Search found 126 matches

by nodoodahs
Mon Nov 27, 2006 4:39 pm
Forum: Testing and Simulation
Topic: Contango and Backwardation in Data
Replies: 4
Views: 3256

Contango and Backwardation in Data

Does back-adjusting a previous contract higher imply a contango? If the spot doesn't change, does this "bake in" a profit for a short?

Similarly, does a backwardation imply (1) back-adjusting would result in adjusted data being lower than current and (2) a "free ride" for longs?
by nodoodahs
Fri Nov 17, 2006 7:03 am
Forum: Testing and Simulation
Topic: Neural networks
Replies: 16
Views: 9866

There seems to be a great deal of judgment in this thread. You say that as if applying judgment to the choice of tools were a bad thing. I think applying judgment to the choice of tools is a good thing. If you desire to find out if something "works" commit to the full length of time required to tru...
by nodoodahs
Thu Nov 16, 2006 1:54 pm
Forum: Testing and Simulation
Topic: Neural networks
Replies: 16
Views: 9866

Read the paper referenced above for a more detailed analysis. It's not mine, but I've met the author, sweet little old bird. http://www.data-mines.com/Resources/CAS_Papers/Neural%20Networks%20Demystified.pdf NNs are a tool used to data mine, one of many such tools, a sub set of the data mining world...
by nodoodahs
Thu Nov 09, 2006 4:28 pm
Forum: Testing and Simulation
Topic: Neural networks
Replies: 16
Views: 9866

http://www.data-mines.com/Resources/CAS_Papers/Neural%20Networks%20Demystified.pdf The paper was written by an actuary looking at the issue of predicting loss costs for various classes of insured, but it is an applicable description of the neural network technique. You could easily apply the concept...
by nodoodahs
Tue Aug 15, 2006 10:31 pm
Forum: Trend Indicators and Signals
Topic: Efficiency?
Replies: 0
Views: 4053

Efficiency?

Has anyone tried using efficiency of movement as a trend indicator? If so, on what investments? For stocks, I am experimenting with efficiency as defined by high - low as a ratio to average true range for the measure, and I am filtering by a ratio of average intraday range to average true range to a...
by nodoodahs
Wed Aug 09, 2006 6:28 pm
Forum: Stocks
Topic: Is there a place for fundamentals in trend trading?
Replies: 16
Views: 18481

Sources like Value Line can be used to generate databases of fundamentals. Quant recipes like magic formula investing produce outsize returns with 1-year holding periods. These are "value" approaches. "Values" typically get that way from a falling price. The mean reversion occurs over long time fram...