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hmmm, I wish they would put the BONUS issues online so I could give you a url...buts then they wouldn't be BONUS issues.
He doesn't mention "bond yield" in particular. Kaufman gives some examples of futures contracts at both ends of the scale...ie Eurodollars being efficient and easy to trade using trend-following techniques and then the Standard and Poor's 500 being at the opposite end of the spectrum and very hard to trade with trend following due to the much lower efficiency and higher noise levels.
Andy
*********** REPLY SEPARATOR ***********
On 10/7/98, at 6:38 PM, Mark Brown wrote:
>Andy, does he mention anything about taking into account the bond yield when
>doing this? Please be more descriptive I didn't see the article..MB
>
>
>DUNN'S NOISE TESTER
>
>>This comes from the Kaufman interview in S&C bonus issue 98. He talks about
>giving markets an efficiency ratio or rank and I guess this is used in chaos
>theory
>>I'm a butcher of a programmer so I can only figure out how to code this at
>a 10 day interval...perhaps Pierre or another top programmer would be so
>kind as to make the "extra cool" version that will allow either O,C, H,or L
>and any range of days rather than 10.
>
>>Andy
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