|
PureBytes Links
Trading Reference Links
|
I have been working on using Principal Component Analysis to come up with
a way to analyze a number of securities (stocks) simultaneously. I tried
this out on some Futures contracts to see how it would work. I am not
sure if I used the right contracts and series for the Fx futures (I used
the CME contracts for June). The buy and sell signals are generated on
the crossover of the zero line (center). I am thinking about calling this
"Vermicelli" charting (for obvious reasons). The PCA calculations were
done in Matlab and transferred to Excel.
Ron McEwan
Attachment Converted: "f:\eudora\attach\PCA_FX.gif"
|