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Fred,
Best way to explain is with examples. Let's say you're trading a
system that gives buy and sell signals from a price based indicator
and the (futures) contract's specifications are changed so that price
is now in dollars instead of cents. If the indicator and system are
dimensionally coherent, you'd get the same results trading the system
with the price quoted in dollars as you would with it in cents. In
stocks, the same concept applies to split adjusted data.
Eckhardt gives a great example in his article with Hans Hannula's
fractal efficiency indicator:
"Consider the following three-day price series:
Series 1: 50, 50.6, 50.8
Series 2: 52, 52.5, 52.4
The first has a fractal efficiency of 1.420..., while the second has a
slightly higher one of 1.425.... Now suppose we multiply all these
prices by 100, signaling a unit change from dollars to cents. In these
units, the first series (5000, 5060, 5080) has a fractal efficiency of
1.000..., but the second (5200, 5250, 5240) has a lower fractal
efficiency of 0.667.... Thus, fractal efficiency ranks these price
series in an irrational and incoherent manner."
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Mark,
>
> Can you explain what this means to you ?
>
> A system can be said to be dimensionally coherent if its results do
> not change even though the units of measure do.
>
> Fred
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