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Hello Chris,
Murray Ruggerio in Cybernetic Trading demonstrates a system approach
that uses the rolling correlation between open interest and price. it
is not exactly you application but I think its close enuf to adapt.
Let me know if you need more info. I'll have to dig around but I have
the code somewhere.
Best regards,
Jim Johnson mailto:jejohn@xxxxxxxxxxx
--
Tuesday, August 13, 2002, 12:00:01 AM, you wrote:
CS> Hi Folks,
CS> Recently I've been trying to solve exactly this problem - how to determine
CS> which strategy to use when.
CS> I admit I could use some help.
CS> I have developed 2 strategies (trend following, and breakout) that each seem
CS> to work great for certain markets, until the performance starts to decay
CS> "mysteriously" - then I switch to the other one. Clearly this is not an
CS> efficient system (just like driving blind until you run off the road).
CS> But here's what I *think* I've figured out so far:
CS> I have developed 2 indicators - basically price and volume oscillators.
CS> When the oscillators seem to be "out of phase" the break out strategy seems
CS> to work best.
CS> When they are "in phase" the trend following system seems to work best.
CS> Now here's the hard part.
CS> Both oscillators are really "noisy" so it's hard to tell if they are really
CS> in phase or out of phase (smoothing doesn't seem to help).
CS> Is there a mathematical formula to determine to what degree 2 signals are in
CS> phase?
CS> I have tried just subtracting the 2 signals to get the difference between
CS> them, but since they both oscillate around zero it gets tricky. There must
CS> be a better way - any ideas?
CS> Thanks!
CS> Chris
CS> Chris@xxxxxxxx
CS> ----- Original Message -----
CS> From: <fwalaval@xxxxxxxxxxxx>
CS> To: <omega-list@xxxxxxxxxx>
CS> Sent: Monday, August 12, 2002 8:39 AM
CS> Subject: trending & non-trending markets
>> At 12:45 AM -0700 8/10/02, michel rood wrote:
>>
>> >The thought is that there are three markets for sytems: trending,
>> >non-trending and volatility. But I think in these three markets other
>> >subgroups can be found, like e.g. trending, with high volatility,
>> >trending with low volatility. For developing a trading system it
>> >would give better results if one trades a system only on such a
>> >subgroup. The question is if anyone knows more subgroups.
>>
>> Unfortunately, someone forgot to tell the market that it should be in
>> only one mode at a time so it does what it does.
>>
>> It is easy to make different trading systems that do well in each
>> kind of market. Then, this only leaves you with the impossible task
>> of deciding which system to use when...
>>
>> Bob Ful
>>
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