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Brian wrote:
> does anybody have or know of information that explains about detrending
> data: how it's done generally (theoretical math specifics) and how it is
> typically used on market data.
>
> TIA,
> Brian.
>
Jack D. Schwagger wrote an excellent chapter on detrending of data. I would
recommend his book.
"Fundamental Analysis on Futures". Mention is made to two forms of detrending
the data. One is by
use of the Moving average.
E.g
Take the Producer Price Index for example. The 12MA (12 month moving average)
incorporates the trend.
By ploting the difference between the PPI Data and the 12 MA you basically have
detrended the series.
You can then apply whatever technical indicators to this result. (e.g Compare it
to the T-Bond rates etc)
Another method is using the ROC.
This is actually the standard used with the CPI. ( Which is always pointing
upwards. )
You can then use this subtrate (ROC) and compare it with whatever analysis (e.g
T-Bond again )
Hope this helps you out.
Regards
Shawn
PS: As much a TA as I am, I found valuable information in his Fundamental Ideas.
A huge portion of the
book deals with Regression Analysis and how to apply it to various markets. I
would highly recommend his
work
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Ricercar Fund /SA "Quarendo Invenietis"
http://www.RicercarFund.com
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"It is not how right or wrong you are that matters, but how much money you make
when right and how much you do not lose when wrong." ... George Soros
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