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Jim
First, I appreciate your sharing the building of a system with the list.
The process of building a system is as important as the result and more
helpful to most of us on the list as it provides insight into the
thought process that goes into building a system.
I have some confusion about volume although I rely on it in my own
explorations. Take DELL for instance. DELL split 2 for 1 last December
and will split again next month. I'm not sure of the exact times it
split. So now you have four times the volume because of splits and not
because of an increase in purchasing interest. And now an indicator that
looks at one year of volume will be skewed.
For your system what happens when you compare the 2 day moving average
to the 21 day moving average on a day where the 21 day ma spans the
split date? I guess this is just one of those funneymental pieces of
data that I can't program into my system, I just have to know it.
How did you arrive at the 1.13 constant multiplier? Good guess or did
you do it through optimization?
Is there any way we can quantify the strength of the move? Maybe some
ranking procedure that could rank the moves with the ROC indicator. This
assumes that the strength of a move is meaningful to trade selection.
Maybe it's not.
I hope others will join in on this process. It's very beneficial to all
of us.
John Manasco
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