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Mark,
You are often spot on when talking about the futures business but in one
small instance you appear to be wrong.
Although these values are given as the "optimal" for Aberattion its
developer uses the SAME number for all commodities (80). So whether the
"optimal" changes or not doesn't matter.
He RECOMMENDS using this SAME number for this parameter for ALL contracts
and I'm (almost) certain that it is the system using the single 80 invariant
value that is tracked by Futures Truth.
I've said it before (I think on this list) but much more important to system
like Aberration is the CHOICE OF MARKETS TO TRADE IT ON (the system itself
is "edgeless", ie it has no edge).
It is here that vendors like the seller of Aberration fall over. Every so
often the recommended portfolios for particular levels of equity are changed
(not much, but changed nonetheless). I haven't looked for a while but for
Aberration the last big one was the inclusion of a few London metals
contracts in his "global" portfolio. Without metals and every 10yr bond
future the world has ever known in the portfolio the performance would have
been MUCH worse over the last few years...
Regards,
Robert
-----Original Message-----
From: Mark Brown [mailto:markbrown@xxxxxxxxxxxxx]
Sent: 21 December 2000 16:56
To: EdCReeve@xxxxxxx
Cc: omega-list@xxxxxxxxxx
Subject: Re[4]: Futures Truth Bashing
Hello EdCReeve,
Eac> I would think that before someone actually sent them a system, they
would at
Eac> some point take a look at their main product, which is the printed
Eac> publication, and this is clearly stated on Page 1 of the printed
publication.
the lack of consistency in both their story and their media should be
enough to bring into question their abilities to accurately report
systems results.
Eac> My challenge to find something specific was evidence of Mark Brown's
claim
Eac> that "the models have been tampered with to keep their ranking"
(Mark's
Eac> words).
below are the commodities listed in the aberration manual around 1998
and around 1995 - 22 of the 35 commodities listed had changed their
optimal input values.
(commodity) (98 values) and (95 values)
corn 69 - 69
oats 123 - 123
soybeans 123 - 113
soy meal 107 - 107
soy oil - 23 - 23
wheat 80 - 157
live cattle 140 - 140
live hogs 62 - 62
pork bellies 79 - 118
cocoa 145 - 145
coffee 61 - 32
sugar 55 - 38
cotton 74 - 75
orange juice 50 - 40
copper 150 - 150
silver 80 - 85
gold 127 - 100
platinum 150 - 149
palladium 119 - 119
crude oil 33 - 31
heating oil 27 - 33
unleaded gas 100 - 150
jap yen 61 - 35
german mark 68 - 68
swiss franc 66 - 65
british pound 76 - 53
canadian dollar 77 - 150
dollar index 80 - 74
t bonds 148 - 148
t notes 53 - 57
t bills 69 - 65
euro dollar 32 - 32
muni bonds 45 - 120
sp 500 91 - 90
nyse 89 -89
so you argument is that john hill and his bunch didn't know that these
numbers had been changed to keep this systems rankings in the top ten?
big snip of boring stuff..
mark
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