Trust me on this one koolaid I am by no means a stats wizard, infact I actually failed math in high school. I just have a thirst for knowledge and really enjoy playing with R. As I have said in one of my earlier posts I am struggling to find something that R cannot do
The article was actually pretty good although I don't think most people will understand. Unless you have some background in statistical analysis most of the material will seem bland. Much of what I talk about on here comes back to this. I built this ACD approach around the idea of cycles and adaptive change. This system is very robust to changing market conditions and it's one of the reasons why it's so effective during regime changes. It's always interesting to see how when vol explodes I always get guys asking me, mav what do I now in this environment? I always tell them the same you were doing before. ACD adjusts very quickly to the new vol levels as do your number lines. Nothing changes. You will notice that when we went from 10 handle ES ranges to 50 handle ranges, it took a day or two but the levels adjusted and when they did, we go the same A ups and A downs as we did before. Most traders over fit their trading methodology to a very particular environment that allows no adjustments to time, cycle change, volatility change or even price change.
ABX, CEF, IAU currently have the strongest number lines out of all gold related equities/ETFs. This includes 30-day, 5-day, and my proprietary 15-day "steroid" numberline.
Ahh that's a good derivative I forgot about...the MA of the NL? or maybe a stoch chart? These are great ideas to explore.
I am very apprehensive about using an MA for smoothing since I want my number lines to be as forward looking as possible. The reason why I chose to use a fast MA was more to reduce the noise of the number line as in its raw state it is quite erratic. I may try to code a weighting so that more recent data is considered more significant or at least something along those lines.
So right now...I have my own NLs (30 and 5 day) for certain instruments, Volatility Index, 2nd Derivatives of 30NL. Do you guys still track the Monthly NL reset?