How do I accurately choose the period for indicators?

Discussion in 'Strategy Building' started by newbie003, Oct 6, 2019.

  1. easymon1

    easymon1

    mr newie003
    Norm "calls 'em to the minute" Winski from astro trends on the line...

     
    Last edited: Oct 16, 2019
    #31     Oct 16, 2019
    tommcginnis likes this.
  2. newbie003

    newbie003

    Guys, thanks so much for your responses. I wasn't expecting so many to be honest. I've learned so much from those replies. Thanks!
     
    #32     Oct 27, 2019
  3. raddo

    raddo

    #33     Dec 4, 2019
    tommcginnis likes this.
  4. tommcginnis

    tommcginnis

    :thumbsup::thumbsup: While I applaud at least this effort to *notice* a difference of performance in trading off of signals from indicators of varying periodicity, but I have to observe too, that by looking at *performance*, the horse is already out of the barn -- the damage is already done.

    Better is to actively measure the periodicity of the market, and compare it to the [chosen] periodicity of the indicator/[signal-generator], and to minimize that figure.
    The performance will *follow* that.

    This difference-minimization can be dynamic itself (or at least, repeated in the time available), such that the resulting system can respond to differences in market behavior. :thumbsup:
     
    Last edited: Dec 4, 2019
    #34     Dec 4, 2019
  5. panzerman

    panzerman

    The person whose done a lot of work in measuring market periodicity is John Ehlers, with his MESA and autocorrelation periodogram algorithms. I have not done much investigation with either method, so I can't speak directly to performance. They are interesting ideas, however I suspect that they don't lead to superior outperforming indicators.
     
    #35     Dec 4, 2019
    tommcginnis likes this.