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How do you intend to use the detrended price?
Usually it is used in cycle work. Is that what you are after?
I also wonder if there is much difference between
Aronson's results and the commonly used Close - (ma() or ref(ma()) or
linear regression) approach.
Bill
----- Original Message -----
Sent: Sunday, March 02, 2008 10:42
AM
Subject: Re: [AmiBroker] Re: Detruding...
log
Hi,
The rules doesn't matter. The goal of the
detrending is to verify if a rule has a positive or negative bias. One
has to substract the average daily log of a stock from the daily log
difference between two days and then apply the rules to the results. It
sounds complicated, but I think it is worth the trouble!
Louis
2008/3/2, Mr. Valley <valleymj@xxxxxxxxxxx>:
I have not read that
book.
What are the
rules?
Hi,
Do you think the two codes can do what Aronson recommands? I
mean: would I be able to backtest the detrended code to see how my rules
perform in it? If yes, how would you do
it?
Thanks!
Louis
2008/3/1, Mr. Valley <valleymj@xxxxxxxxxxx>:
Like
This?
Detrend = Close * log (Ref(O,-2)
/ Ref(O,-1)) - log(MA(C/Ref(C,-1),BarIndex()-1));
Plot (Detrend,"Detrended Returns",6,1);
Plot (0.00,"",2,1);
Anybody can help?
Thanks,
Louis
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx>
wrote:
>
> I am trying to build
a formula to "detrend" the market.
>
> What I want to set
is something like this
>
> Close of day 0 * ( log (open
day2/open day 1) - average log
return of
> every day of the
data available.
>
> Anybody can do that?
>
>
Thanks,
>
>
Louis
>
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