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Lunchtime Quiz

July 30, 2009

Can anybody tell me what the problem is with this trendfollowing system? (Hint there are at least 3) Comments below are welcome in addition to emails.

Big Bucks Sytem Rules:

1) The 1-year average (252 days) is higher than yesterday
2) The 10-day slope of closing prices is higher

Actual Results (last 3000 days):
annual compounded return on the SPY: 8.2%
standard deviation: 9.2%

Answer to follow later tonight. Note that the DVI post (see below) is expected around 10pm EST.

One Comment leave one →
  1. July 30, 2009 2:17 pm

    long term trend is down, short term trend is up
    sd is too high

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