Super cala fragilistic ex b ala doses nitro,just the sound of it is really quite atrocious when you need to buy you sell in calibrated doses super cala fragilistic,help me holy moses..
It could very well be, but this is a very difficult thing to prove with so many moving parts. There is a mathematical tool that can aid in discovering lag relations, the Auto-correlation, but i don't have historical data. That is why this is so hard. This is a very whippy market, and trend systems tend to do badly in them. Still, I am learning tons.
Nitro. This is absurd. Why don't you just paper trade this thing. You obviously don't have all the kinks worked out. Just paper trade it until you know it's consistent.
I was right about Nitro 3 years ago, and recently a month ago: His system is actually gold, pure gold. He just needs to evaluate the "edge" with an inverse look. Thus when the FV goes BELOW the market, he should go LONG, and vica versa. In the last 4 weeks the market had one of its worse August, the FV difference was hugely positive. On the day when it went negative the market had one of its biggest rally. Quite simple really... No charge for the advice....
by that standard, you'd want to hire a few 'tards to trade for ya. you should have no problem finding some on et. throw a dart.
Calibrated FV, 1140.88. FV 1290.68. Remember, the difference between FV and Calibrated FV (CFV) is that CFV attempts a correction term to FV that attempts to value the probability of a recession. When the chance of recession is 0, CFV will converge or even go above FV, what people will term "Risk on". Some people have suggested that the best estimate of "FV" is not the ends, but the average of the two, or "FV" = (FV - CFV) / 2. That is an interesting idea. Recall that a simple moving average if a FIR http://en.wikipedia.org/wiki/Finite_impulse_response_filter and we can back out the weights by the following equation: SPX = xFV - yCFV where x, y are the weights of some FIR average. That is more sophisticated than a simple MA, and may be worth backing out every day.