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American Capital Agency Corp. Message Board

  • jess_1554 jess_1554 Mar 30, 2013 11:10 AM Flag

    OT - ARR


    In answer to your question about GLAD/3% with ARR. I had a look back and added 3% to buy at EX+6, Sell at EX+17 and get a total of 6.1. GLAD rules do not work good with ARR. If you are using EX+2 and EX-1 plus 3%, I suspect our difference comes mostly in the net 3%. I get 1.78 for this factor. The 4% no trade between EX-1 and EX+2 could be the difference. I need to re-check this on my run. At any rate the difference seems small.

    For your info, I have tried a sell point for each point between EX-1 and EX-8, and find that none beat EX+6/EX+17 (net 4.32). EX+2/EX-4 comes closest with a net of 4.07. Note that EX+17 is not the same as next EX-3, EX-4..... because of the different lengths of the periods. These figures came from 12/16/10 - 2/13/13.

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    • Thanks, Jess - You are right about the differences being small. My sample was only the last 23 months, so there may be some difference there, as well.

      I recognize that x+17 isn't the same as x-1, etc., which really was the main point of my original inquiry...(BTW, "x" vs. "EX" is just simpler for me to type...meaning is the same). I can imagine a regularity to events behaving similar around some sort of catalyst, like X everybody bails/buys at about the same time relative to that event, however, my imagination isn't as successful picturing similar consistency with a day who's relation to the event date is as varied as x+17 can be.

      I am not challenging your historic results, as I'm pretty sure you math/study is more reliable than mine....I am just expressing my logic challenge, to hopefully explain my thinking a little more completely.

      Thanks, again, for all your help...

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