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I was reviewing some of my work ... an item jumped
at me and I'd like to open it up for comments / discussion.
I had some tests using
"ExpandFirst" to decompress weekly data on daily
chart,
that produced significantly better results that
when I used "ExpandLast".
There was some posting a while back why
it is inapropriate to use "ExpandFirst". Specifically that the
value of array on Friday is assummed to be known from beginning of
week.
A little bit of philosophy here ...
Granted that "ExpandFirst" does
assume we know values for Friday from Monday's data ... BUT is that
necessarily a bad thing. Why can we not look at it as "advanced
forsight"?
My thinking is that if we get an improvement in
prices early in the week, statistically they will be somewhat reflected at the
end of the week also, so that using those prices with
"ExpandFirst" is "more right" than "wrong".
Using Multiple time frames (weekly AND daily)
should insure that the statistical edge mentioned above will likely be true
because it is unlikely that a trade signal will be generated erroneously from
both daily and weekly timeframes.
Appreciate your thoughts.
Ara
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