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First thought that comes to mind is using the LinRegSlope function along
with the r-squared to see:
1) the slope is upward at a moderate pace
2) the goodness-of-fit of the regression line is high....indicating low
volatility.
Big question: WHY would you want to filter-out such a "good" condition ?
filters are usually for removing trades for "bad" conditions....gaps,
successive new lows, etc.
> -----Original Message-----
> From: Herbert (Pete) Holt [mailto:rascal2@xxxxxxxxx]
> Sent: Sunday, January 30, 2000 1:41 PM
> To: omega-list@xxxxxxxxxx
> Subject: System Development
>
>
> I've been working on a daily S&P reversal system. The system needs
> filters to screen out incorrect signals. I've used ADX to eliminate
> signals in strongly trending markets with some success. I need a filter
> for moderately trending markets where I now get successive trades that
> are stopped out. For example, a day when the market trends upward all
> day by about 30 points, but has no sudden spikes. Any suggestions as to
> what I might use as a filter would be very appreciated.
>
>
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