Re[3]: [RT] near a bottom

[Code 2 <Code2@xxxxxxx>]

My recollection is that Pearson's r assumes a normal distribution of
values.  Remember that trends and price changes often do not behave in
accordance with a normal distribution -- just ask the Long-Term
Capital Management guys.



From: Clyde Lee <clydelee@xxxxxxxxxx>
To: realtraders@xxxxxxxxxxxxxxx
Date: Tuesday, December 18, 2007, 2:49:54 PM
Subject: [RT] near a bottom

I have been working on a strategy that uses the Pearson r Correlation
Coefficient as a means of estimating points of Change In Trend.

The attached picture is of 30 minute bars of ES.  You will notice that
in this scenario the CIT has been fairly well called.

That is said to note that the strategy called for the trend to turn
positive in the middle of the day -- so maybe near bottom ! ! !

Clyde




 
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