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Positive Autocorrelation and Trend Trading Success
Posted: Wed May 01, 2013 11:51 am
In his interesting article â€œThe Main Cause of Failure of Some Popular Technical Trading Methodsâ€
Posted: Mon May 06, 2013 5:37 am
Even in a strong Bull or Bear market, it seems a bit unlikely to me that the daily closing prices of a particular index or instrument would â€œcloseâ€
Posted: Mon May 06, 2013 3:22 pm
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.
Posted: Mon May 06, 2013 3:58 pm
Yes...realised I had missed something obvious. I'll plot the other.