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Apples and oranges. ADX tells you something about the strength of the trend right
now. Trendiness tells you something about the character of the market over a period
of time - does it lend itself to a trend-following approach at all? It's not a
measure of the current trend.
The underlying theory for trendiness is the same one that forms the basis of the
Random Walk Index (RWI). So one could ask: How does RWI correlate with ADX? I
don't know the answer to that yet. But it's a good question...
> -----Original Message-----
> From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
> Sent: Tuesday, May 22, 2001 7:30 PM
> To: David Rosenthal
> Subject: RE: trendiness measures
>
>
> Big question:
> how does it correlate with ADX ?
> Close or way-off ?
>
> > -----Original Message-----
> > From: David Rosenthal [mailto:davidrnews@xxxxxxxxxxxxx]
> > Sent: Tuesday, May 22, 2001 4:30 PM
> > To: fritz@xxxxxxxx; Cameron Jones
> > Cc: Omega-list
> > Subject: RE: trendiness measures
> >
> >
> > 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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