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Strategies & Market Trends : Technology Stocks & Market Talk With Don Wolanchuk -- Ignore unavailable to you. Want to Upgrade?

To: GROUND ZERO™ who wrote (835)	2/9/2002 8:09:14 AM
From: Moominoid	Respond to of 207923

I have quite a simple time series model to forecast the moves in the logarithm of NDX which is working surprisingly well, as any times series analyst could estimate that. Then I have more complex models - they still only use the index itself as input data but first process it using the autoregessive indicators I developed and then model and forecast it. Several of the models beat the market in the period since 21 September. The models indicate the expected daily change and I assume you can trade outside market hours (e.g. Globex, in Australia) and a whole bunch of other unrealistic stuff. Then each day you either hold your position and switch to the opposite long or short.