I would like the to ask the help of the community. This is a strategy presented and published by Nelson Freeburg from Formula Research. I uploaded the PDF here. I think the data could be found for free on the web and can easily be imported to WL7.
Seems I can not upload PDFS, sure this will change soon
Seems I can not upload PDFS, sure this will change soon
Rename
Could you paste a link instead?
Vince
Vince
Here is the link. Let me know if you can open it. Thanks for anyone helping here.
https://www.dropbox.com/s/45pb2riq9ttulgq/FormulaResearch%20Nelson%20Freeburg.pdf?dl=0
https://www.dropbox.com/s/45pb2riq9ttulgq/FormulaResearch%20Nelson%20Freeburg.pdf?dl=0
Got it!
Vince
Vince
vk,
I do not know if this still works, BUT I would be surprised if it has worked in the recent climate of historically low (and in some cases negative) rates. My hunch is that this rate environment would probably distort previously valid relationships since these were "interpolated observations" from a very high-dimensional non-linear environment, and extrapolation of these relationships are fraught.
Vince
I do not know if this still works, BUT I would be surprised if it has worked in the recent climate of historically low (and in some cases negative) rates. My hunch is that this rate environment would probably distort previously valid relationships since these were "interpolated observations" from a very high-dimensional non-linear environment, and extrapolation of these relationships are fraught.
Vince
I agree, the presentation is quite old, but if it does hold the test of time it would be very valid, IMO.
QUOTE:
but if it does hold the test of time it would be very valid, IMO
True!
Vince
Any luck getting it done?
It’s a pretty hefty read! Can you give us the tldr version??
Here it is Glitch...
The Golddollar Index (Gold x USDollar) is supposedly a leading indicator for T-Bill rates, which is inversely correlated to the Equity Market. Identify the strongest Russell sub-index and ride that sector.
The truth is that there are probably not enough instances and too many adjustable parameters.
Vince
The Golddollar Index (Gold x USDollar) is supposedly a leading indicator for T-Bill rates, which is inversely correlated to the Equity Market. Identify the strongest Russell sub-index and ride that sector.
The truth is that there are probably not enough instances and too many adjustable parameters.
Vince
So the strategy is more complex than it seemed when I saw the presentation on a video? At the same time you are right, a strategy that has not enough events might be pure luck.
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