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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
inflation".
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
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