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A license is hereby granted to reproduce this software source code and
to create executable versions from this source code for personal,
non-commercial use.  The copyright notice included with the software
must be maintained in all copies produced.

THIS PROGRAM IS PROVIDED "AS IS". THE AUTHOR PROVIDES NO WARRANTIES
WHATSOEVER, EXPRESSED OR IMPLIED, INCLUDING WARRANTIES OF
MERCHANTABILITY, TITLE, OR FITNESS FOR ANY PARTICULAR PURPOSE.  THE
AUTHOR DOES NOT WARRANT THAT USE OF THIS PROGRAM DOES NOT INFRINGE THE
INTELLECTUAL PROPERTY RIGHTS OF ANY THIRD PARTY IN ANY COUNTRY.

Copyright (c) 1997-2002, John Conover, All Rights Reserved.

Comments and/or bug reports should be addressed to:

    john@johncon.com (John Conover)

    http://www.johncon.com/ntropix/
    http://www.johncon.com/

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File inventory:

    MANIFEST this file.

    Makefile is the makefile script that executes the regression test
    suite for the tsinvest programs.

    README is a general description of the regression test suite for
    the tsinvest programs.

    non-volatile.data, a test file for tsinvestsim(1), of a market
    with 300 equities, with too little volatility, ie., rms < 2P - 1,
    with Shannon probabilities, P, ranging, in a linear fashion, from
    0.51 to 0.51299. (Real markets go from about 0.505 to 0.560, or
    so, and are typically, non-volatile.)  The volatility is 50% too
    low.

    non-volatile.equal.antipersistent.data, a test file for
    tsinvestsim(1), of a market with 300 equities, with too little
    volatility, ie., rms < 2P - 1, with Shannon probabilities, P,
    identical, and equal to 0.51, and an antipersistence, H, ranging,
    in a linear fashion, from 0.4 to 0.5. (Real markets have Shannon
    probabilities that go from about 0.505 to 0.560, or so, and
    antipersistences running from about 0.400 to 0.500, or so.) The
    volatility is 50% too low. This is a good "bear" market
    simulation.

    non-volatile.equal.data, a test file for tsinvestsim(1), of a
    market with 300 equities, with too little volatility, ie., rms < 2P
    - 1, with Shannon probabilities, P, identical, and equal to
    0.51. (Real markets go from about 0.505 to 0.560, or so.) The
    volatility is 50% too low. This is a good "bear" market
    simulation.

    non-volatile.equal.persistent.data, a test file for
    tsinvestsim(1), of a market with 300 equities, with too little
    volatility, ie., rms < 2P - 1, with Shannon probabilities, P,
    identical, and equal to 0.51, and a persistence, H, ranging, in a
    linear fashion, from 0.5 to 0.6. (Real markets have Shannon
    probabilities that go from about 0.505 to 0.560, or so, and
    persistences running from about 0.500 to 0.650, or so.) The
    volatility is 50% too low. This is a good "bear" market
    simulation.

    optimal.data, a test file for tsinvestsim(1), of a market with 300
    equities, all optimal, ie., rms = 2P - 1, with Shannon
    probabilities, P, ranging, in a linear fashion, from 0.51 to
    0.51299. (Real markets go from about 0.505 to 0.560, or so.)

    optimal.equal.antipersistent.data, a test file for tsinvestsim(1),
    of a market with 300 equities, all optimal, ie., rms = 2P - 1, with
    Shannon probabilities, P, identical, and equal to 0.51, and a
    antipersistence, H, ranging, in a linear fashion, from 0.4 to
    0.5. (Real markets have Shannon probabilities that go from about
    0.505 to 0.560, or so, and antipersistences running from about
    0.400 to 0.500.)

    optimal.equal.data, a test file for tsinvestsim(1), of a market
    with 300 equities, all optimal, ie., rms = 2P - 1, with Shannon
    probabilities, P, identical, and equal to 0.51. (Real markets go
    from about 0.505 to 0.560, or so.)

