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> TNP on data from 3-14-02 till 5-17-02 using SPM2 data with Original OddBall
> at 7,3,1 = $11,925 TNP with $18,700 MIDD
>
> TNP on data from 3-14-02 till 5-17-02 using Cash index data with Original
> OddBall at 7,3,1 = $14,960 with $17,427.50 MIDD
This demonstrates that the original oddball is a robust system that can
be used on different data streams and still make money. It is likely to
perform well in the future because it is relatively insensitive to minor
market/data changes.
> I have an interesting, initially promising OddBall variant that shows:
>
> TNP on data from 3-14-02 till 5-17-02 using Cash index data = $27,787.00
>
> TNP on data from 3-14-02 till 5-17-02 using SPM2 data with = -450.00
> (negative)
This is a classic example of overoptimization. It performs better than
the original on one data stream but it blows up completely on another.
This system is unlikely to perform well going forward. It has been fine
tuned to one set of data that will likely never be repeated.
All the evidence is there in plain sight. Your conclusion that "CASH
index is poor model for Oddball & Variants" is the wrong one. The
correct conclusion is that overoptimized systems can't be profitably
traded with real money.
--
Dennis
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