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I'm beginning to play with the trendiness indicator, and it looks very useful in
deciding:
- Which markets to trade.
- What system to use. So far I'm finding that, with high trendiness measures,
simple moving average crossovers work well, and more sophisticated trend detectors
should work even better. I suspect volatility breakout approaches will work better
with low trendiness markets - haven't tested this yet.
- What *timeframe* to trade. I'm finding that the same market is very trendy in one
timeframe, and very anti-trendy in another. This seems like very useful information
in determining planned holding periods, etc. Also interesting to see the difference
in trendiness between n-minute charts and n-tick charts.
- Running this for consecutive shorter time periods can give you a sense of how
stable a market's trendiness has been in the past, which of course doesn't give a
guarantee for the future, but is nevertheless reassuring. Also continuing to run it
regularly on a market you're trading can give you a sense whether a fundamental
change is happening in the character of the market, possibly yielding better
confidence when deciding whether to continue trading a system or abandon it.
I'm just at the tip of the iceberg here, but I see a lot of utility to this little
tool...
David
> -----Original Message-----
> From: Gary Fritz [mailto:fritz@xxxxxxxx]
> Sent: Tuesday, May 22, 2001 9:40 AM
> To: Cameron Jones
> Cc: Omega-list
> Subject: RE: trendiness measures
>
>
> > I was just wondering how people have successfully used something
> > like this in their trading. eg. Only trade when it is positive
>
> The indicator I posted measures the statistical properties of the
> market IN THE PAST. It doesn't say much about where the market will
> go tomorrow. Maybe the level of trendiness will continue for a
> while, maybe not.
>
> I suppose you could assume it's going to continue for a while, and
> use it as a filter. I haven't.
>
> Gary
>
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