Posted By: Mark   Date: Sat Jan 30, 2010

Title: New Weighting Algorithm

Message:
  Will the new weighting algorithm apply to the 5 day model as well as the 1 day model?
 
  Using the new weighting algorithm, are the 1 day and 5 day models long at this time?
 
  Thanks for continuous improvement work

Response:

 The weighting algorithm change discussed on the forecast page applies only to the 1-day model at this time. The 5-day model will need to be updated as well, once the 1-day networks have been generated and tested.

 I don't yet have enough 1-day networks generated to comment on the forecast. I expect that I should be able to say something by late Monday or Tuesday. I am encouraged by some backtesting results obtained using a limited forecast library.

 February 4 update: We will install the algorithm change this evening. The forecast with this change and the final set of networks is cash. As stated on the forecast page, the performance data will not be changed to reflect this update. This means that the performance data probably doesn't reflect how the model will do in the future. We think it will do better than the data shows, but given the somewhat random nature of the market, we have no proof of this.