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Thanks for your comments. I too have been recently trying R-Squared.
I found your comments very helpful and confirm my thoughts on the use
of R-Squared. Chande's book outlines it's use, compares it with ADX and
suggests that it may be superior to ADX in defining trends.
On your AMD re-entry are you suggesting that since R-Squared has
not fallen below .8 that the previous HHV for your trade represents
a kind of support level?
Malcolm.
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Al Taglavore
Sent: Monday, February 05, 2001 3:49 PM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Trendiness or Congestion measurement - r-squared +
Linearregression Slope
B>(1) What do you mean by a "13 period slope"? A moving average? Or
something
> else
13 Period Linear Regression Slope (listed in MS indicator list)
B> (2) I trade primarily Cdn stocks. What exchange is DD? I'd like to
download
> it and see what you're talking about.
NYSE. DD is the symbol for Dupont Corp.
B> (3) Could you give an example of this trading technique with going long?
See AMD (NYSE) with the slope rising 1-2, and the first close above the
high of 1-4 occuring on 1-11 (my entry was on the close). My exit was 2-1
when the new high was made and the stock traded below the high of the
previous period.
I am looking for a re-entry on this stock if the high of 1-18 (22.68) is
tested but not violated AND slope begins to rise from this level. (Touched
22.96 at 13:45 EST and has risen to 24.02 today, but I was not at my
screen. Perhaps EOD chart will give a signal within the next day or two.
Perhaps not).
Al Taglavore
----------
> From: Bob Webb <Webb.Bob@xxxxxxxx>
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Trendiness or Congestion measurement - r-squared +
Linearregression Slope
> Date: Monday, February 05, 2001 12:49 PM
>
> Al,
> (1) What do you mean by a "13 period slope"? A moving average? Or
something
> else?
>
> (2) I trade primarily Cdn stocks. What exchange is DD? I'd like to
download
> it and see what you're talking about.
>
> (3) Could you give an example of this trading technique with going long?
>
> Thanks.
>
> Bob.
>
>
> At 09:56 AM 05/02/01 -0600, you wrote:
> >Yes, I think of Slope as the direction. The value indicates the degree
of
> >advance/decline. R-squared is a measurement or "presence of trend", as
I
> >use it. I just completed a trade on DD that could paint a picture to
aid
> >in interpretation. If you will pull up the chart DD, open a 23 period
> >r-squared indicator
> >(I use the oscillator style of display), then overlay a 13 period slope
> >(line display), observe the period around 12/29. You will see how the
> >slope began the decline while "r" was still at a high value. When "r"
> >began to weaken, with Slope still in a downward movement, the first
close
> >below the lowest low of that period (1-3) made a low risk entry for a
short
> >sale. When Slope turned up for two consecutive days (1-24) and "r" was
> >above 80, this was, for me, time to cover the short.
> >
> >I am also using a 23 period slope to observe the 13/23 crossing, but I
have
> >not seen any significant benefit. Actually, I think this confuses the
> >picture.
> >
> >As to your comment that Slope moves all over the place, that would
suggest
> >to me that there is very high volatility in that stock,or a tradable
trend
> >is not in place. Please send me a stock symbol so that I may plot what
you
> >are seeing. I am watching TXN, but the Slope signals have been late.
But
> >here again, there is no trend, as I see it. Rather, it is in a trading
> >range. Again, this is simply way that I use the two indicators.
> >
> >Al Taglavore
> >
> >----------
> > > From: Sean Taylor <sean.taylor@xxxxxxxx>
> > > To: metastock@xxxxxxxxxxxxx
> > > Subject: Re: Trendiness or Congestion measurement - r-squared +
Linear
> >regression Slope
> > > Date: Sunday, February 04, 2001 11:24 PM
> > >
> > > Al,
> > > I've been trying to combine r-squared with Linear Regression Slope.
Not
> > > always easy determining how to interpret them.
> > > I know r-squared values below a certain amount mean there is no
> >statistical
> > > significance. But with larger numbers, the Slope value can still move
all
> > > over the place. Is it more the direction of the slope rather than
the
> >value
> > > itself?
> > > It's probably just trial and error.
> > > Thanks,
> > > Sean
> > >
> > > ----- Original Message -----
> > > From: "Al Taglavore" <altag@xxxxxxxxxx>
> > > To: <metastock@xxxxxxxxxxxxx>
> > > Sent: Friday, February 02, 2001 11:02 AM
> > > Subject: Re: Trendiness or Congestion measurement
> > >
> > >
> > > > Consider using 'r-squared' with regression slope; "r" indicating
the
> > > > strength of the trend, sans noise, and the slope to indicate the
> >direction
> > > > of the trend.
> > > >
> > > > Al Taglavore
> > > >
> > > > ----------
> > > > > From: Sean Taylor <sean.taylor@xxxxxxxx>
> > > > > To: Metastock List <metastock@xxxxxxxxxxxxx>
> > > > > Subject: Trendiness or Congestion measurement
> > > > > Date: Friday, February 02, 2001 9:09 AM
> > > > >
> > > > > I've recently re-discovered the quality of the User manual. The
> > > > > interpretations of various indicators offer useful advise.
> > > > > Take the Stochastic. I'm looking to use Overbought/Oversold
> >indicators.
> > > > > The manual recommends that these work best in non-trending
markets
> >and
> > > > that
> > > > > 'r-squared', CMO and VHF might be used to determine this.
> > > > > I tried r-squared (RSquared(C, 14) <0.27) which improved the
system
> > > > results
> > > > > significantly. But it does seem to traverse extremes very
readily
> >and
> > > > give
> > > > > false signals.
> > > > >
> > > > > Are there some favorites out there for indicating congestion or
> > > > trendiness
> > > > > and their strength ?
> > > > >
> > > > > Thanks,
> > > > > Sean
> > > >
>
>
> ==============+==============
> Robert L. Webb
> Webb.Bob@xxxxxxxx
> ===============+=============
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