To Detrend or not to Detrend? That is my question.
Posted: Sun Sep 05, 2004 10:02 pm
I'm very confused regarding the subject of detrending.
I've read & re read the "Essay on computed contracts" that CSI supply with the Unfair Advantage software & understand that Detrending removes upward or downward biases. In order to pin down my problem I'll use the 10Yr Note as an example which I've already back adjusted.
I trade using a long term trend following system (variation of Aberration)
I realise that Detrending "removes a bias that that may give the false impression that buying is always better than selling" BUT in the case of the 10Yr Note (or 5Yr Note or ED for that matter) since inception it has predominately been in a bull mkt, so of course the results are going to show a bias toward buying over selling.
The question is; Do I assume my un Detrended results are flawed just because there's a bias towards long trades OR are my results sound?
The difference in results are large enough to be a major concern.
Undetrended = 34K profit/lot since 1988 while Detrended = 15K profit/lot over the same period.
Help........
I've read & re read the "Essay on computed contracts" that CSI supply with the Unfair Advantage software & understand that Detrending removes upward or downward biases. In order to pin down my problem I'll use the 10Yr Note as an example which I've already back adjusted.
I trade using a long term trend following system (variation of Aberration)
I realise that Detrending "removes a bias that that may give the false impression that buying is always better than selling" BUT in the case of the 10Yr Note (or 5Yr Note or ED for that matter) since inception it has predominately been in a bull mkt, so of course the results are going to show a bias toward buying over selling.
The question is; Do I assume my un Detrended results are flawed just because there's a bias towards long trades OR are my results sound?
The difference in results are large enough to be a major concern.
Undetrended = 34K profit/lot since 1988 while Detrended = 15K profit/lot over the same period.
Help........