Anthony, if you lag the 3 day return series by one day only,
you expect to get a high positive autocorrelation because of the common 2 days in each pair.
Would be interesting to see the 3 day return autocorrelation for a 3 day lag.
Search found 2 matches
Search found 2 matches • Page 1 of 1
- Mon May 06, 2013 3:22 pm
- Forum: Trend Indicators and Signals
- Topic: Positive Autocorrelation and Trend Trading Success
- Replies: 3
- Views: 3497