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MG,
I did an exercise on 294 stocks of Euronext using
the roc10
of MACD for stocks whos's macd was rising over
zero.
No correlation (-0.07) is found between
the signal and the gains 10 d later.
Greetings,
Paul
----- Original Message -----
Sent: Saturday, June 04, 2005 8:47
PM
Subject: Re: [EquisMetaStock Group]
System building - philosophical question
Yes, I am sort of trying to dodge this as it introduces one
more
variable and one less degree of freedom - the level (2,1 or 0.5)
of
strength. The nice thing about this approach is that you have a
range
where you will be 'out', say between -1 and +1, and not always
'in'
the market. Thanks for the reply! It sounds as if you have
done this
already. What did you use for
strength?
Regards
MG Ferreira
TsaTsa EOD Programmer and trading
model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Paul Lerno"
<paul.lerno@xxxx>
wrote:
> Hi MG,
> If you have a formula
for strengt (?) then you van examine on a
great sample what value of
strengt is statistical
> significant. For instance the 2%,1%,0.5%
highest strengt.
> I can examine this for the Euronext equities, but its
necessary to
have a mesure for strengt.
> Succes.
> Paul Lerno
(paul.lerno@xxxx)
> ----- Original Message -----
> From: mgf_za_1999
> To:
equismetastock@xxxxxxxxxxxxxxx
> Sent: Saturday, June 04,
2005 11:53 AM
> Subject: [EquisMetaStock Group] System
building - philosophical
question
>
>
> Hi
there,
>
> This is a general, almost philosophical
question, but some of you may
> have had to deal with it
before or may have some ideas on it. It
> pertains to
automated trading and system building. If you build
an
> automated trading system, you often create some
'signal' and trade
> based on this. Now, this signal
could be say the difference between
> two moving averages,
and you trade whenever they cross which will be
> exactly
when the signal crosses the zero line.
>
> When you
evaluate such a system, you buy when the signal goes
positive
> and sell when it goes negative. All of this
is fairly general and
> fairly common. Note in this
example, however, that the actual value
> or magnitude of
the signal does not play any role - the important
> thing is
when it crosses the zero line. Again, no rocket science
in
this.
>
> I am toying with the idea to build a system
based on the *strength* of
> the signal rather than when it
crosses zero, which introduces some
> problems. The
question really is, when do you then enter a trade?
>
> One obvious way is to put some band around zero and trade
when the
> signal goes outside of this band. This
complicates matters as you
> also have to create this
band. Another way is to still trade on the
> zero-line
crossover, which is fine but then you could just as well
>
stick with the original where the whole system is built around this.
> You could use a moving average of the signal line and
trade when they
> cross, but this is just the same as
trading a zero line crossover.
>
> What ideas do you
have for automatically trading a system using some
> signal,
that are not triggered by this signal crossing zero?
>
> Regards
> MG
Ferreira
> TsaTsa EOD Programmer and trading model
builder
> http://www.ferra4models.com
>
http://fun.ferra4models.com
>
>
>
>
>
>
>
>
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