|
PureBytes Links
Trading Reference Links
|
On Mon, 10 Nov 1997 07:27:25 -0800 (PST) Jay Mackro writes:
Care to shed some light on how the value in the second column was
derived? Is it some ratio of S&P yeild to T Bill yeild? Clearly you are
switching your Rydex position when that number crosses through zero.
But, unless I'm dense, your
message doesn't state how you are calculating that signal, nor how the
normal distribution is being used.
------------------------------------------------------------------------------------------------------------------
Jay, I am measuring a relationship derived from a calculation of the
normal distribution of the closing prices on the S&P 500 and the 13 week
Tbill (as posted in barrons). I have added a filter to take out some of
the whipsaws. You can start with the formula for the z score that I had
posted earlier. I am sorry to say that I will not reveal anymore than
this. I do not sell my ideas (though when I see what people are paying
for I wonder?) and I do not give away everything. I do like to share the
results of the methodology as a stimulus for individuals to explore these
avenues of analysis for themselves. I think those of you who have
experienced the frustration of trying to analyze these relationships on
their own can appreciate the education you get from doing the work.
Ron McEwan
|