RT Model Long Again

[davidallison@gmail.com]

Dave,
The volatility factor is already included in both RT and EOD models.

Hi Billy,

That's very interesting. I thought the volatility you are using is 'price volatility' and didn't realize you were already using 'MF volatility' It just shows how little I understand what's going on.

Dave

[Billy]

Hi Billy,

That's very interesting. I thought the volatility you are using is 'price volatility' and didn't realize you were already using 'MF volatility' It just shows how little I understand what's going on.

Dave

Dave,
I am sorry if I am misunderstood here. We are using price volatility for the model rules and not MF volatility.
MF is a “normalized” value expressed in percentage terms. This implies that the MF value is volatility-adjusted by nature. Using the volatility of the MF itself would then suppress the advantage of using a normalized value.
Billy