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Phsst,
A few disjointed thoughts.
1. Isn't the choice of RS method
subjective? One person has a short-term holding period, another a longer
term. One person places a high value on the most recent activity, another
considers all of the activity over the whole year.
2. Taking four successive quarters ROC and
doubling up on the last quarter should be the same (after averaging) as taking a
one-year period plus 20% of the last quarter, should it not?
3. Overlapping 3-, 6-, 9-, and 12-month
periods back from the current bar weights the most recent quarter so
heavily that the earliest quarter will have little effect.
4. ROC considers only the values of the first
and last bar of the period and ignores what happens in between. Wouldn't
linear regression be more appropriate, since it considers all data points within
the period?
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