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By the way I believe that Tom McClellan has estimated that the change was at
least 200(reduction in unchanged).
Jim Bronke
Phoenix, AZ
----- Original Message -----
From: "Jim Johnson" <jejohn@xxxxxxxxxxxxxxxx>
To: "Jim Bronke" <jvbronke@xxxxxxxx>
Cc: <LScharpen@xxxxxxx>; <trad_delist_payback@xxxxxxxxx>;
<omega-list@xxxxxxxxxx>
Sent: Saturday, January 19, 2002 7:44 AM
Subject: Re[2]: Oddball system performance and "tick inflation"
: 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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