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We have 3 nays.

You have the algorithm - shouldn't that be sufficient? What do all the trend capturing tools try to do?

Let me reiterate that at this stage I don't wish to make any inferences regarding the market from this academic exercise. Nevertheless, I believe it to be both educational and interesting. On the contrary, if you read Sherry's definition of stationarity (below) carefully, you will see that my...

So far we have 2 nays.

You're welcome. That was not the intention. Human factors aside, would you be willing to trade my randomly generated trends?

Please, no name-calling. Ditto.

Lefty, when I talk about random number generation on a 'puter, I naturally assume it to mean pseudo random number generation. Hence the omission of the "pseudo". Sorry if it caused confusion.

I posted the 2 charts so that you would get a feel for them, and not to prove that they were "visually" indistinguishable. I don't wish to misinterpret your statement. Are you saying that it is impossible to exploit my randomly generated "trends", as I asked in my original question?

I asked first.

... <IMG SRC=http://www.elitetrader.com/vb/attachment.php?s=&postid=715891>

Random or "trend"? <IMG SRC=http://www.elitetrader.com/vb/attachment.php?s=&postid=715888>

A few days ago I asked whether it was possible to exploit a price curve that was randomly generated using an algorithm that introduced "trends". http://www.elitetrader.com/vb/showthread.php?s=&postid=714184#post714184 Not surprisingly, there was little response. I generated 5 curves with...

I just received Bruce's spreadsheet which, when not applied to the markets, looks capable of managing a space mission. I will try coming up with something that can beat my algorithm, either using plain vanilla KAMA or Bruce's refined method, whichever comes first. If I don't succeed, what next?

Check your email.

Cool. Edit : BTW, what is JWH? (Not John W. Henry?)

Bruce, I really didn't want to create any extra work for you. If all I have to do "is simply crossing and re-crossing the KAMA and putting on the appropriate trend trade", then, using the snippet of code on p. 438 of TS&M, I believe I have all that I need. So, I'll be using 2 and 30 for...

Bruce, I like your idea of using an adaptive technique. Even though it was not my original intent, I'm prepared to do the grunt work to test KAMA on my algorithm. However, before I jump in, could you please tell me exactly what it is I should do? I see references to byproducts of KAMA in your...

Before I retire for the night, all the frantic graphing made me overlook a misunderstanding between spike and Lefty. spike, Lefty's comment above was not directed at you but rather was a reply to one of my posts. It just so happened that he posted it immediately after yours.

I grew up in Elsternwick, so what am I gonna do? Cheers mate! :p

Yes, they do have the 0.65 factor and constant bias as per original spec. It was run for 300 periods with a starting price of 1170 and imported into Excel to chart the bugger. Now what was that about some cheekiness with the ladies? Drinks on me!!! Cheers, Lefty....