|
PureBytes Links
Trading Reference Links
|
I think the problem of defining a market as trending or choppy is yet to be
solved and accounts for a great deal of the money lost with trading
systems. I have tried many different methods to mechanically filter systems
so that they only trade when the market is favorable, with little success.
The problem is particularly troublesome because we need to determine the
nature of the market in the future to be sucessful. If the market is
trending now, but becomes choppy tomorrow, my trend following system will
produce bad trades.
The one useful comment I can provide is to recognize that the market
changes it's spots from time to time. Sometimes you can look at a chart and
see that it is only a question of time before a trend develops (because it
has been choppy for months). Right now, I think we should be dusting off
oscillator systems that do well in choppy markets. Many commodities have
had huge trends over the last year (look at DEC Wheat) and it just doesn't
continue this way forever.
Carl
----------
> From: CRLeBeau@xxxxxxx
> To: flag@xxxxxxxxxxxx; omega-list@xxxxxxxxxx
> Subject: Re: Trend or No Trend
> Date: Monday, October 12, 1998 8:45 PM
>
>
>
> In a message dated 10/10/98 11:46:42 PM, flag@xxxxxxxxxxxx writes:
>
> <<What's the best way for a mechanical system to detect if it's market is
in a
>
> trend, and, if so, which way that trend is headed? Adx? Moving Average
>
> Slope? Linear Regression? or What?
>
>
>
>
>
> Clint
>
> >>
>
> Out of all the choices listed, I like "or what". ADX measures the
strength
> of some trends but not all. Moving average slope is wrong because it
tells
> you that there is always a trend. Linear regression tells you what the
trend
> was in the past but not what it is now.
>
> Sorry for making light of a serious question. There are many answers to
your
> question but I always like to look for the simplest solution to a
problem. If
> you just want to know the direction of a trend simply compare the recent
price
> with the price x bars ago and then you can say the x bar trend is up or
down.
> Trend identification needs a time frame to reference and this simple
method
> gives you both the time frame and the direction of the trend. It even
tells
> you something about the strength of the trend. For example: we are six
points
> higher than four bars ago. This simple statement contains the direction,
the
> time frame and an indication of trend strength.
>
>
> Chuck LeBeau
> http://traderclub.com/
|