Chop vs. Trend
- Thread starter Yag
- Start date
That's indeed what you could call 'crude'.
I don't really know what else you wanted me to say!! 
Quote from kut2k2:
So according to your definition, there's no such thing as a trend, because there has never been an infinite sample of data collected even if we add up all of human history.
That's ... unique.
The thing is you just can't make a difference between a simple volatility effect and the real underlying trend. Just to convince you, simulate a random walk with a fixed trend and a fixed volatility. You'll see a lot of very decent small trends in your signal, but you know perfectly (as you are the 'god' who simulated the signal) that they are not real trends.
This doesn't cancel the fact you can try to make money out of volatility if there are some short term autocorrelations.
Read 3 pages and fell asleep...
yeah me too, the part about fat chicks was interesting though
the existence of a "trend" I think would depend on the timescale you are interested in: hours, days, weeks, months, years. correct me if I'm wrong but I think the difference between chop and trend is whether there are dominant spectral components whose wavelengths are comparable to or longer than your timescale of interest. I suppose one way to find out is to run an FFT on a suitable duration of your timeseries of interest... and hope that the timeseries of the immediate past will reveal the correct spectrum of the future timeperiod during which you will be trading. Of course the spectrum will change over time so you will have to continually keep re-estimating...