|
PureBytes Links
Trading Reference Links
|
<SPAN
class=801404904-05032003>Rik,
Your
theory may have merit. One thing to consider however is that the view in your
bottom pane may be misleading. Note the difference in scale between red and
green. Adjusting one to reflect styleownscale dramatically changes the view.
Here is that view with a correlation study. In many cases the two appear to
correlate fairly strongly. There were only a few time the two seemed
to be inverse.
<SPAN
class=801404904-05032003>
<IMG
align=baseline alt="" border=0 hspace=0
src="gif00103.gif">
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Rik Rasmussen
[mailto:hrasmussen@xxxxxxxxx]Sent: Tuesday, March 04, 2003 10:57
PMTo: AmibrokerSubject: [amibroker]
ratios
Criticism
sought:
<SPAN
class=268242003-05032003>
<SPAN
class=268242003-05032003>
Here is a screenshot
of a concept I am working on in Amibroker.
<SPAN
class=268242003-05032003>
The bottom panel has
a red line and a green line. They are:
<SPAN
class=268242003-05032003>
Red
- DJX--X an index that is 1/100 of the DJIA.
Green -
TYX--X CBOE 30 yr treasury bond yield index
<SPAN
class=268242003-05032003>
You can see that the
bond yield is much less volatile than the Dow.
<SPAN
class=268242003-05032003>
When the Dow is
trending down, would it be good to move to bonds, until the relationship between
the two reverses and the Dow again outperforms the bonds?
<SPAN
class=268242003-05032003>
The top panel is a
ratio line of the two indexes. It does seem to be true that when the Dow is
declining with more momentum than the bond yield, the ratio line reflects
this.
<SPAN
class=268242003-05032003>
The yellow line
shows a recent trend of the ratio that seems to indicate the Dow had been
performing well. This trend line was recently broken as the Dow turned down and
bond yield remained relatively flatter.
<SPAN
class=268242003-05032003>
Often, what has
seemed apparent to me as an assumption proved to be totally flawed. I seek
comments on this idea of using ratio lines to compare instruments. The use of
ratio lines is demonstrated in Murphy's book The Visual
Investor.
<SPAN
class=268242003-05032003>
<SPAN
class=268242003-05032003>
<IMG align=baseline
alt="" border=0 hspace=0 src="png00056.png">
<SPAN
class=268242003-05032003>
<SPAN
class=268242003-05032003>
Rik RasmussenStock Analyzer mailing list moderator<A
href=""
target=_blank>http://groups.yahoo.com/group/stockanalyzer/ Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Attachment:
Description: ""
Attachment:
Description: ""
|