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Hello Omega,
Frank asked me to post his message:
Jim:
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 OddBall 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 curves show 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
mailto:jejohn@xxxxxxxxxxx
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