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I went to a presentation a couple of years ago by a small hedge fund I
believe was based out of Austin who uses the angle of the move as part
of their position sizing formula in one of their momentum strategies. I
thought it was an interesting concept but I have never got around to
testing its validity. Might be some merit to it. If I can dig up my
notes and I will see if I wrote down any additional comments that might
be applicable and post them if there is any interest.
Regards,
Duke Jones, CMT
sebastiandanconia wrote:
> In one respect, I shot my mouth off before fully understanding that
> drawing lines using linregslope isn't the same as simply drawing lines
> "freehand," whether it's with pencil and paper or with computer
> graphics. Sincere apologies.:)
>
> There's still the issue of how important the angle really is. Even if
> using linregslope yields angles that are consistent without regard to
> scaling, that's interesting from a trig standpoint but from a trading
> standpoint, so what?
>
>
> Luck,
>
> Sebastian
>
>
> ---- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxx> wrote:
>
>> Yes ...
>>
>> The angle is a relation of rise ( Price ) over run ( Time )
>>
>> When rise is measured in terms of percent or log10 of price there
>> will be no change in the angle after a split ... Percentage or log10
>> based moves in price are really the only reasonable way to measure
>> them any way ... or chart them for that matter ... this is for the
>> same reason that CAR is calculated the way it is i.e Total Gain ^ (
>> 1 / Number of Years ) as opposed to something that typically gets
>> referred to as ANN and has a formula like Total Gain / Number of
>> Years ... The latter is at least imho a semi meaningless statistic.
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
>> <quanttrader714@> wrote:
>>
>>> Would you agree there's a problem if the slope changes when the
>>>
>> stock
>>
>>> splits?
>>>
>>> --- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@> wrote:
>>>
>>>> Don't apologize but you're not bursting my bubble, yet! ( but I'm
>>>>
>>> open to
>>>
>>>> having it deflated).
>>>> I've heard this knock off before and let's put it to bed if we
>>>>
>> can.
>>
>>>> Did you try zooming the chart? Both x and y? Surely the slope
>>>>
>> of the
>>
>>>> plotted line
>>>> changes as you move both the x, abscissa and the ordinate, price,
>>>>
>>> but the
>>>
>>>> calculated
>>>> values of the slope from using linregslope does not. I think of
>>>>
>> the
>>
>>> slope
>>>
>>>> as representative of the rate of change of
>>>> that price (or other) array. I don't know what Eckhardt said or
>>>>
>> in
>>
>>> what
>>>
>>>> context he said it. Maybe
>>>> he was talking about using pencil and paper. There the scaling on
>>>>
>>> the chart
>>>
>>>> would make a difference.
>>>>
>>>> Also, you have to ask yourself, why would Tomasz have coded a
>>>>
>>> linregslope
>>>
>>>> function, or Dimitris Tsokakis and others
>>>> used it so frequently in their work on the forum? In my
>>>>
>> collection
>>
>>> alone of
>>>
>>>> valued AFL clips I get 200 hits by many different
>>>> users of this board.
>>>>
>>>> Best regards
>>>> JOE
>>>>
>>>>
>>>> ----- Original Message -----
>>>> From: "sebastiandanconia" <sebastiandanconia@>
>>>> To: <amibroker@xxxxxxxxxxxxxxx>
>>>> Sent: Thursday, August 24, 2006 9:31 AM
>>>> Subject: [amibroker] Re: Never Took Trigonometry
>>>>
>>>>
>>>>
>>>>> I apologize for bursting your bubble, but angles are not going
>>>>>
>> to be a
>>
>>>>> consistent measure. If the scale of the chart changes so does
>>>>>
>> the
>>
>>>>> angle, even if the price data and timeframe are precisely the
>>>>>
>> same.
>>
>>>>> Trendlines that connect highs/lows, however, are consistent
>>>>>
>> regardless
>>
>>>>> of scale. In "The New Market Wizards" mathmatician William
>>>>>
>> Eckhardt
>>
>>>>> explains why methods based on angles are fallacious, but
>>>>>
>> methods based
>>
>>>>> on trendlines are more legitimate.
>>>>>
>>>>>
>>>>> Luck,
>>>>>
>>>>> Sebastian
>>>>>
>>>>> --- In amibroker@xxxxxxxxxxxxxxx, "Charles J. Dudek" <trader@>
>>>>>
>> wrote:
>>
>>>>>> I don't know how to convert a slope value (LinRegSlope) to an
>>>>>>
>> angle.
>>
>>>>>> I took a line from the Woodie's CCI script and converted it,
>>>>>>
>> but I
>>
>>>>>> don't think it's right.
>>>>>>
>>>>>> PI = atan(1.00) * 4;
>>>>>> angle = round(180 * acos(1/LinRegSlope(C,sp)) / PI);
>>>>>>
>>>>>> Chuck Dudek
>>>>>>
>>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>> Please note that this group is for discussion between users
>>>>>
>> only.
>>
>>>>> To get support from AmiBroker please send an e-mail directly to
>>>>> SUPPORT {at} amibroker.com
>>>>>
>>>>> For other support material please check also:
>>>>> http://www.amibroker.com/support.html
>>>>>
>>>>>
>>>>> Yahoo! Groups Links
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>>>>>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
>
>
>
>
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