State Space-Time, The Finite Frontier was published on SeekingAlpha yesterday.
It discusses the concept of a state space which is part of a rather obscure area of game theory, which seems related to my research.
It introduces a state performance matrix derived from the structured lookback.
The xFBD on the top line means is the xSig value for SPY. The matrix shows the performance of each signal over the total 126 day period.
The CO column shows nice CO odds for xB both for the 3xBulls and Broad ETFs.
There is an interesting dimensionality issue going from the standard structured lookback presentation to the matrix. The study on top shows xSig status at the close of the to date. The matrix shows xSig through time.
I wrote the matrix as a prototype a few weeks ago and then tried to rewrite it more elegantly. Over about 20 hours, this proved too difficult, so I wound up improving the prototype instead.
Something this annoying has to be good, so I expect to be doing more work developing this.
