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Greater net profits were observed from long trades (buys), relative to short ones (sells), perhaps due to false breakouts on the short side occasioned by the constant decay in futures prices as contracts neared expiration Another explanation is that commodity prices are usually more driven by crises and shortages than by excess supply As with many breakout systems, the percentage of winners was small (43%) with large profits from the occasional trend compensating for frequent small losses Some may find it hard to accept a system that takes many losing trades while waiting for the big winners that make it all worthwhile Portfolio equity for the best in-sample look-back rose steadily both in- and out-of-sample; overoptimization was not au issue The equity curve suggests a gradual increase in market efficiency over time, ie, these systems worked better in the past.



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In addition to these tracking bytes, the Line Overhead includes bytes that monitor the integrity of the network and have the ability to effect a switch to a backup transmission span if a failure in the primary span occurs, as well as another bit-error checking byte, a robust channel for transporting network management information, and a voice communications channel that allows technicians at either end of a the line to plug in with a handset (sometimes called a butt-in, or buttinski) and communicate while troubleshooting The final step in the process is to add a layer of overhead that allows the intermediate repeaters to find the beginning of, and synchronize, a received frame.





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This overhead, called the Section Overhead, contains a unique initial framing pattern at the beginning of the frame, an identifier for the payload signal being carried, another bit-error check, a voice communications channel, and another dedicated channel for network management information, similar to, but smaller than, the one identified in the Line Overhead The result of all this overhead, much of which seems like overkill (and in many peoples minds is), is that the transmission of a SONET frame containing user data can be identified and managed with tremendous granularity from the source all the way to the destination So, to summarize, the hard little kernel of DS3 traffic is gradually surrounded by three layers of overhead information, as shown in Figure 353, that help it achieve its goal of successfully transiting the network.

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However, the simple channel breakout can still extract good money from the markets Or can it Remember Test 1 was executed without transaction costs The next simulation includes slippage and commissions Test 2: Close-Only Channel Breakout with Entry at Next Open, Transaction Costs Assumed This test is the same as the previous one except that slippage (three ticks) and commissions ($15 per round turn) are now considered While this breakout model was profitable without transaction costs, it traded miserably when realistic costs were assumed Even the best in-sample solution had negative returns (losses); as might be expected, losses continued in the out-of-sample period Why should relatively small commission and slippage costs so devastate profits when, without such costs, the average trade makes thousands of dollars Because, for many markets, trades involve multiple contracts, and slippage and commissions occur on a per-contract basis.

System.Windows.Input; System.Windows.Media; System.Windows.Media.Animation; System.Windows.Shapes;

The Section Overhead is used at every device the signal passes through, including multiplexers and repeaters; the Line Overhead is only used between multiplexers; and the information contained in the Path Overhead is only used by the source and destination multiplexers the intermediate multiplexers don t care about the specific nature of the payload, because they don t have to terminate or interpret it..

Downloaded from Digital Engineering Library @ McGraw-Hill (www.digitalengineeringlibrary.com) Copyright 2004 The McGraw-Hill Companies. All rights reserved. Any use is subject to the Terms of Use as given at the website.

Again, long trades and longer look-backs were associated with higher profits The model was mildly profitable in the 1980s but lost money thereafter Considering the profitable results of the previous test, it seems the model became progressively more unable to overcome the costs of trading When simple computerized breakout systems became the rage in the late 198Os, they possibly caused the markets to become more efficient..

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