxxxxxxxxxxxx>

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>> I have noticed the same thing not only on Oddball, but on the
>> Swinger system advertised at http://spb.addr.com -- this system
>
>Really!?  I've got the original Swinger-1 Tradestation code (actually 
>I wrote it for Vladimir :-) and I get pretty decent results if I 

Sorry I wasn't more specific.  I was talking about Swinger2-EOD.
I'm not a daytrader, all I am ever interested in is EOD systems, and
I forget that others on this list don't think that way.

>Granted, all of these models have gone flat since last November, but 
>I wouldn't hold that against them too much.  Most of my models have 
>also had a rough time since November.  It's just been a tough period. 

I'm not using recent data.  My data only goes up to December of
2000.  Swinger2-EOD, when using cash in data2 and SP in data1, goes
up and down, and has a long flat or declining period within the
prior 5 years.  It was noticeably different from the performance
using just cash.


-- 
  ,|___    Alex Matulich -- alex@xxxxxxxxxxxxxx
 // +__>   Director of Research and Development
 //  \ 
 // __)    Unicorn Research Corporation -- http://unicorn.us.com