PureBytes Links
Trading Reference Links
|
I cannot comment on the suitability of either approach other than to
say that Aronson uses a fixed adjustment accross all bars in the
period under evaluation. The value of which was calculated from only
those bars being evaluated.
Specifically, the average market return of the period being evaluated
is deducted from each bar, whereas using a moving average (or linar
regression?) would be subtracting a rolling average.
The strategy returns are then calculated by adding the detrended
market return for the day, when long, or subtracting it, when short.
The strategy returns are then compared to the market returns. A
perfect system would be long for all postive return days and short
for all negative return days. At least, that is how I interpretted
the book.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <timesarrow@xxx>
wrote:
>
> 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 -----
> From: Louis Préfontaine
> To: amibroker@xxxxxxxxxxxxxxx
> 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@xxx>:
>
> 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@xxx>:
>
> 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@>
> 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
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|