Chop vs. Trend

also, the stationarity constraint is precisely the caveat I mentioned in my prev post (the need for your estimated spectrum from the immediate past to be close to that for the duration of time in the future during which you will trade)...
 
Quote from mhashe:

Keep it simple. Use the ADX with DMI

http://www2.barchart.com/support/learning.asp?code=BSTK&what=adxdir
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I agree, weekly Dow ADX has been under 20 for 18 months. not much trend their. The longer it stays under 20 the better the next trend will be. The daily Dow ADX has been falling from over 40 for the last 6 weeks, its now under 15 as the Dow has been in a tight range for the past 3 weeks. These 70-100 point intraday swings are accumulation or distribution. something will happen soon IMO.

So for now just try and scalp some profits intra-day. and be happy.
 
Quote from John Merchant:

Anything numerical is numerological. Or is that numerillogical? Mike.
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I tend to agree insofar as exploitable trend identification is concerned. Sometimes, however, I get a transient feeling that I'm just being lazy and that I should hunker down and try to figure out the math of trend identification in a way that it can be reliably exploited rather than only identified after the fact. When that happens, I usually just take a few deep, healthful, cleansing, life-affirming breaths of fresh air and the feeling miraculously goes away. It's really quite refreshing.
:D
 
Quote from Rickshaw Man:

....These 70-100 point intraday swings are accumulation or distribution. something will happen soon IMO.

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Yes, I think so too. I think that the indices are getting ready to start trending bigtime - to the upside.
 
Quote from Thunderdog:

I tend to agree insofar as exploitable trend identification is concerned. Sometimes, however, I get a transient feeling that I'm just being lazy and that I should hunker down and try to figure out the math of trend identification in a way that it can be reliably exploited rather than only identified after the fact. When that happens, I usually just take a few deep, healthful, cleansing, life-affirming breaths of fresh air and the feeling miraculously goes away. It's really quite refreshing.
:D
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(i) What makes you believe that there is a "math of trend identification"?

(ii) If such a "thing" would exist, what makes you believe that you could "figure it out"?

nononsense
:D
 
how about this. use your favorite spectral analysis tool to find the dominant wavelengths of your timeseries. ifyou do find long wavelength components that have much larger coefficients compared to your high-frequency components (i.e., you must screen for stocks with this property), then you might be able to choose the appropriate window for your moving average indicator... pretty basic idea that should be easy to back test.
 
Quote from ssrrkk:

how about this. use your favorite spectral analysis tool to find the dominant wavelengths of your timeseries. ifyou do find long wavelength components that have much larger coefficients compared to your high-frequency components (i.e., you must screen for stocks with this property), then you might be able to choose the appropriate window for your moving average indicator... pretty basic idea that should be easy to back test.
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At the end of the day you will have results that are only backfitted to the data series.

There is nothing in Amp, phase or frequency that will help you trade the next bar. Any research to the contrary would be great news however... Have you had success applying signal processing techniques to market data so that you can trade the signals?

Thank you.
 
Quote from LMeyers:

Yes, I think so too. I think that the indices are getting ready to start trending bigtime - to the upside.
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I hope your right, I only trade from the long side. Put Call sure is low though for a big rally. seasonality is not that favorable either.

Alll that being said im sure we just could rally.
 
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