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Evidence Regarding Run Frequency Using Time Machine Strategy Data

September 22, 2009

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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?


    • 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


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