MAt 120 St St1 St19 120 19j0 Stj

1
MAt (1/20) (St St-1 St-19)
(1/20) ?19j0 St-j
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Buy signal
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Sell Signal
Index is adjusted for interest rates.
1
2
Adjusting Speculative Profits for Risk 2
3
Regression Output

• Dependent Variable APRG1
• Method Least Squares
• Sample 21 100
• Included observations 80
• Variable Coefficient Std. Error
  t-Statistic Prob.  
• C 8.11E-05
  0.001251 0.064783 0.9485
• APRG1(-1) 0.094003 0.112941
  0.832314 0.4078
• R-squared 0.008803     
  Mean dependent var 0.000100
• Adjusted R-squared -0.003904      S.D.
  dependent var 0.011168
• S.E. of regression 0.011189     
  Akaike info criterion -6.123001
• Sum squared resid 0.009766      Schwarz
  criterion -6.063451
• Log likelihood 246.9201     
  F-statistic 0.692746
• Durbin-Watson stat 1.994409     
  Prob(F-statistic) 0.407773
• 
  
  3

4
6
5

Adjusting Speculative Profits for Risk 7
6
Regression Output

• Dependent Variable APRG1
• Method Least Squares
• Sample 21 100
• Included observations 80
• Variable Coefficient Std. Error
  t-Statistic Prob.  
• C 1.46E-05
  0.001256 0.011609 0.9908
• EX 0.186678
  0.232465 0.803035 0.4244
• R-squared 0.008200
  Mean dependent var 0.000100
• Adjusted R-squared -0.004516      S.D.
  dependent va 0.011168
• S.E. of regression 0.011193      Akaike
  info criterion -6.122393
• Sum squared resid 0.009772      Schwarz
  criterion -6.062842
• Log likelihood 246.8957     
  F-statistic 0.644866
• Durbin-Watson stat 1.859516     
  Prob(F-statistic) 0.424395
• 8