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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?
There are probably as many ways as there are people designing systems so it
is a difficult problem.
As has been mentioned, ADX is the "standard" approach.
Mark Jurik sells a product called CFB (for Composite Fractal Behavior) that
I have heard is an improved version of ADX. I have not used it but his
products have a good reputation. His web site explains it:
(http://www.jurikres.com/catalog/ms_cfb.htm#top)
One simple approach that is not too bad is to use two moving averages of
different lengths. If the price is above both averages, the trend is up. If
below both, the trend is down, otherwise, there is no trend. The trick is
to find which lengths work best for your particular case.
Another approach is to use swing highs and swing lows. Higher swing highs
and swing lows indicate an up trend, etc. This is a little tricky to code.
Bob Fulks
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