Monday 21 April 2014

Reversion to mean (me)

Happily theoretical, but nevertheless.


BCB #1 KNN









Right 5.00 17.00 38.00




Wrong 8.00 16.00 24.00




Null 0.00 7.00 18.00




gain/loss Rolling



date close f'cast In Week 13 week 26 week All Time note outturn
20140418 6625.3 1





20140411 6561.7 -1 -63.60 -340.20 -265.50 861.17

20140404 6695.6 1 -133.90 -442.20 -66.50 924.77

20140328 6615.6 1 80.00 -218.90 67.40 1058.67

20140321 6557.2 1 58.40 -289.70 -71.36 978.67

20140314 6527.9 -1 -29.30 -327.90 -213.50 920.27

20140307 6712.7 1 -184.80 -442.90 -171.60 949.57

20140228 6809.7 1 -97.00 -91.50 -23.30 1134.37

20140220 6813 -1 3.30 117.50 208.07 1231.37

20140214 6663.6 1 149.40 15.60 204.77 1228.07

20140207 6571.7 1 91.90 -133.80 55.37 1078.67

20140131 6510.4 -1 -61.30 -225.70 -36.53 986.77

20140124 6663.7 1 -153.30 -164.40 -39.73 1048.07

20140117 6829.3 1 -165.60 -37.40 206.67 1201.37

20140110 6739.9 1 89.40 141.60 296.37 1366.97


Rebalanced the program in Jan and that 'improvement' hasnt been so great.