In future kindly chart something other than ES. All ES traders are in thrall to Jack Hershey and believe in the self-fulfilling prophecy that price trends and channels. I am from the old school that says the estimator IS the trend line, MA's being the poor man's estimator. For lack of higher mathemagical skills.
Yes, thanks for the crumbs once again Riddler, but i think i see what you are saying,, And yes, I know to each there own, the research must be done by myself, but thanks for tip and for the follow through answer,, And I will look up the Kalman filter.. E.F.
Enjoy... http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf Let me know when you become a trillionaire with the Kalman filter
Leaqualizer, if you know how to design multi-state adaptive Kalman filters, you can estimate the evolution of any physical process you have the insight to model. Understanding the differences between market prices and physical processes, which using a Kalman to model a market surely will teach you, is a priceless experience.
Thanks for Hershey backtest info! Be careful and avoid the Cult Kool-Aid! <img src="http://img176.imageshack.us/img176/4073/koolaidnf5.gif">
Given, backtesting is the effective equivelant of burying treasure, so as to feign surprise when you get there and find some scoundrel made off with the goods in the meantime, do you have any plans to forward test likely strategies? I realise its highly counterintuitive, but i like to try and think outside the box.
Equalizer, a practical or even theoretical rejoinder would have been more impressive. Due your do diligence.
Quantsteve, laugh it up. After several years of trying I finally achieved a reliable mathematical representation of rockets and am able to distinguish a dud from one that will make orbit.