Model discussion

[TraderD]

...
I will now start working on these industry group MF models.
Pascal

Pascal, how do you explain the (admittedly anecdotal) observation that test results of models that use 20DMF invariably show 2010/2011 performance to be lower (typically much lower) than 2008/2009 performance? Is there a reason to suspect the market is becoming more "efficient" in arbitraging away the edge attributed to money flow rotation?

Trader D

[Pascal]

Pascal, how do you explain the (admittedly anecdotal) observation that test results of models that use 20DMF invariably show 2010/2011 performance to be lower (typically much lower) than 2008/2009 performance? Is there a reason to suspect the market is becoming more "efficient" in arbitraging away the edge attributed to money flow rotation?

Trader D

Simple: 2008 and 2009 were trending markets. Crash and reversal from a deep bottom.


Pascal

[mingpan.lam]

Hi Pascal,

Which model GDX robot using in the above table?
Cheers,

Ellis

[Pascal]

Hi Pascal,

Which model GDX robot using in the above table?
Cheers,

Ellis

The second level: Industry group

pascal