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If you are going to do backtesting with momentuum then you should be aware of a defect of the traditional
momentuum calculation, which is simply, in the TradeStation function, "Price[0] - Price[length]". If a
split has occurred between or after these prices then your momentuum value is incorrect. Take a hot
stock, like AOL. If it was actually trading at 70 to 100 (end of 1997) then the momentuum was 30. But
after the 2:1 split of 3-17-98 those values become 35 and 50, so the momentuum NOW appears to HAVE BEEN
15. If you were using a value of 20 or greater to select stocks, before the split AOL would have been
selected, but after the split it would not.
It is better to use a percentage measure, such as Rate of Change, if you will be backtesting.
donc
<Subject: EL problem
< Date: Sat, 25 Apr 1998 00:48:16 -0500
< From: Robert W Cummings <robertwc@xxxxxxxxxx>
< To: Omega-list@xxxxxxxxxx
<
<I want to see this plotted as a cross over are a > than plot but I haven't been able to <do it. I got it
from a paint bar indicator for momentum but I really would rather just <know when one crosses over the
other instead of a paintbar. I messed with it a while <thinking would be easy but I'm still learning EL
and only learn it as I need something <done. Any help would be appreciated also any other ideas on ways in
which to plot <momentum that would be more accurate would be appreciated.
<
< . . .
<
<Thanks
<Robert
<
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