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Re: [amibroker] Re: Corr Matrix via Gfx functions



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Can you please mail me that paper of the Nyse100 stocks Nicolas ...
 
Regards, Ton.
 
----- Original Message -----
Sent: Tuesday, May 29, 2007 6:13 PM
Subject: [amibroker] Re: Corr Matrix via Gfx functions


> Alternatively, you may export your time series to a txt file and

Sorry, forgot to say that you have to discretize the time series (or
better the returns), e.g. using 8 values, then you generate random
time series using the same alphabet of 8 values.
If you don't discretize in such a way that all letters have the same
frequency, then it is better to use shuffled versions of the original
(discretized) time series.

Btw, on the NYSE100 stocks (EOD data), I found no correlation at all
between predictability of the time series and profitability of TA (if
anyone is interested by the paper, just drop me a mail), but I might
not have tested the right TA rules ..

Regards,

Nicolas


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