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Look for example at this 5-min ^NDX session chart.
It is very close to the ideal sinusoidal, it could be the academic
definition or a non-trendy session.
We know it now. We did not have any idea 8 h ago,only guesses perhaps.
At the peaks of the 10-12 units range, some people buy [to catch
the "trend"] and some people sell [to define the "range"].
This is the whole story [and this will be].
If we characterise the session as "trading", we refer always to the
past and we have no guarantee at all if the next session will be
extra trendy or not. We can only guess and, believe me, it is a hard
job that needs a lot of study...
DT
--- In amibroker@xxxxxxxxxxxxxxx, "gosub283" <gosub283@xxxx> wrote:
> Hi everyone,
>
> I think this issue will become more important
> over the next year or two.....
>
> When a human looks at a chart, he/she can
> immediately determine if a market is in
> a TRENDING mode or a RANGING mode.
> It is a most amazing feat of human visual
> data analysis that takes place in a matter
> of seconds. Trying to get computers to "visually"
> analize anything takes major computing power.
> Unfotunately computers and trading system have
> a much more difficult time of determining these
> market modes than us humans.
> Things become very "fuzzy" when trying to
> put the question of "Ranging vs. Trending" into
> mathamatical algorithms. And...of course.. the
> trading timeframe (long term vs. short term),
> make things even fuzzier. (is "fuzzier" a word ??)
>
> For those of us who program automated systems,
> this is especialy important because it means
> that we can design systems that adjust effortlessly
> between ranging and trending markets. If correctly
> identified, a system can use a particular set
> of indicators for Ranging markets and then switch
> to other indicators when a trend is determined.
> Allowing for a truly autonomous system.
>
> Has anyone found a way to mathamatically (reliably!)
> determine if a market is Trending or Ranging ???
> (An AFL algorithm perhaps)
> In other words, an indicator which can give direction
> as to which set of indicators to use.
> (A hypothetical example of such an indicator would
> have a response from 0=ranging to 10=Trending )
>
> Cheers,
> Gosub283
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