Daily Speculations The Web Site of Victor Niederhoffer & Laurel Kenner Dedicated to the scientific method, free markets, deflating ballyhoo, creating value, and laughter;  a forum for us to use our meager abilities to make the world of specinvestments a better place.

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12/07/04
King For a Day, by Kim Zussman

On this throne
I thee do sell
Wireless internet
Porta-bowl hell

They sold them off
There was a crash
Bought them low
Then made some cash

Left too much
Upon the table
They were willing
I was not able

Illiquidity-made a splash
Greater gains
Flushed in a flash

OK, now let's move on to the question of when cycles change:

How can you tell when a working system has stopped working, as opposed to
merely hitting a drawdown streak (say) within 95% CI of prediction?  This
might relate to Chair's and Doc's recent work on path to high of a period.
ie, within known properties of a back-tested system, can a certain number of
consecutive failures (or a chain of win/loss much different from predicted)
evidence the end of the cycle?  Would Markov regime switching (whatever that
is) be useful?