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PureBytes Links
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from the link below, "...The prices (cotten and five year notes) are
almost perfectly non-correlated (coeff = -0.070) yet the equity curves
are extremely well correlated (coeff = +0.942). So this trading system
did a good job of extracting profits out of two very different market
price behaviors."
An interesting piece of work however, you can't draw that conclusion
from the information you've given. The fact that the equity curves are
correlated means nothing wrt to whether the trading sytem made money.
Best,
Bill
----- Original Message -----
From: "Mark Johnson" <janitor@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, April 30, 2003 10:33 PM
Subject: Benefits? of trading correlated markets simultaneously
> Recent research results:
>
>
<http://traderclub.com/discus/messages/18/2096.html?WednesdayApril302003
0246am#POST13209>
>
> -mj
>
>
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