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Evidence Regarding Run Frequency Using Time Machine Strategy Data

September 22, 2009

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FollowThroughSharpe50-09

FollowThroughWP50-09

3 Comments leave one →
  1. James permalink
    September 22, 2009 6:28 pm

    Great work. But I’m still confused with your 5×5 array and what it represents. For example, does a (Buy Down Day 3) x (Sell Up Day 2) refer to buying the SP500 when it goes down 3 consecutive days and selling after 2 consecutive up days, and does this include shorting after 2 consecutive up days and covering after 3 consecutive down days?

    Thanks

    • david varadi permalink*
      September 22, 2009 6:43 pm

      hi james, you are correct it is a runs matrix and long only. However you can obviously derive how well short strategies perform by simply finding the highest negative sharpe ratios—which would be positive if you shorted. thanks
      dv

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