Positive Autocorrelation and Trend Trading Success

How do you know when a trend has started? Ended? This forum is for discussions about trend indicators and signals.
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AFJ Garner
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Positive Autocorrelation and Trend Trading Success

Post by AFJ Garner » Wed May 01, 2013 11:51 am

In his interesting article “The Main Cause of Failure of Some Popular Technical Trading Methodsâ€
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autocorrel on ratio adj.PNG
autocorrel on ratio adj.PNG (32.29 KiB) Viewed 3340 times
SP cash and ratio correlation.PNG
SP cash and ratio correlation.PNG (22.09 KiB) Viewed 3340 times
sP equity curve.PNG
sP equity curve.PNG (23.25 KiB) Viewed 3340 times
SP cash 1 lag rolling 6 m autocorrel.PNG
SP cash 1 lag rolling 6 m autocorrel.PNG (30.96 KiB) Viewed 3340 times

AFJ Garner
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Post by AFJ Garner » 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 “closeâ€
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S&P cash 3 day ma.PNG
S&P cash 3 day ma.PNG (19.38 KiB) Viewed 3282 times
s&pfutures 3 day av.PNG
s&pfutures 3 day av.PNG (17.86 KiB) Viewed 3282 times

maler
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Post by maler » 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.

AFJ Garner
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Post by AFJ Garner » Mon May 06, 2013 3:58 pm

Yes...realised I had missed something obvious. I'll plot the other.

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