Trend detection

bln · May 17, 2016

What are good methods for regime detection?

I'm looking for a method to detect the long term trend in S&P500 with good accuracy.

panzerman · May 17, 2016

There are a million ways to define a trend, but you will never find one that is more than 50% accurate (you know, geometric brownian motion and all.)

Yasir · May 17, 2016

There are so many ways to define a trend, but you can simply get an idea by visually inspecting the long-term chart of SPX or any security for that matter... Looking at moving averages, trend lines etc..

qxr1011 · May 17, 2016

panzerman said:
There are a million ways to define a trend, but you will never find one that is more than 50% accurate

it's because 99.9% of those million definitions are wrong

Chris Mac · May 17, 2016

bln said:
What are good methods for regime detection?

I'm looking for a method to detect the long term trend in S&P500 with good accuracy.

Apply Dow Theory.

CM

K-Pia · May 17, 2016

If Higher High then +1
Else If Lower High then -1
Otherwise 0

If Higher Low then +1
Else If Lower Low then -1
Otherwise 0

Uptrend = 2
Downtrend = -2

Now define the Time Frame(s).
As well as what's a low and a high.

You can take Weekly, Monthly candles.
Then just compare each of the HOLC.
Now plot a SMA on daily candles.
Then buy or sell if above, below.
Depending on your signals,
From monthlies, weeklies.

But on the ES, it's difficult to bullshit with longs only crap.
So be careful when designing long only system on the ES.
Or whatever instrument with biased bull historical datas.
Well ... Who knows ? That could perfectly continues.

Stress test your trend following system with Choppy markets.
If it doesn't suffer too much. Then it's fine. Otherwise trash it.

i am nobody · May 17, 2016

panzerman said:
There are a million ways to define a trend, but you will never find one that is more than 50% accurate (you know, geometric brownian motion and all.)

What intrigues me is how you can know what somebody else can find or not.

Maybe you missed the only good one when counting the millions of bad ones. I think you can never know all definitions of trend, so you never know how much you know, or don't know. Which means that you don't know what you miss. Maybe you miss the good ones?

i am nobody · May 17, 2016

K-Pia said:
If Higher High then +1
Else If Lower High then -1
Otherwise 0

If Higher Low then +1
Else If Lower Low then -1
Otherwise 0

Uptrend = 2
Downtrend = -2

Now define the Time Frame(s).
As well as what's a low and a high.

You can take Weekly, Monthly candles.
Then just compare each of the HOLC.
Now plot a SMA on daily candles.
Then buy or sell if above, below.
Depending on your signals,
From monthlies, weeklies.

Really impressive and high tech algorithm. LOL.
If it would be so easy everybody would know the trend.

profitlocker · May 17, 2016

i am nobody said:
Really impressive and high tech algorithm. LOL.
If it would be so easy everybody would know the trend.

I use a scoring system, but it's much more complex then that

nonlinear5 · May 17, 2016

K-Pia said:
If Higher High then +1
Else If Lower High then -1
Otherwise 0

If Higher Low then +1
Else If Lower Low then -1
Otherwise 0
[/B]

LOL. Nice and easy.

What do we use to drive a nail?
If the screwdriver is heavier than the hammer, use the screwdriver. Otherwise, use the hammer.