I went to a presentation a couple of years ago by a small hedge fund I believe was based out of Austin who uses the angle of the move as part of their position sizing formula in one of their momentum strategies. I thought it was an interesting concept but I have never got around to testing its validity. Might be some merit to it. If I can dig up my notes and I will see if I wrote down any additional comments that might be applicable and post them if there is any interest.
Regards, Duke Jones, CMT sebastiandanconia wrote: > In one respect, I shot my mouth off before fully understanding that > drawing lines using linregslope isn't the same as simply drawing lines > "freehand," whether it's with pencil and paper or with computer > graphics. Sincere apologies.:) > > There's still the issue of how important the angle really is. Even if > using linregslope yields angles that are consistent without regard to > scaling, that's interesting from a trig standpoint but from a trading > standpoint, so what? > > > Luck, > > Sebastian > > > ---- In [email protected], "Fred" <[EMAIL PROTECTED]> wrote: > >> Yes ... >> >> The angle is a relation of rise ( Price ) over run ( Time ) >> >> When rise is measured in terms of percent or log10 of price there >> will be no change in the angle after a split ... Percentage or log10 >> based moves in price are really the only reasonable way to measure >> them any way ... or chart them for that matter ... this is for the >> same reason that CAR is calculated the way it is i.e Total Gain ^ ( >> 1 / Number of Years ) as opposed to something that typically gets >> referred to as ANN and has a formula like Total Gain / Number of >> Years ... The latter is at least imho a semi meaningless statistic. >> >> --- In [email protected], "quanttrader714" >> <quanttrader714@> wrote: >> >>> Would you agree there's a problem if the slope changes when the >>> >> stock >> >>> splits? >>> >>> --- In [email protected], "Joe Landry" <jelandry@> wrote: >>> >>>> Don't apologize but you're not bursting my bubble, yet! ( but I'm >>>> >>> open to >>> >>>> having it deflated). >>>> I've heard this knock off before and let's put it to bed if we >>>> >> can. >> >>>> Did you try zooming the chart? Both x and y? Surely the slope >>>> >> of the >> >>>> plotted line >>>> changes as you move both the x, abscissa and the ordinate, price, >>>> >>> but the >>> >>>> calculated >>>> values of the slope from using linregslope does not. I think of >>>> >> the >> >>> slope >>> >>>> as representative of the rate of change of >>>> that price (or other) array. I don't know what Eckhardt said or >>>> >> in >> >>> what >>> >>>> context he said it. Maybe >>>> he was talking about using pencil and paper. There the scaling on >>>> >>> the chart >>> >>>> would make a difference. >>>> >>>> Also, you have to ask yourself, why would Tomasz have coded a >>>> >>> linregslope >>> >>>> function, or Dimitris Tsokakis and others >>>> used it so frequently in their work on the forum? In my >>>> >> collection >> >>> alone of >>> >>>> valued AFL clips I get 200 hits by many different >>>> users of this board. >>>> >>>> Best regards >>>> JOE >>>> >>>> >>>> ----- Original Message ----- >>>> From: "sebastiandanconia" <sebastiandanconia@> >>>> To: <[email protected]> >>>> Sent: Thursday, August 24, 2006 9:31 AM >>>> Subject: [amibroker] Re: Never Took Trigonometry >>>> >>>> >>>> >>>>> I apologize for bursting your bubble, but angles are not going >>>>> >> to be a >> >>>>> consistent measure. If the scale of the chart changes so does >>>>> >> the >> >>>>> angle, even if the price data and timeframe are precisely the >>>>> >> same. >> >>>>> Trendlines that connect highs/lows, however, are consistent >>>>> >> regardless >> >>>>> of scale. In "The New Market Wizards" mathmatician William >>>>> >> Eckhardt >> >>>>> explains why methods based on angles are fallacious, but >>>>> >> methods based >> >>>>> on trendlines are more legitimate. >>>>> >>>>> >>>>> Luck, >>>>> >>>>> Sebastian >>>>> >>>>> --- In [email protected], "Charles J. Dudek" <trader@> >>>>> >> wrote: >> >>>>>> I don't know how to convert a slope value (LinRegSlope) to an >>>>>> >> angle. >> >>>>>> I took a line from the Woodie's CCI script and converted it, >>>>>> >> but I >> >>>>>> don't think it's right. >>>>>> >>>>>> PI = atan(1.00) * 4; >>>>>> angle = round(180 * acos(1/LinRegSlope(C,sp)) / PI); >>>>>> >>>>>> Chuck Dudek >>>>>> >>>>>> >>>>> >>>>> >>>>> >>>>> >>>>> >>>>> Please note that this group is for discussion between users >>>>> >> only. >> >>>>> To get support from AmiBroker please send an e-mail directly to >>>>> SUPPORT {at} amibroker.com >>>>> >>>>> For other support material please check also: >>>>> http://www.amibroker.com/support.html >>>>> >>>>> >>>>> Yahoo! Groups Links >>>>> >>>>> >>>>> >>>>> >>>>> >>>>> >>>>> >>>>> > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > > > > > > > > > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
