For God sakes, at least learn how to truncate those excessive decimal places. It makes it look even more ridiculous then it already is.
02/07/2012 13:19:25 OFV = 1347.63196773564 Buy SPX at 1347.07 02/07/2012 13:38:52 OFV = 1346.34983725215 Sell SPX at 1346.39 02/07/2012 13:39:29 OFV = 1346.71336774475 Buy SPX at 1346.32 02/07/2012 13:43:44 OFV = 1346.47358558721 Sell SPX at 1346.56 02/07/2012 13:44:20 OFV = 1346.86591417493 Buy SPX at 1346.7 02/07/2012 13:47:56 OFV = 1346.30130097786 Sell SPX at 1346.43 02/07/2012 13:49:46 OFV = 1346.66627236652 Buy SPX at 1346.55 02/07/2012 13:50:22 OFV = 1345.92756389671 Sell SPX at 1346.53
Changed the code so that the system doesn't react on just a crossover, but a crossover by some threshold. I will be giving the threshold along with the entries. This complicates things somewhat, because the system now takes profit on a "convergence" (close enough) of OFV and SPX, so the system is no longer always in the market.
All those trades to supposably make fractions of a point and you just lost 7 points on one trade. You, my dear man, don't have a clue what you are doing.
Firstly, what is the point of calling it fair value if it can be negative. You are better off calculating alpha than price level. Secondly, did you ever take a statistics class? The most basic is on sample sizes. You have such high level of certainty in your tweaks for the daily version of FV, and then all of the sudden decide that an intraday version of your signal needs to be monitored for a year to prove useful.
All work and no play makes jack a dull boy All work and no play makes jack a dull boy All work and no play makes jack a dull boy All work and no play makes jack a dull boy All work and no play makes jack a dull boy All work and no play makes jack a dull boy all dull and no value makes nitro a mad boy all fair and no value makes mad a decimal place...