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John,
I think you are assuming that P*V normally stays fairly constant
so that if you cut the price in half the volume doubles. I haven't
done an extensive study, but I don't think that is necessarily true.
Also I believe that the data vendors adjust volume when they adjust
for splits, but I'm not sure that all do. Anyway, all I'm
looking for is heavier then usual volume to confirm that an up or down
move means something. I don't think that the moving average being
over a split time frame will unduly bias the results, but that is
something to investigate. As far as the 1.13 multiplier, that was
just something that seemed like a reasonable first guess. It needs to
be varied to see how it influences the results. We may find that
something like a 55% increase in volume is more meaningful.
Jim
-----Original Message-----
From: John Manasco <manasco@xxxxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Cc: Francois Martin <francoisma@xxxxxxxxx>
Date: Monday, August 24, 1998 12:03 PM
Subject: Re: PV Binary Wave
>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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