Updated Charts of the Historical Performance of Intraday Futures Forecasting Systems

by Graham Giller July 27, 2009 10:59

Although I publish daily my record of our intraday forecasts of the $5 mini DJIA futures (ECBOT:YM) and of the e-mini NASDAQ-100 futures (GLOBEX:NQ), I haven't updated our regression summary charts for a while — so I thought that it was time to do that.

Accuracy of Index Futures Intraday Strategy Forecasts - DJIA

The above chart shows our summary analysis for the performance of the $5 mini DJIA futures system, and the one below the same analysis for the e-mini NASDAQ-100 futures system (which is based on the same platform).

Accuracy of Index Futures Intraday Strategy Forecasts - NASDAQ-100

These charts may be a little dense for some — those who wish to perform their own homebrew analysis are welcome to pick up the raw data, delayed by one day, for the two systems at the links at the top of this post.

 

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About the Author

Graham Giller - Headshot GRAHAM GILLER
Dr. Giller holds a doctorate from Oxford University in experimental elementary particle physics. His field of research was statistical astronomy using high energy cosmic rays. After leaving Oxford, he worked in the Process Driven Trading Group at Morgan Stanley, as a strategy researcher and portfolio manager. He then ran a CTA/CPO firm which concentrated on trading eurodollar futures using statistical models. From 2004, he has managed a private family investment office. In 2009, he joined a California based hedge fund startup, concentrating on high frequency alpha and volatility forecasting. My updated resume is on LinkedIn.

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