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Dear Earl,
Good point and post.I understand the methodology of what I posted and
know its range limitations when taken back to 1960 when precipitous
sharp drops were not as common as in the last 12 years with relatively
prompt recoveries.
On the other hand I certainly would not intend to stay in cash longer
than 3 months.Nor do I think that unreasonable given the overall
market situation.
This thread was just meant to continue something that I found
interesting which was posted in early March '99 by another list
member.It was never intended to be Gospel but rather expression of
market condition from a sevice I had used ,respected and made mney
with.
Sincerely,
John
P.S.Since I am 80% in commodities and 20% in stocks the Crash Index
has given me solace to be short 5 Nasdaq contracts 1200 points above
current levels after some whipsaws.The psychology of it has helped me
,right or wrong.
------------------ Reply Separator --------------------
Originally From: "Earl Adamy" <eadamy@xxxxxxxxxx>
Subject: Re: Crash Index Follow-up
Date: 04/18/1999 05:49am
In all cases, one needs to understand the methodology underlying such
signals. Some years ago I developed a very simple long term equities
timing
model which backtested over some 50+ years of data as 87% profitable
with
truly miniscule drawdowns (nothing more than 4%). It went on a sell 3
years
ago. Understanding its construction, I understood exactly why it went
on a
sell, what it was telling me, and what kind of model would be required
to
time a market which had shifted out of the model's operating range.
Had I
been watching a black box I would have been in nothing but cash for
the past
3 years.
Earl
-----Original Message-----
From: Anna Mufa <mufa@xxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: Saturday, April 17, 1999 7:57 PM
Subject: Re: Crash Index Follow-up
>
>----- Original Message -----
>From: <JER3CUBE@xxxxxxx>
>To: <mufa@xxxxxxx>
>Cc: <realtraders@xxxxxxxxxxxxxx>
>Sent: Sunday, April 18, 1999 5:22 AM
>Subject: Re: Crash Index Follow-up
>
>
>GerryB writes:
>> The index was designed for use with Funds. It gets you out of the
market
>in high risk periods.
>
>The probability of correct definition (prediction) of the market high
risk
>periods based on a coin toss test is 1/2. That doesn't mean we should
use
>such a prediction tool.
>Unfortunately in the mentioned report nothing was said about
probability of
>the Pitbull Crash Index NOT DETECT HIGH RISK PERIODS.
>
>Anna
>
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