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Hi Jeff and others who wrote
Yes .. the data handling is a concern. The price chart on page 36 (Feb 00
TASC) uses something called "Percent of Average Yearly Price". This is not
defined. The chart shows the last 240 days of a contract that can have up to
600+ days.
Attached is a normalized (240 day high = 100, 240 day low = 0) SX close
price chart ... It looks pretty much like the 240 day chart in the article.
Normalized data is much easier to work with than averages.
Lots to talk about here ... will post 5 year slices over 30 years so that
you can see how mis-leading this 22 year chart can be. In XL, I normally use
a slider on my charts to view smaller groups of years on a chart. Very handy
for viewing 30 years of yearly price series.
I wonder if separating out the bull, bear and neutral years will affect the
trade analysis?
Best regards
Walter
----- Original Message -----
From: "Jeff Ledermann" <j.ledermann@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Sunday, May 14, 2000 7:30 PM
Subject: RE: Nov. Beans Seasonal Trade
| Yes - from Momsen's article. I tested it on each years contract
separately.
| Not meaningful on continuous data as Nov. isn't spot at that stage -
| and it doesn't show a profit on the continuous - made me think...
|
| > -----Original Message-----
| > From: owner-metastock@xxxxxxxxxxxxx
| > [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Walter Lake
| > Sent: Monday, 15 May 2000 11:57
| > To: metastock@xxxxxxxxxxxxx
| > Subject: Re: Nov. Beans Seasonal Trade
| >
| >
| > Hi Jeff
| >
| > This was from Momsen's article on November old beans (SX) seasonal
trade?
| >
| > Did you use a continuous contract or did you run your system test code
on
| > each year's SX contract?
| >
| > Best regards
| >
| > Walter
| >
|
Attachment Converted: "f:\eudora\attach\Normalized 1977 to 1998 SX Closes.gif"
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