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Mr. Perry Kaufman was a guest speaker at my EZL workshop last weekend.
Along with a note of thanks, I sent him the message "can't remember where I
read...". This is his reply. Just wanted to share it with you all.
Samuel
>From: Perry Kaufman
>To: "Samuel K. Tennis" <skt@xxxxxxxx>
>Subject: Re: can't remember where I read...
>Date: Thu, 27 Aug 1998 07:09:41 -0500
>
>As for your correlation of indicators, the original article that I know
was published by Lukac, Brorsen, and Irwin, "Similarity of Computer Guided
Technical Trading Systems," CSFM-124, Working Paper Series, Columbia
Futures Center, Columbia University Business School, 1986. It compared 12
systems for correlation of returns, percentage of trades that occurred on
the same day, and the percentage of trading days that the systems held the
same positions. This was picked up by Futures Magazine in November 1987 as
"Do similar signals from trading systems move prices?" Of course, it
couldn't answer that question from the information in the article. I'm
familiar with this because I covered it in my book, "The New Commodity
Trading Systems and Methods", and have upgraded that coverage in the third
edition, coming out in late October. Therefore, the most accessible
write-up would be in my book.
>
>Hope that helps.
>Best regards, Perry
>
Samuel K. Tennis, VISTA Research and Trading, Inc.
8103 Camino Real C-409 voice: 1(305) 273-1321
S. Miami, FL 33143 fax: 1(305) 273-9164
skt@xxxxxxxx http://www.gate.net/~skt
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