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Bollinger used 10 years for his study at least that's what he said.
Robert
At 09:59 PM 5/26/1999 -0400, Robyn Greene wrote:
>The problem with this is that if there's a statistically valid correlation
- it
>shouldn't exist only 180-190 days out (although perhaps 180-190 days might
be the
>strongest correlation). As with all robust systems - there should be a
curve of
>results - from good - to better - to best - not just a single "best"
result smack
>dab in the middle of some mediocre ---> terrible results. What's the
correlation
>100 days out - and 240 days out? If you're looking at garbage in those
time frames
>- all you're looking at is curve-fitting. Robyn
>
>Ullrich Fischer wrote:
>
>> He looked at the bond yields daily data and the daily gold price data and
>> calculated correlation co-efficients between them using various time
>> offsets in the bond data. He had a little table showing the correlation
>> co-efficients for various days offset between the two data streams. It is
>> a fairly straightforward process, once you have the bright idea to try
>> it. I have no idea why Siatta thought to try doing this, but you can do it
>> with a standard spreadsheet. The bottom line is he found a 65% correlation
>> between the bond data and the gold data when comparing today's bond data
>> with gold data from 180 to 190 days ago. That makes gold price a very
>> significant (statistically speaking) predictor of bond yields approximately
>> 6 months in the future. There is a discussion of this subject at
>> http://www.equitytrader.com/ including a reference to Technical Analysis of
>> Stocks & Commodities May '99 - Alex Siatta where Bollinger got the original
>> concept. There is more info on the concept on www.BollingerBands.com
>>
>> -uf
>
>
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