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Subject:  Re: MSS - sharpe 1.98 Date:  8/28/2000  3:31 PM
Author:  gritton Number:  78408 of 275509

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?

One possibility is what I actually used in the backtests: compare closing prices on the Friday the rankings come out vs the Friday close from the previous month, and buy the stocks on Monday.

For my own portfolio, I do the same off one day: I compared Thurday closes and bought on Friday. Last month that made a difference: the OEX dropped sharply on 28 Jul, and I ended up with the "high" screen while the Friday-close would have mandated the "low" screen. For that matter, the OEX's current value at the time I picked the stocks was already pointing low. So expect your results to vary.

- Jamie
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