|
PureBytes Links
Trading Reference Links
|
>> While stdev is rising then it is logical to assume that the trend is
getting stronger.
It is my opinion that this assumption is valid only for a subset of the of
the bars following the beginning of the rise. Statistically speaking, the
standard deviation increases with depth of the volatility. In a
low-volatility long and strong trend, it is possible for the standard
deviation to rise, fall, and even stay constant - it all depends on your
window and the length of the moving average over which you are taking the
std dev.
This does not mean that a change in std dev is insignificant, or is not
useful in the context that you propose. I have used it in similar situations
before. I would just like to clarify where the theory can be strengthened to
an ultimately better implementation.
Ken Greenwood
-----Original Message-----
From: riccardo@xxxxxxxxxxxxxxxxxxxxxx
[mailto:riccardo@xxxxxxxxxxxxxxxxxxxxxx]
Sent: Monday, February 24, 2003 6:04 AM
To: Mark Brown; Omega List
Subject: Re: Re: FW: BASIC LONG TERM INFORMATION
Maybe models like Aberration can be improved (not messed up) on the concept
of standard deviation.
While stdev is rising then it is logical to assume that the trend is getting
stronger.
When stdev changes its trend we either a) close the position or b) enter in
a counter trend mode.
We would have an Abe/Anti-Abe model at this point.
Best way is to standardize stdev with a mov avg same lenght to make
comparisons with a) different markets and b) same market but in different
times.
All the best
Riccardo Ronco - FBR London
============================================================================
=======================
This e-mail may contain confidential and/or privileged information. If you
are not the intended recipient (or have received this e-mail in error)
please notify the sender immediately and destroy this e-mail. Any
unauthorized copying, disclosure or distribution of the material in this
e-mail is strictly forbidden.
|