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there was actually an ELA somewhere
i don't remember for RWI random walk index.
as i also remember PO from France kindly
pointed out that there are several versions
of RWI ela are floating around and most
of them are incorrect calculations.
also as i remember that was all from the
SC rag article from a while ago.
question:
could someone post the RWI ela or
e-mail me one please?
correct or incorrect or both.
thanks.
bilo.
----- Original Message -----
From: "Gary Fritz" <fritz@xxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, May 23, 2001 1:25 PM
Subject: Re: trendiness measures
> Here's a comment from my friend Dave Chamness, who originally told me
> about the Saitta technique:
>
> ====
>
> Just as the normal distribution emerges from non-normally distributed
> things, so the random walk can emerge from summations of non-random
> walks. Dice have a flat distribution, 1-6 are equally likely, with a
> mean of 3.5, and a standard deviation of 1.8708. If I add dice rolls
> and subtract 3.5 from each, then I will see a random walk. If I add
> 10 rolls at a time, I will see a normal distribution in the sum, even
> though each individual roll does not have a normal distribution.
>
> Saitta added actual market changes, selecting days randomly. He
> compared that to the actual order of days. He found that the changes
> in the actual data were bigger than expected from a random order, so
> up days do cluster together.
>
> The argument about an individual day containing trends does not
> invalidate Saitta's measurement of random walk. The argument that
> days may not all have the same standard deviation also does not
> invalidate Saitta's measurement of random walk.
>
> What Saitta did is quite robust, and it did find some trendiness.
>
>
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