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Re: Time Series Forecast Formula



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Thanks, Robert......I will play with this.

  Best wishes,
      Adam Hefner.
VonHef@xxxxxxxxxxxxx

---------------------------------------
----- Original Message -----
From: Robert Lambert <lambertb1@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Wednesday, May 12, 1999 8:59 AM
Subject: Re: Time Series Forecast Formula


> 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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