[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [AmiBroker] Re: Detruding... log



PureBytes Links

Trading Reference Links

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?
 
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of Louis Préfontaine
Sent: Sunday, March 02, 2008 8:02 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [AmiBroker] Re: Detruding... log

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);
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of louisprefontaine
Sent: Saturday, March 01, 2008 4:19 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Detrending... log

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
>




No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.516 / Virus Database: 269.21.2/1304 - Release Date: 2/29/2008 8:18 AM
__._,_.___

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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html




Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___