|
PureBytes Links
Trading Reference Links
|
>> John Cappello wrote:
>> > 1.Volatility-Differential between the angle of incline or decline of
the
>5, 14, 31 MDAV of the S%P 500 stock components highs and lows.
>> >
>> > 2.Trend-Logarithm of the daily closes for the last 30, 60, 90 days
>inversely related to volatility.
>> >
>> > 3.Breadth of market-Total issues traded on the NYSE each squared for
>each of the last 30, 60, 90 days.Total of the squares up minus down divided
>by the total number of issues.Take the sine of the angle of incline or
decline.
>> >
>> > 4.Momentum-Square root of volume up minus volume down over 30,60,90
days
>and use the sine of the angle of incline or decline.
Change the scale from linear to semi-log or vice versa and you'll change the
angles of the incline/decline. Which will change the
sines/cosines....therefore the results.
Volatility is classicly defined as the average range of the last X bars
devided by the standard deviations of the close for those X bars. Nowhere in
his calculations of his volatility does he take into account of the ranges
or the standard deviations.
If John can post his logic or code in ELA for the rest of us to back test
it, and if the tests were profitable, I will publicly apologize for my
skepticism. If he can't , I'd say he's another Rich Ratchford and his "F
dates" from Misc.Invest.Futures.
Andy Le
B.A. Mathematics
Rutgers University, 1993
|