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We've spent the last few showcases discussing the Cycle Forecaster so it seemed like a good time to change topics and look at something totally different. Over the past year or so, one of the major research projects at Market Analytics has dealt with methods to generate accurate price forecasts months in advance. We have studied many different methods, and have developed a number of original algorithms that produce very accurate price forecasts. Below is a chart of Treasury Bonds with one of our forecasts:
The purple line is our price forecast, which has been extremely accurate recently. This forecast was generated 5-6 months ago based on data up through 1997. The out of sample forecast from 1/1/98 to 6/1/99 was encouraging, as are the current real time results. Currently, this forecast calls for Bonds to rally until mid-January of 2000. We have marked important dates in the forecast that would be good times to look for trading opportunities.
Although this forecast is currently in beta form, it may someday become a product so this showcase can be considered a sneak preview of things to come. Next time we'll look at more specific trading techniques. Stay tuned.