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RE: [RT] 3 cycle + Linear Regression MARKET MODEL



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Clyde
 
Having 77 (+41/-36) trades you will get a huge random error.
 
To get something statistically significant it is necessary to have at least 200 observations (trades=sample size).
 
For daily data we use sample size=500 (if the price history allows that).
 
Several days ago we have finished a huge backtesting for intraday with sample size=1500.
 
Best regards.
Sergey.
 
 
 
-----Original Message-----
From: realtraders@xxxxxxxxxxxxxxx [mailto:realtraders@xxxxxxxxxxxxxxx]On Behalf Of clydelee
Sent: Sunday, May 04, 2008 4:33 PM
To: swingmachine
Subject: [RT] 3 cycle + Linear Regression MARKET MODEL

I am convinced that one of the best methods of picking
reversal points from which to trade any symbol can be
achieved using a method that basically uses a Linear
Regression curve as the "average" of the symbol and
then fitting the balance of price behavior using three
Fourier components each of which is calculated using
two cycles of the period selected for each cycle used.
 
The attached are studies of CL and GC using this method.
 
Basically the model trades on a transition from an up
direction to a down direction or a down direction to an
up direction of the composite curve of the LR and 3
Fourier components.
 
As with any analytic of this type the inflection points are
likely to be at some very short time period after the
actual inflection points in price.
 
Each pictue has a report based on the model trading so
you can judge the effectiveness of this approach.
 
In the case of CL you can see that a very complex set
of periods are involved whereas with GC we are dealing
with a single peeriod around 59 days.
 
Clyde
 
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Clyde Lee   Chairman/CEO          (Home of SwingMachine)
SYTECH Corporation          email: clydelee@xxxxxxxxxcom 
7910 Westglen, Suite 105       Office:    (713) 783-9540
Houston,  TX  77063               Fax:    (713) 783-1092
Details at:                      www.theswingmachine.com
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