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Author: rharmelink Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 252118  
Subject: Re: Trading 3x ETF Pairs Date: 12/15/2012 10:59 PM
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I tried to replicate your method, but I'm getting different numbers than you. But I'm just using adjusted closing prices from Yahoo.

Are you using next day opening prices based on the previous day ^VXO close?

My model gets even better results if you ALWAYS short FAS and FAZ. :)

When it comes to a system that is using timing such as this is it is not possible to adjust the date of each binary signal by one to twenty days.

Hmmm? If you start it on a Tuesday, with a 4-week rebalance, then there are three other Tuesdays you could start on with a 4-week rebalance. There are also four Mondays, Wednesdays, Thursdays, and Fridays in between that you could use as a starting date. So, actually 20 days in total.

If going from Wednesday to Wednesday (starting 1 day later) yields significantly different results than Tuesday to Tuesday, the method is probably not robust.

The period is 11/5/2008 to present.

Yahoo closing prices don't start until 11/19/2008 for FAS and FAZ?
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