A Refined MACD Indicator – Evidence against the Random Walk Hypothesis?

Rigorous testing of the widely used MACD indicator results in a surprisingly low success rate of 32.73% for the individually tested NASDAQ- 100 stocks over a 10-year period. This study derives two methods, which address the shortcomings of the MACD indicator. The methods are tested outof-sample to address data-snooping concerns, i.e. to reduce the chance of falsely rejecting the null-hypothesis of no predictability. One version of the second derived method, named MACDR2, results in a success-rate of 89.39%. The performance of method MACDR2 is positively correlated to the volatility of the stock and can be enhanced with option trading. However, the risk-adjusted Sharpe ratio, which is highly sensitive to the implied volatility used in the Black-Merton model, shows mixed results. Shorter or longer exponential moving averages do not improve the success rate of the traditional MACD indicator. Yet the success rate of method MACDR2 is slightly positively correlated to longer exponential moving averages.Most versions of the method MACR2 outperform the benchmark of holding a riskless security, the Treasury bond and holding the underlying asset, the NASDAQ-100. Thus, this study provides evidence against the Random Walk Hypothesis. However, the results are weakened significantly, if transaction costs and maximum trading constraints are incorporated in the study

Clinical Conditions “Suggestive of Progressive Supranuclear Palsy”—Diagnostic Performance

Background: The Movement Disorder Society diagnostic criteria for progressive supranuclear palsy introduced the diagnostic certainty level “suggestive of progressive supranuclear palsy” for clinical conditions with subtle signs, suggestive of the disease. This category aims at the early identification of patients, in whom the diagnosis may be confirmed as the disease evolves. Objective: To assess the diagnostic performance of the defined clinical conditions suggestive of progressive supranuclear palsy in an autopsy-confirmed cohort. Methods: Diagnostic performance of the criteria was analyzed based on retrospective clinical data of 204 autopsy-confirmed patients with progressive supranuclear palsy and 216 patients with other neurological diseases. Results: The conditions suggestive of progressive supranuclear palsy strongly increased the sensitivity compared to the National Institute of Neurological Disorders and Stroke and Society for Progressive Supranuclear Palsy criteria. Within the first year after symptom onset, 40% of patients with definite progressive supranuclear palsy fulfilled criteria for suggestive of progressive supranuclear palsy. Two-thirds of patients suggestive of progressive supranuclear palsy evolved into probable progressive supranuclear palsy after an average of 3.6 years. Application of the criteria for suggestive of progressive supranuclear palsy reduced the average time to diagnosis from 3.8 to 2.2 years. Conclusions: Clinical conditions suggestive of progressive supranuclear palsy allow earlier identification of patients likely to evolve into clinically possible or probable progressive supranuclear and to have underlying progressive supranuclear palsy pathology. Further work needs to establish the specificity and positive predictive value of this category in real-life clinical settings, and to develop specific biomarkers that enhance their diagnostic accuracy in early disease stages

The Unified Multiple System Atrophy Rating Scale: Status, Critique, and Recommendations

: The Unified Multiple System Atrophy (MSA) Rating Scale was developed to provide a surrogate marker of disease severity and clinical progression in patients with MSA. It is comprised of four subscales: UMSARS-I (12 items) rates patient-reported functional disability; UMSARS-II (14 items) assesses motor impairment based on a clinical examination; UMSARS-III records blood pressure and heart rate in the supine and standing positions; and UMSARS-IV (1 item) rates chore-based disability. Strengths of the UMSARS include its wide acceptance in the field, the comprehensive coverage of motor symptoms and its clinimetric properties (including reliability and validity). However, with its increasing use, potential areas of improvement in the UMSARS have become apparent. To address these limitations, a task force, involving clinicians, researchers, patient groups, and industry representatives, has recently been endorsed by the International Parkinson’s Disease and Movement Disorders Society. The present viewpoint summarizes strengths and weaknesses of the UMSARS and suggests a roadmap to develop an improved MSA clinical outcome assessment

A Modified Progressive Supranuclear Palsy Rating Scale

Background: The Progressive Supranuclear Palsy Rating Scale is a prospectively validated physician-rated measure of disease severity for progressive supranuclear palsy. We hypothesized that, according to experts' opinion, individual scores of items would differ in relevance for patients' quality of life, functionality in daily living, and mortality. Thus, changes in the score may not equate to clinically meaningful changes in the patient's status. Objective: The aim of this work was to establish a condensed modified version of the scale focusing on meaningful disease milestones. Methods: Sixteen movement disorders experts evaluated each scale item for its capacity to capture disease milestones (0 = no, 1 = moderate, 2 = severe milestone). Items not capturing severe milestones were eliminated. Remaining items were recalibrated in proportion to milestone severity by collapsing across response categories that yielded identical milestone severity grades. Items with low sensitivity to change were eliminated, based on power calculations using longitudinal 12-month follow-up data from 86 patients with possible or probable progressive supranuclear palsy. Results: The modified scale retained 14 items (yielding 0–2 points each). The items were rated as functionally relevant to disease milestones with comparable severity. The modified scale was sensitive to change over 6 and 12 months and of similar power for clinical trials of disease-modifying therapy as the original scale (achieving 80% power for two-sample t test to detect a 50% slowing with n = 41 and 25% slowing with n = 159 at 12 months). Conclusions: The modified Progressive Supranuclear Palsy Rating Scale may serve as a clinimetrically sound scale to monitor disease progression in clinical trials and routine

Vampires in the village Žrnovo on the island of Korčula: following an archival document from the 18th century

Središnja tema rada usmjerena je na raščlambu spisa pohranjenog u Državnom arhivu u Mlecima (fond: Capi del Consiglio de’ Dieci: Lettere di Rettori e di altre cariche) koji se odnosi na događaj iz 1748. godine u korčulanskom selu Žrnovo, kada su mještani – vjerujući da su se pojavili vampiri – oskvrnuli nekoliko mjesnih grobova. U radu se podrobno iznose osnovni podaci iz spisa te rečeni događaj analizira u širem društvenom kontekstu i prate se lokalna vjerovanja.The main interest of this essay is the analysis of the document from the State Archive in Venice (file: Capi del Consiglio de’ Dieci: Lettere di Rettori e di altre cariche) which is connected with the episode from 1748 when the inhabitants of the village Žrnove on the island of Korčula in Croatia opened tombs on the local cemetery in the fear of the vampires treating. This essay try to show some social circumstances connected with this event as well as a local vernacular tradition concerning superstitions

Larger than One Probabilities in Mathematical and Practical Finance of Canada

Abstract: Traditionally probability is considered as a function that takes values in the interval [0, JEL Classifications: C10, G15, E22, E43, F3

Outperform the Dow : using options, futures, and portfolio strategies to beat the market

xiv, 210 p. : ill. ; 24 cm

A Model for a Fair Exchange Rate

Financial markets have developed formulas and models to derive fair values for bonds, futures, swaps, options and other securities. This model derives a fair value of an exchange rate, which might be used as a benchmark for a long-term equilibrium level to stabilize currency markets. The model is based on the value-added tax adjusted purchasing power parity exchange rate. This rate is then modified by five components: the macro-economic component, the foreign currency reserve component, the debt component, the interest rate component, and the political stability/leadership component. With respect to the American dollar, the model shows that the Euro and the Japanese Yen are overvalued compared to its current exchange rate, while the Brazilian Real, the Russian Ruble, the Chinese Yuan and the Australian dollar are currently undervalued.Exchange rate, fair value, evaluation model