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Fred- If you want simplistic, I'll give you simple and simpler :-)
1. Simple. Apply Eckhardt's c-Test for dimensional coherency:
"In essence, the c-test transforms relevant formulas in an indicator
or system by multiplying every price term by a positive constant c (c
not equal to 1), while leaving nonprice terms the same. If the
transformed indicator or system gives the same indications or signals
as the original, then it has passed the c-test. If not, the
formulation in question is incoherent and depends unacceptably on the
units chosen."
2. Simpler. Make two test data files, one with actual data and the
second with the price terms multiplied by a constant not equal to 1.
put them in a single group and have AmiBroker do the work by comparing
indicators and test results on the two files.
You can use these tools to test your theory which, by the way, with
complex formulas, is not a simplistic approach :-)
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Correct me if I'm wrong, but in my wanting to think of things in
> simplistic terms what I get out of this is, if one constructs
systems
> based on geometric oriented relationships then the relationship is
> the same after the change as it was before but not so with devices
> constructed based on arithmetic relationships. This is roughly (
or
> more so ) equivalent to viewing charts based on a log scale .vs. on
> an arithmetic scale, the second of which by definition provides a
> distorted view.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> > 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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