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Re: Time Series Forecast Formula



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Adam:

Construct a 3 period TRIX, then construct an 8 period Time Series
Forecast of the 3 period TRIX(as a trigger ). Per the article's author,
in many cases the crossing of these two lines will lead short term
price moves, sometimes by a couple of days. 

The author seems to recommend as a possible standalone trading vehicle,
but I was looking at it more from the standpoint of an "early warning
system" for open positions. 

If you decide to play with it, let me know your opinion.

--- VonHef <VonHef@xxxxxxxxxxxxx> wrote:
> Robert,
>  I haven't read that article, but if you find
> anything of value.....
> please pass it along <G>.
> 
>   Best wishes,
>       Adam Hefner.
> VonHef@xxxxxxxxxxxxx
> 
> ---------------------------------------
> ----- Original Message -----
> From: Robert Lambert <lambertb1@xxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Tuesday, May 11, 1999 7:25 PM
> Subject: Re: Time Series Forecast Formula
> 
> 
> > Thanks, Adam.
> >
> > I mistakenly thought the data array for
> > Metastock TSF formula was limited to price fields.
> >
> > I'm playing around with using Trix and TSF of
> Trix, to
> > see how well crossovers lead prices, per the TASC
> article "Playing
> > Trix" (June 1997).
> >
> > Thanks again for pointing out my
> over-complication.
> >
> > --- VonHef <VonHef@xxxxxxxxxxxxx> wrote:
> > > Hi Robert,
> > >  What version of MetaStock are you using? The
> reason
> > > I ask
> > > is that 6.5 has the TSF built-in. Here is the
> format
> > > to use it:
> > >                              tsf( DATA ARRAY,
> > > PERIODS )
> > > Would this work for you?
> > >
> > >   Best wishes,
> > >       Adam Hefner.
> > > VonHef@xxxxxxxxxxxxx
> > >
> > > ---------------------------------------
> > > ----- Original Message -----
> > > From: Robert Lambert <lambertb1@xxxxxxxxx>
> > > To: <metastock@xxxxxxxxxxxxx>
> > > Sent: Tuesday, May 11, 1999 9:07 AM
> > > Subject: Time Series Forecast Formula
> > >
> > >
> > > > All:
> > > >
> > > > I would like to know if the following formula
> > > (taken from Equis
> > > > website) is actually the formula for the Time
> > > Series Forecast, or a
> > > > modified formula which is simply using the
> Time
> > > Series Forecast as part
> > > > of it's computation.
> > > >
> > > > I'm asking because I'd like to setup a Time
> Series
> > > Forecast of an
> > > > indicator as a crossover trigger, rather than
> use
> > > a moving average. So,
> > > > if I plug an indicator into the below
> referenced
> > > formula( in place of
> > > > the close value), will this particular formula
> > > actually give me the
> > > > Time Series Forecast of the indicator, or will
> it
> > > give me something
> > > > modified?
> > > >
> > > > Thanks in advance for feedback.
> > > >
> > > >
> > > >
> > > > The End Point Moving Average was introduced in
> the
> > > October 95 issue of
> > > > Technical Analysis of Stocks & Commodities in
> the
> > > article "The End
> > > > Point Moving Average", by Patrick E. Lafferty.
> > > > The exact formula for the End Point Moving
> average
> > > is as follows:
> > > >
> > > > ( 14 * Sum( Cum( 1 ) * C,14 ) - Sum( Cum( 1
> ),14)
> > > * Sum( C,14) ) / (14
> > > > * Sum( Pwr( Cum( 1 ),2),14 ) - Pwr( Sum( Cum(
> 1
> > > ),14 ),2 ) ) * Cum( 1 )
> > > > + (Mov(C,14,S) - Mov( Cum( 1 ),14,S) * (14 *
> Sum(
> > > Cum( 1 ) * C,14) -
> > > > Sum( Cum( 1 ),14 ) * Sum( C,14) ) / (14 * Sum(
> > > Pwr( Cum( 1 ),2 ),14) -
> > > > Pwr( Sum( Cum( 1 ),14 ),2 ) ) )
> > > >
> > > > The above formula plots the last value of a
> linear
> > > regression line of
> > > > the previous 14 periods. The Time Series
> Forecast
> > > takes this value and
> > > > the slope of the regression line to forecast
> the
> > > next day and then
> > > > plots this forecasted price as today's value.
> > > >
> > > >
> > > >
> > > >
> > >
> _________________________________________________________
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> > >
> > >
> > >
> >
> >
> _________________________________________________________
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> 
> 
> 
> 

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