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I guess my question was what are you doing exactly when detrending data?
I've seen it used outside of market analysis for spectral data analysis. Is
it used simply for smoothing or momentum. It sounds like it could be
classified as a momentum indicator.
> -----Original Message-----
> From: Shawn Andrew [mailto:Shawn@xxxxxxxxxxxxxxxx]
> Sent: Wednesday, May 24, 2000 8:04 AM
> To: frwd@xxxxxxxx; omega-list@xxxxxxxxxx
> Subject: Re: [rogue-traders] somebody home? [Neural Networks]
>
>
>
>
> 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
>
> --
> ------------------------------------------------------------------
> Ricercar Fund /SA "Quarendo Invenietis"
> http://www.RicercarFund.com
> ------------------------------------------------------------------
> "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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