[RT] S&P 500 Futures Neural Models

["Brian Lee" <blee7@xxxxxxxxxxxxxx>]

Hi Ben,

Both "go long" models are again indicating a POTENTIAL decent upmove in the
near-term.  This type of confirmation signal has occurred previously in the
out-of-sample period.  As visualization of the models indicate, they are
usually leading or coincident indicators in Out-of-sample since 4-1-1999.
Note how the signals in 111SP500.gif can be coincident or leading indicators
from 1 to 4 days (or occasionally late), but often there is an upward burst
in the near-term if it does not generate a coincident signal.  That's why I
was and remain very careful in my interpretation to use the words
"POTENTIAL" (signal can naturally be right or wrong) and "near-term" as in
the graph clearly indicates several leading signals followed by nice
uptrends. The 4 input trading model is still shining with a current open
position of approximately $31,000.


----- Original Message -----
From: <proffittak@xxxxxxx>
To: <realtraders@xxxxxxxxxxx>
Sent: Wednesday, December 20, 2000 2:46 PM
Subject: Re: [RT] S&P 500 Futures Neural Models Vote Long


> In a message dated 12/19/00 2:08:55 PM Eastern Standard Time,
> blee7@xxxxxxxxxxxxxx writes:
>
> << Hi Ben,
>
>  I haven't calculated those particular stats on the two "go long" models.
>  Since they don't attempt to predict exits/shorts (I have other models for
>  that), I would shy away from calculating a "percent-up" stat.  The charts
I
>  attached for the two "go long" models include the entire out-of-sample
(OOS)
>  period.  I think visualization of the charts is fairly descriptive of
their
>  respective performances OOS. As hese were models were specifically
developed
>  for the S&P market, I have not attempted to build similar models for the
>  NASDAQ using the same inputs/outputs.  The stats for the trading model's
OOS
>  period are attached.
>   >>
> hello
>
> this looks good
> HOWEVER
> look where  we are now?
> do not feel bad
> this IS  an extreme case
> my indicators did not work here  too
> Regards,
> Ben
>
>
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>
>
>

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