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There was, indeed, a distribution of correlations with the peak values
falling in the 180-190 day range.
At 09:59 PM 5/26/99 -0400, Robyn Greene wrote:
>The problem with this is that if there's a statistically valid correlation
>- it
>shouldn't exist only 180-190 days out (although perhaps 180-190 days might
>be the
>strongest correlation). As with all robust systems - there should be a
>curve of
>results - from good - to better - to best - not just a single "best"
>result smack
>dab in the middle of some mediocre ---> terrible results. What's the
>correlation
>100 days out - and 240 days out? If you're looking at garbage in those
>time frames
>- all you're looking at is curve-fitting. Robyn
>
>Ullrich Fischer wrote:
>
> > He looked at the bond yields daily data and the daily gold price data and
> > calculated correlation co-efficients between them using various time
> > offsets in the bond data. He had a little table showing the correlation
> > co-efficients for various days offset between the two data streams. It is
> > a fairly straightforward process, once you have the bright idea to try
> > it. I have no idea why Siatta thought to try doing this, but you can do it
> > with a standard spreadsheet. The bottom line is he found a 65% correlation
> > between the bond data and the gold data when comparing today's bond data
> > with gold data from 180 to 190 days ago. That makes gold price a very
> > significant (statistically speaking) predictor of bond yields approximately
> > 6 months in the future. There is a discussion of this subject at
> > http://www.equitytrader.com/ including a reference to Technical Analysis of
> > Stocks & Commodities May '99 - Alex Siatta where Bollinger got the original
> > concept. There is more info on the concept on www.BollingerBands.com
> >
> > -uf
Ullrich Fischer
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