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----- Original Message -----
From: "Mark Johnson" <janitor@xxxxxxxxxxxx>
> However, in this case, they're not. FiveYearNotes is
> making about +$1300 profit per contract per trade, and
> Cotton is making about +$1600 profit per contract per
> trade. I uploaded a plot of these two equity curves,
> you can have a look at their profits & losses if you
> wish:
>
>
<http://traderclub.com/discus/messages/18/2096.html?FridayMay220030607am#POS
T13276>
What suprises me is the high correlation you have found.
When looking at that chart, if someone would tell me
those 2 lines have a correlation of +0.94 i would not believe
them. They don't look simular enough to me to have such
a high correlation since a correlation of +0.94 should mean
that if the one market goes up day's the other market
follows 9.4 day's out of 10 You have done the calculations
and you have done them for a lot of the markets, so i can
not imagine you doing anything wrong since you probably
doublechecked the results because they are so suprising.
How did you calculate this correlation if i may ask ? Daily
basis trade by trade or weekly or monthly ?
I can imagine that if you would do it on a monthly basis, the
monthly equity curve should be looked at wich probably might
"show" more correlation. Probably also, if you have a curve
fitted system, monthly correlations are easier to find this
high than if you would look at a trade by trade basis....
Greetings
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