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But the simplistic explanation remains the same ... doesn't it ? The
simple and/or complex systems I write and trade could care less if
prices are factored up or down by 100.
--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> 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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