How do you intend to use the detrended price? Usually it is used in cycle work. Is that what you are after?
I also wonder if there is much difference between Aronson's results and the commonly used Close - (ma() or ref(ma()) or linear regression) approach. Bill ----- Original Message ----- From: Louis Préfontaine To: [email protected] Sent: Sunday, March 02, 2008 10:42 AM Subject: Re: [AmiBroker] Re: Detruding... log Hi, The rules doesn't matter. The goal of the detrending is to verify if a rule has a positive or negative bias. One has to substract the average daily log of a stock from the daily log difference between two days and then apply the rules to the results. It sounds complicated, but I think it is worth the trouble! Louis 2008/3/2, Mr. Valley <[EMAIL PROTECTED]>: I have not read that book. What are the rules? -----Original Message----- From: [email protected] [mailto:[EMAIL PROTECTED] Behalf Of Louis Préfontaine Sent: Sunday, March 02, 2008 8:02 AM To: [email protected] Subject: Re: [AmiBroker] Re: Detruding... log Hi, Do you think the two codes can do what Aronson recommands? I mean: would I be able to backtest the detrended code to see how my rules perform in it? If yes, how would you do it? Thanks! Louis 2008/3/1, Mr. Valley <[EMAIL PROTECTED]>: Like This? Detrend = Close * log (Ref(O,-2) / Ref(O,-1)) - log(MA(C/Ref(C,-1),BarIndex()-1)); Plot (Detrend,"Detrended Returns",6,1); