Saturday, July 06, 2002 12:35:55 PM
I'm not throwing my hat in this ring yet, but...
...here is some noodling wherein I wanted to look at the relationship (spread) between RYVYX and RYVNX. The chart below is the simple numerical difference of RYVYX minus RYVNX.
Interesting the 'extremes' it seemed to hit on 7/2/02 (-93.9), 9/21/01 (-91.6) and 4/4/01 (-72.2). Another sign of an intermediate bottom and a rally ahead?
So then, how about a concept of running an x-dev analysis on the spread between two stocks/funds where you would be long one and short the other, but based on the deviation from an sma you could weight them differently in your portfolio?
On the other hand, the idea hurts my head. Paticularly when the negative numbers start popping up in the sma and deviation calculations.
stiv
...here is some noodling wherein I wanted to look at the relationship (spread) between RYVYX and RYVNX. The chart below is the simple numerical difference of RYVYX minus RYVNX.
Interesting the 'extremes' it seemed to hit on 7/2/02 (-93.9), 9/21/01 (-91.6) and 4/4/01 (-72.2). Another sign of an intermediate bottom and a rally ahead?
So then, how about a concept of running an x-dev analysis on the spread between two stocks/funds where you would be long one and short the other, but based on the deviation from an sma you could weight them differently in your portfolio?
On the other hand, the idea hurts my head. Paticularly when the negative numbers start popping up in the sma and deviation calculations.
stiv
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