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Al;
Book is -The New Technical Trader -Chande and Kroll.
Looking at the 23 period r-sq , it seems long. I had been using
a 10-15, figuring that the r-squared needed to be somewhere between
one quarter and one half the stock price period. If it is longer than
half the period it may miss the short term trend completely.
Any thoughts?
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Al Taglavore
Sent: Tuesday, February 06, 2001 2:16 AM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Trendiness or Congestion measurement - r-squared +
Linearregression Slope
I have had a workshop with Mr. Chande about four years ago, but the
material did not discuss R-square. What is the name of the book? I too,
have found that "R" is more meaningful to me than ADX.
Malcom>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?
Yes. I will add that after downloading my data tonight and looking at the
chart of AMD, that a Fib line drawn from the 12-2 low to the 2-1 high would
give a 38.2 retracement value at 21.57. I would expect support to be
within the 22.68-21.57 level. I do not believe that the 22.94 low of today
will be the only test of that HHV.
Al Taglavore
----------
> From: Malcolm Walsh <malcolm.walsh@xxxxxxx>
> To: metastock@xxxxxxxxxxxxx
> Subject: RE: Trendiness or Congestion measurement - r-squared +
Linearregression Slope
> Date: Monday, February 05, 2001 6:25 PM
>
> 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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