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Re[2]: Oddball system performance and "tick inflation"

  • To: "Jim Bronke" <jvbronke@xxxxxxxx>
  • Subject: Re[2]: Oddball system performance and "tick inflation"
  • From: Jim Johnson <jejohn@xxxxxxxxxxxxxxxx>
  • Date: Sat, 19 Jan 2002 06:45:02 -0800
  • In-reply-to: <66.19876e3f.295cbfb4@xxxxxxx>

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Hello Jim,

thank you that post.  I've have had this knowing feeling that the
conversion to decimal has changed market internals.  I have been
particularly suspect of Tick.  It stands to reason that if the bar for
an uptick in price goes from 1/16 or 1/8 to 1- cents, it is easier for
a stock to uptick and therefore more positive ticks are registered
(and the reverse of course.).  In my own mind I call this "tick

Friday, January 18, 2002, 11:31:25 PM, you wrote:

JB> I am not sure if you sorted things out on this one. There was one big change
JB> in the last year that affected the number of advancers in the NYSE. The
JB> conversion from fraction to decimal. The result has been a reduction in the
JB> issues unchanged. This results in bigger swings in the numbers.

JB> Jim Bronke

JB> ----- Original Message -----
JB> From: <LScharpen@xxxxxxx>
JB> To: <trad_delist_payback@xxxxxxxxx>
JB> Cc: <omega-list@xxxxxxxxxx>
JB> Sent: Thursday, December 27, 2001 11:17 AM
JB> Subject: Re: Oddball system performance

>> In a message dated 12/27/01 9:44:42 AM Pacific Standard Time,
>> trad_delist_payback@xxxxxxxxx writes:
>> << From 10-1 forward, except for 11-01 through 11-21, and
>>  perhaps last 2 or 3 days, Mark Brown's OddBall system
>>  has been rather remarkable at predicting turns in the
>>  S&P futures (profit factors above 5 for long
>>  trades/above 2 for shorts and great ROI's). Compared
>>  to past years, The OddBall system applied to the SPZ1
>>  contract has really shined.
>>  Anybody care to venture what market forces are driving
>>  this feat (What has changed ?).
>>   >>
>> Personally, I think what you are asking about is difficult to sort out.
>> Personally, I think what you are seeing is just 'one of those things'.
JB> I've
>> got data on Oddball going back to the Jun '98 contract.  The 4 contracts
JB> with
>> 2001 dates have the three BEST (in terms of P/L rank order Jun Mar Dec)
JB> and
>> the WORST (Sept) contract for this period.  There have been just 5
JB> contracts
>> which proved 'red' (showed a loss) .... FOUR of these unprofitable
JB> contracts
>> were in  1999 and the 5th was Sept 2001. I've made attempts to try to see
>> 'what's different' amongst these different time periods and have struck
JB> out
>> at every turn.  Good luck in sorting it all out!
>> Lee Scharpen

Best regards,
 Jim                            mailto:jejohn@xxxxxxxxxxxxxxxx