Positive Autocorrelation and Trend Trading Success

How do you know when a trend has started? Ended? This forum is for discussions about trend indicators and signals.
Post Reply
AFJ Garner
Roundtable Knight
Roundtable Knight
Posts: 2071
Joined: Fri Apr 25, 2003 3:33 pm
Location: London
Contact:
Contact AFJ Garner

Positive Autocorrelation and Trend Trading Success

Post by AFJ Garner »

In his interesting article “The Main Cause of Failure of Some Popular Technical Trading Methodsâ€
Attachments
autocorrel on ratio adj.PNG
autocorrel on ratio adj.PNG (32.29 KiB) Viewed 13401 times
SP cash and ratio correlation.PNG
SP cash and ratio correlation.PNG (22.09 KiB) Viewed 13401 times
sP equity curve.PNG
sP equity curve.PNG (23.25 KiB) Viewed 13401 times
SP cash 1 lag rolling 6 m autocorrel.PNG
SP cash 1 lag rolling 6 m autocorrel.PNG (30.96 KiB) Viewed 13401 times
Top
AFJ Garner
Roundtable Knight
Roundtable Knight
Posts: 2071
Joined: Fri Apr 25, 2003 3:33 pm
Location: London
Contact:
Contact AFJ Garner

Post by AFJ Garner »

Even in a strong Bull or Bear market, it seems a bit unlikely to me that the daily closing prices of a particular index or instrument would “closeâ€
Attachments
S&P cash 3 day ma.PNG
S&P cash 3 day ma.PNG (19.38 KiB) Viewed 13343 times
s&pfutures 3 day av.PNG
s&pfutures 3 day av.PNG (17.86 KiB) Viewed 13343 times
Top
maler
Contributor
Contributor
Posts: 2
Joined: Fri May 18, 2012 12:21 pm

Post by maler »

Anthony, if you lag the 3 day return series by one day only,
you expect to get a high positive autocorrelation because of the common 2 days in each pair.
Would be interesting to see the 3 day return autocorrelation for a 3 day lag.
Top
AFJ Garner
Roundtable Knight
Roundtable Knight
Posts: 2071
Joined: Fri Apr 25, 2003 3:33 pm
Location: London
Contact:
Contact AFJ Garner

Post by AFJ Garner »

Yes...realised I had missed something obvious. I'll plot the other.
Top
Post Reply

Return to “Trend Indicators and Signals”