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John,
On Wed, 6 Feb 2002 14:40:52 -0500, you wrote:
>I'm not sure what you're looking for. What are you trying to adapt to?
Sorry for the confusion... I shouldn't have mentioned my system to be
adaptive, because my understanding of adaptiveness may be a little bit
different from yours you gave in your second posting. In a general
sense, _any_ system _adapts_ some kind of information to other
information, eg by some indicators, but this is not an "adaptive
system" for me.
My question was:
>What criterions (to read from the equity's historical data) could help
>to define "the best" time period?
At this time, I use a fixed-size time window, but I'm looking for
appropriate measures useful to control dynamically my time window.
> If you are trying to adapt your system to the current cycle length look at some
>of Dr. John Elhers indicators that measure cycle length.
Cycle length (of option prices) is seemingly not a very helpful
measure for my data because of the rather short (and heavily changing)
cycles that i see in my option prices. So concentration on one or a
few cycles would not provide enough statistical material to do a solid
system modeling job. - Or would you recommend to use a constant
(rather high) number of cycles to represent the time window?
>If you're trading
>options why not make the system adaptive to current or historical
>volatility.
Do you recommend to use "market volatility" to control my time window?
... i cannot see, that this would make so much sense... high
volatility => small time window? - Volatility imo has much too much
"volatility", and my time window should be more stabile to provide
consistent system results over time.
>Personally I don't believe a "best" time period exists. That is
>too restrictive for me.
That's why I'm looking for parameters to control my time window
dynamically.
>A strongly trending stock will probably have a long
>cycle length while that same stock may have a very short cycle length if it
>is in a trading range.
So you recommend the cycle length of the underlying (ie DAX in my
case) if I understand correctly? - Seems to me like a good idea to
start... What (eg MS) indicator should I use to measure the current
("macro"-) cycle length to control my time window?
mfg rudolf stricker
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