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Strategies & Market Trends : Moomin Valley (formerly Troll-free Zone) -- Ignore unavailable to you. Want to Upgrade?

To: RealMuLan who wrote (1374)	7/26/2006 8:18:49 AM
From: Moominoid	Read Replies (1) \| Respond to of 2852

Yes my model performs best in bear markets and the very high returns in that period shouldn't be used to project future returns. I did a test last night where I computed alpha - the risk adjusted excess return on daily data for the last 10 years and the number was very similar to that since June 30. But the estimate for the period since June 30 is not statistically different from zero and so could be pure luck. For the 10 year period it is very highly signficant.