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New Functionality: Threshold Returns for Models

Eric D. Brown
2016-07-18
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This weekend we added Threshold Returns, a small (but important) new piece of data to our models.

Threshold returns provide a view into the annualized returns for the underlying symbol while the model/indicator value is above / below / between the extreme values for that model/indicator. Additionally, the percentage of time the model/indicator spends in each area (above / below / between) is provided.

An example Threshold Returns table is shown in figure 1.

[caption id="attachment_675" align="aligncenter" width="532"]Threshold Returns for CNN Fear Greed Proxy Figure 1: Threshold Returns for CNN Fear Greed Proxy[/caption]

For now, threshold returns are shown only on models in the "stocks" section but we will be adding them to all models and other indicators (Optix, etc) soon.

Currently, threshold returns are provided for the following models:

  • Smart Money / Dumb Money Confidence Spread
  • Smart Money Confidence
  • Dumb Money Confidence
  • STEM.MR Model
  • STEM.MR NASDAQ Model
  • STEM Model
  • Short-term Optimism Index (Optix)
  • Intermediate Term Optimism Index (Optix)
  • AIM (Advisor and Investor Model)
  • % Showing Excess Pessimism
  • % Showing Excess Optimism
  • % Showing Excess Optimism-Pessimism Spread
  • CNN Fear Greed Proxy

Threshold Returns are available to all subscribers.  If you aren't a subscriber, click here to sign up for a free trial.

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Risk Disclosure: Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

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