dest's overwrite journal
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The lower chart shows the daily dividend-adjusted close price (calendar days from 20210309 and interpolated when the market was closed) minus the fitted parabola
Code:
y = 67.000846862793 + 0.133354142308235 * x + 0.000296262296615168 * x * x
Code:
1.60150742530823 * cos(twopi / 80.7636929812316 * x + 0.632126867771149)
+ 1.32835626602173 * cos(twopi / 30.1399119361322 * x + 4.50122880935669)
+ 0.997597217559814 * cos(twopi / 22.5603293330753 * x + 5.36369609832764)Since this model is fitting prices and prices change, it will likely degrade and need to be recalculated ideally at every bar.
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"detrend is your friend"
I think the thesis is on the expected success of a newly released drug. The implicit bet is that demand for the drug will be greater than what is expected on the street, which will result in:
1) analyst revisions moving higher as more information comes to light
2) a potential beat & raise (beat revenue & raise guidance for the year)
Which would result in post-earnings announcement drift (major driver of momentum), as future FCF estimates would need to revised higher, causing the stock price to look undervalued in DCF and multiples models. This would drive buying activity by funds that invest in value, biotech, and growth. Furthermore, if the stock price does appreciate rapidly, then it'll gain a larger share of market cap/industry, making it benefit from passive investors.
what kind of filter do you use on price? kalman?"detrend is your friend"
"detrended" for short as a handle for the bottom version of that display? The detrended one, yeah that works. Hmmmmm. the detrended one - Search https://duckduckgo.com/?t=ffsb&q=the+detrended+one&ia=web"detrend is your friend"
This method results in a function that tries to create a least squares fit of raw prices. The only input to the function is time represented as the relative number of bars since the beginning of the fitted prices. That lets the function be extrapolated to any future time.
The function has a parabola plus three cosine waves. The filtering to get detrended raw price data (dataminustrend in the second image of this post) is subtract the parabola value for a given time from the raw price.
Here are a few posts describing this:
https://www.elitetrader.com/et/thre...dict-market-moves.357176/page-36#post-5358066
https://www.elitetrader.com/et/thre...-price-prediction-models.357511/#post-5359400
https://www.elitetrader.com/et/threads/ta-like-catching-a-greased-pig.359026/#post-5393480
https://www.elitetrader.com/et/threads/ta-like-catching-a-greased-pig.359026/page-2#post-5394477
https://www.elitetrader.com/et/threads/whats-your-favorite-chart-pattern.359850/page-2#post-5413673
It is fascinating to me how we all see charts differently. Ken, looking at this chart, I would do the opposite of what you said, based on previous movement...
Middle of June was a peak of ~85, then a couple weeks later hit a low of ~81.5. If we were to hit 84 I'd long, and short at 88, based on previous cycle. Of course, that is just pure chart TA. I don't trade single stocks, and I hate shorting, heh.
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