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Subject:  Re: MSS - sharpe 1.98 Date:  8/28/2000  12:50 PM
Author:  brambilla Number:  78376 of 275546

I have been following the various discussions of MSS with great interest but I am left with a question: if one actually implements such a screen using real money, then what dates are used to determine the change in the DJIA or other indicator for switching? Off the top of my head, I would be inclined to use something like the closing price on the previous rebalance day and the openning price on the current rebalance day. Does that make sense? Do others use something different?

Apologies if this sounds naive and/or has been addressed in a post that I missed.
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