Here is a piece of wisdom from Dr. Phill McDonnell---- http://www.dailyspeculations.com/wordpress/?p=3158 Moving averages--- are you serious? Evgeny Slutsky and Moving Averages, from Phil McDonnell September 27, 2008 | 1 Comment All moving averages have to be based on a backward looking window of time. So a 10 day average is the average of the last 10 days and so on. But the center in time for that average is really about five days ago. To be more precise it is (n+1) / 2 days ago or 5.5 days ago. So comparing two moving averages of different lengths is really comparing apples and oranges. If we compare a 10 day to a 30 day average, for example, then we are comparing the average of 5.5 days ago to 15.5 days. In other words they are not the same point in time. Mr. Glazier's enlightening 3D representation of moving averages of various lengths shows that the longer windows respond more slowly to ripples in price than do the shorter moving averages because of this lag effect. Another feature visible in the chart is the apparently cyclical undulations. The problem with that is that it may simply be a manifestation of the Slutzky - Yule effect. Essentially Slutksy-Yule says that any series, when averaged, will show sinusoidal oscillations as a result of the averaging process. This is true even if the original series was composed of random numbers which could not possibly be sinusoidal in nature. Another common pitfall when using moving averages is to think that all one has to do is to find the magic combination such as a 19, 27 and 79 day triple crossover with a minimum threshold of 1%. The problem with any such system is that there are an infinite number of these combinations. We quickly fall into the data mining trap where we will appear to find something even if it is merely a product of chance. Dr. McDonnell is the author of Optimal Portfolio Modeling, Wiley, 2008
Smurf Welcome back. I guess VN has a lot more time on his hands with that site since he isn't out there blowing up other people's money. For his sake I hope he has been outta the mkt for the last few months with his own money. His selling puts strategy would be getting obliterated. Maybe he learned this time?????? Nah.....
Vic's doing well, thanks. chatted with him and little nieder on 5th the other day--looking sharp and having fun. remember, the guy has made far more for investors over the long haul than lost in the unfortunate twists. happy to see your still in the game, mr. prado. surf
Thanks. Glad to see you are still alive and kicking. I actually gave you props a month or 2 ago about your call on Crox.....guessed you missed it. Great call. Hope all is well.
Surf my man...you see JWH's #'s for Sept ? JWH kicked ass this month.... Up 20% in their biggest fund...and up 3-10% in all the others.... Sorry to bring you the bad news.
lol, Victor is an extremely smart guy but a horrible trader, period. Worst of all, he refuses to learn from his mistakes. Shall he be fortunate enough to raise cash (which would be most unfortunate for his investors) then he will with most certainty blow up again. I dont want to be an investor of a self-loving guy who just cant admit defeat and learn from mistakes but rather tries at all cost to show the world that he is right (after the world has shown him three times that he was wrong big time). What a pathetic trading career. Reminds me of how it went with Bill Lipschutz.
Your "doctor" is a lousy mathematician. The lag for a simple moving average is (n-1)/2, not (n+1)/2. This is probably just one reason why his book received so many bad reviews.
Does anyone have the chart of Transtrend's performance? I came across it somewhere on this site but can't find it anymore. Thanks