S&P Risk Reward Forecast
Updated after market close 5/02/08
Description
Forecast 5/02/08
Prior Forecast (Actual)
Historic Accuracy
5 Day Risk Reward
-0.1
0.0 (1.3)
67%
10 Day Risk Reward
-0.0
0.1 (1.6)
41%
20 Day Risk Reward
0.1
0.2 (0.9)
39%
A value greater than one means the average expectation
is greater than the average adverse excursion.
A value less than one means the average adverse excursion
is greater than the average expecation.
A negative value means the expecation is negative.
Explanation:
For an explanation of how this forecast is constructed see the original paper
here
and the FAQ here.
Use: Similar forecasts can be used to turn mechanical and discretionary trading systems off when the risk reward parameters
become too negative for them
to operate successfully. The individual components
of the forecast can be analyzed against stop parameters for further confirmation of on/off signals.
This forecast is currently under development and not intended as trading advice or a recommendation to trade.
