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Howard Hello,
I came across this message in a search (I have one of your books) and
I never knew that you were involved with Indigo... what was that like
and how many people worked on writing for a program like that? I will
only ask this question with the thought that the program is dead?
copywrite? Is it possible to duplicate MSX results using Amibroker?
(I liked that program....I paid way to much though for it) and last
did you know any of the salesmen.
thanks
Kim J
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxx>
wrote:
>
> Greetings --
>
> A message appeared on the Yahoo Indigo Investment Group, asking for
> information about a filter, called the Interest Rate Filter, that
the Indigo
> program contains. I am posting this response to that group and to
several
> other groups that might be interested. Apologies to readers who
receive
> more than one copy.
>
> I designed and wrote the original version of Indigo in 1996. I
cannot speak
> for the recent details of Indigo's Interest Rate Filter, but this
message
> describes a filter that may be similar to the one in Indigo in the
original
> (1996) implementation.
>
> Credit goes to work done by Mr. Heine and reported by Nelson
Freeburg in his
> Formula Research journal. I do not have my original notes, but I
am certain
> that Nelson Freeburg (800-720-1080) can supply interested readers
with back
> issues of his journal.
>
> As described by Heine and Freeburg, the filter is based on weekly
data of
> five indices: Dow Jones 20 Bond Index, Long Term Bond Yields, 13
Week T
> Bill Yield, Dow Jones Utility Index, and CRB Index. Score +1 when
the DJ20
> is above its 24 week Simple Moving Average. Score +1 when Long
Term Bond
> Yield is below its 6 week SMA. Score +1 when 13 Week Yield is
below its 6
> week SMA. Score +1 when the DJ Utility Index is above its 10 week
SMA.
> Score +1 when the CRB Index is below its 20 week SMA. Score 0 when
those
> conditions are not met. Add up the five scores. Allow Long
positions when
> the total score is +3 or higher, allow Short positions when the
total score
> is +2 or lower. The Heine Filter was designed to time the Dow
Jones 20 Bond
> Index.
>
> Prior to joining MicroStar / Indigo, I adapted Heine's work to use
daily
> data and later included it as one of the features of Indigo. The
equivalent
> Simple Moving Averages for daily data for the same data series
are: Dow
> Jones 20 Bond Index 17 days, Long Term Bond Yields 92 days, 13 Week
T Bill
> Yield 12 days, Dow Jones Utility Index 32 days, and CRB Index 246
days.
> Almost any combination of the five series using average periods
between 5
> and 250 days works well when used to time the Dow Jones 20 Bond
Index. It
> also worked well for many common stocks, particularly those with a
strong
> relationship to interest rates. It worked well for the S&P 500
index and
> the NASDAQ Composite index until about April 1999. It has not
worked well
> on the major market indices recently.
>
> The Dow Jones 20 Bond Index has always been quirky. Data for a
more stable
> index (the Dow Jones Corporate Bond Index) begins about January
2002. To
> bring the Heine filter up to date on daily data, replace the DJ 20
Bond
> Index with the Dow Jones Corporate Bond Index. For back testing,
you may
> need to splice together the earlier data from the DJ 20 Bond
Index. Then
> use Exponential Moving Averages with lengths 20, 150, 100, 100, and
200
> respectively in place of 17, 92, 12, 32, and 246. The resulting
filter is
> still not very good for the general stock indices, but it is a good
filter
> for long term interest rates and relate securities. The model is
very
> stable relative to the values of its parameters.
>
> I am sure some of you will be testing this filter and improving
upon it.
> Please copy me with your findings, or post them for all to read.
>
> Thanks,
> Howard Bandy
> howardbandy@xxx
> September 7, 2003
>
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