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Would anyone care to back-test a number of observations such as the
following. I'll pose the questions and answers in probability terms (or you
can too if you wish), collaboratively a proposed trade is structured, which
might be a strangle, a straddle, a basis, etc. You write a system and we
trade separately. Any takers? First come, first served, as I can't handle
too many scenarios at once.
The following are only examples. More up to date scenarios are available to
those I collaborate with.
10/16/98
Fact: Recently there has been a noticeably stronger statistical relationship
between the Dollar and Euros than between the Dollar and the bond contract?
Note: the Dollar = Dollar-Swiss
Q: What happens when the Fed eases in an environment where foreign exchange
markets focus more on changes in the short end and, consequently, pay "less"
attention to movements in bonds?
A: Over the next thirty days, NASDAQ rallies nearly 8%, on average, - nearly
twice as much as the S&P 500 - in 81% of 16 past occurrences.
10/8/98
Q: What happens when Dollar-Swiss moves more dramatically than Dollar-Mark
during a sharp dollar slide?
A: 1 month later, believe it or not, Mark-Yen is over 2.75% lower in 7 of 10
previous occurrences.
Assuming yesterday's breakout from the head and shoulders pattern was not a
fake out, 67.00 could be the new long term target for the cross.
Regards,
Colin West
303-741-8690
Englewood, CO USA
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