The mechanical trading system 'near close' signal log is listed below. Near-close signals are simply estimated for the MTS prior to the close of the market. There will be some difference in the signal over time due to the 'blackout period' between when we issue the signal, and the actual market close, however, we don't expect this to have much of an effect on the returns either way. In some cases the system will benefit, in other it won't, but over the long term, it should average out to the same returns for both.
OEX signals
9/24/99 Buy SP100 at close at 672.80
10/5/99 Sell SP100 at close at 682.91 for 1.5% gain
10/13/99 buy SP100 at close at 671.20 for a short gain of 1.71%
10/25/99 sell SP100 at close at 682.38 for long gain of 1.67%
SPX signals
5/25/99 - buy 1284.4 SP500 index fund
6/4/99 - sell 1327.75 ...for long gain of 3.34%
6/11/99 - buy 1293.74 for short gain of 2.56%
6/16/99 - sell 1330.41for long gain of 2.83%
7/23/99 buy 1356.9 for short loss of (-2%)
7/28/99 sell 1365.4 for a long gain of 0.63%
8/5/99 buy 1313.71 for short gain of 3.79%
8/16/99 sell 1330.77 for a long gain of 1.3%
8/30/99 buy 1324.02 for a short gain of 0.51%
9/3/99 sell 1357.24 for a long gain of 2.51%
9/16/99 buy 1318.48 for short gain of 2.86%
10/4/99 sell 1304.6 for a loss of (-1.05%)
10/13/99 buy 1285.55 for a short gain of 1.46%
10/28/99 sell 1342.44 for long gain of 4.43%
Buy and hold the market returned 4.52%
[OP2B SYSTEM return for long trades only 14.72%]
[OP2B SYSTEM retrun for short trades only 9.42%]
Copyright ©2000 by galateia, inc. est. 1994 (business as price pattern prediction) - ALL RIGHTS RESERVED
