bohug - come on man that's an obvious one. SDS and SSO
didn't exist prior to 2006, that's why.
also, for trades prior to that time frame we extrapolated the
trades if one could have traded SSO and SDS. While SDS and
SSO are supposed to be 2X the performance of SPY, we found that
they average slightly less, about 1.91 X SPY, so pretty close.
Therefore, all trades prior to when SDS and SSO began
trading, we simply multiplied the G/L of SPY by 1.91 times.
hope that all makes sense, seemed like the logical way to do
it.
I agree that it is both obvious (of course, I was aware of
this...and thus the question) and that your "fix" is logical,
but hope you will include this explanation in your final
overview of the system, so it is clear how
your trade results prior to 2006 were
developed.
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Matt: It seems strange that there
SPY System new section
Posted by bobhug on 31st of Jul 2016 at 06:19 am
Matt:
It seems strange that there were no SSO or SDS trades until trade #225 in May, 2006. Any thoughts as to why?
bohug - come on man
Posted by matt on 1st of Aug 2016 at 12:25 am
bohug - come on man that's an obvious one. SDS and SSO didn't exist prior to 2006, that's why.
also, for trades prior to that time frame we extrapolated the trades if one could have traded SSO and SDS. While SDS and SSO are supposed to be 2X the performance of SPY, we found that they average slightly less, about 1.91 X SPY, so pretty close. Therefore, all trades prior to when SDS and SSO began trading, we simply multiplied the G/L of SPY by 1.91 times.
hope that all makes sense, seemed like the logical way to do it.
I agree that it is
Posted by bobhug on 1st of Aug 2016 at 12:52 pm
I agree that it is both obvious (of course, I was aware of this...and thus the question) and that your "fix" is logical, but hope you will include this explanation in your final overview of the system, so it is clear how your trade results prior to 2006 were developed.