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Frank Richardson asked me to post the following to the Omega list.
My only question is: Is SOX here the Semiconductor Index, or
something else?
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From: "Frank Richardson" <frankr@xxxxxxxxxxxxxxxx>
Subject: SoxBall - currently better results than OddBall
Date: Fri, 16 Aug 2002 20:20:56 +0100
Alex:
I cannot seems to get my posts to go through to Omega list. Can you
please post this message so as to help others ?
OddBall followers:
Noticed how poorly the plain jane OddbBall 7,3,1 model has been
performaing this year ?
It's because of several factors, but here's a model that I will call
SoxBall that outperforms OddBall well in 2002 without continual
optimization. Everyone knows that the SOX has been a leading index
for the market lately. Why not use SOX instead of Advancing issues ?
Run RL=2, BZ=1, SZ=1
Time for Central standard time folks is >1100 and <=1500
My equity curve shows this model has really started to perform even
better in the SPU2 contract. My SOX data only runs from 2-4-02
forward, but during that period I show using SPX:
$141,000 TNP
2.83 PF
13,147 MIDD
Even during the difficult period from 7-22-02 till 8-16-02 I still
get $18,060 TNP
1.75 PF
$13,147 MIDD
Hey, why not use what works now, and stop worrying about whether or
not it backtests successfully for several years !
Frank Richardson
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