    optimal.equal.persistent.data, a test file for tsinvestsim(1), of
    a market with 300 equities, all optimal, ie., rms = 2P - 1, with
    Shannon probabilities, P, identical, and equal to 0.51, and a
    persistence, H, ranging, in a linear fashion, from 0.5 to
    0.6. (Real markets have Shannon probabilities that go from about
    0.505 to 0.560, or so, and persistences running from about 0.500
    to 0.650.)

    volatile.data, a test file for tsinvestsim(1), of a market with
    300 equities, all too volatile, ie., rms > 2P - 1, with Shannon
    probabilities, P, ranging, in a linear fashion, from 0.51 to
    0.51299. (Real markets go from about 0.505 to 0.560, or so, and
    are typically, non-volatile, but some equities exhibit volatility.)
    The volatility is 50% too high.

    volatile.equal.antipersistent.data, a test file for
    tsinvestsim(1), of a market with 300 equities, all too volatile,
    ie., rms > 2P - 1, with Shannon probabilities, P, identical, and
    equal to 0.51, and a antipersistence, H, ranging, in a linear
    fashion, from 0.4 to 0.5. (Real markets have Shannon probabilities
    that go from about 0.505 to 0.560, or so, and antipersistences
    running from about 0.400 to 0.500, or so.)  The volatility is 50%
    too high.

    volatile.equal.data, a test file for tsinvestsim(1), of a market
    with 300 equities, all too volatile, ie., rms > 2P - 1, with Shannon
    probabilities, P, identical, and equal to 0.51. (Real markets go
    from about 0.505 to 0.560, or so.)  The volatility is 50% too
    high.

    volatile.equal.persistent.data, a test file for tsinvestsim(1), of
    a market with 300 equities, all too volatile, ie., rms > 2P - 1,
    with Shannon probabilities, P, identical, and equal to 0.51, and a
    persistence, H, ranging, in a linear fashion, from 0.5 to
    0.6. (Real markets have Shannon probabilities that go from about
    0.505 to 0.560, or so, and persistences running from about 0.500
    to 0.650, or so.)  The volatility is 50% too high.

    crash-up.data, a test file for tsinvestsim(1), of a deteriorating
    market with 300 equities, simulating the US equity markets for 3,254
    trading days between 15 August, 1921, and 6 June, 1932,
    inclusive. During the 2,401 trading day period between 15 August,
    1921 and 7 September, 1929, the US equity markets had a
    substantial gain of about 5.7X in value, (DJIA values of 66.02 to
    375.44.) During the 853 trading day period between 7 September,
    1929, and 6 June, 1932, the markets had a significant reversal,
    loosing about 90% of their 7 September, 1929 value, (DJIA values
    of 375.44 to 42.68,) for about a 30% loss on the decade 1921-1931,
    and did not regain their 7 September, 1929 values until mid 1956.

    crash-down.data, a test file for tsinvestsim(1), machine generated
    from the crash-up.data file. The file crash-up.data represents the
    escalation in equity values, from 1921 on, and the file
    crash-down.data represents the deterioration in equity values,
    from 1929 on.

    stocks.data, a test file for tsinvestsim(1), of a market with 454
    equities. This file was generated by dumping the internal data
    structures of the tsinvest(1) program after it had completed
    execution of the file "stocks", (a daily fragment of the American
    stock exchanges, consisting of 454 equities, from January 1, 1993,
    to June 6, 1996, as supplied by
    http://www.ai.mit.edu/stocks.html,) using the -r option, to make a
    new file for tsinvestsim(1).

    losers.data, a test file for tsinvest(1), of a market with 49
    equities, all decreasing in value. This file was generated by
    dumping the internal data structures of the tsinvest(1) program
    after it had completed execution of the file "stocks", (a daily
    fragment of the American stock exchanges, consisting of 454
    equities, from January 1, 1993, to June 6, 1996, as supplied by
    http://www.ai.mit.edu/stocks.html,) using the -r option, (the -p
    -P options were used, also,) to make a new file for tsinvest(1).

John Conover
john@johncon.com
June 7, 2002
