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Actually Mike, you got me thinking this weekend about system
adaptability.... i.e. other than constantly "re-writing" a system to match
the market flavor of the decade, are we stating that there is no way to
dynamically account for this change in market character?
If pre "95-96" existed before, it can exist again, and I'd sure as hell not
want to be a year into it before I scratch my head wondering why my system
cannot cope.
The question to me is twofold: What are the long term indicators (or price
patterns) that can quantify this sea change, and how "lagged" do we need for
them to be to adapt our systems at the correct speed?
Best regards,
Gene Pope
----- Original Message -----
From: "Mike Higgs" <moongateca@xxxxxxxxx>
To: "David Folster" <mr_bond@xxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Thursday, November 29, 2001 10:35 PM
Subject: Re: Cost Sharing - NYSE Advancers/Decliners back to 1987
> David,
>
> > As many of you know, intraday breadth data is pretty hard to come by for
> > anything except the last 3 or 4 years. The ONLY data vendor I have been
> > able to find that has this data is CQG, and they have it back to Sept.
> 1987.
>
> What would you use 1 minute bars that far back for? Think about how much
> the market has changed. All you have to do is look at what started
> happening to ATR in the mid 90s. You'll find that the performance of
index
> systems breaks at around 95-96. Systems test well after those dates or
> before those dates but not so well on both sides of those dates.
>
> Regards,
> Mike
>
>
>
>
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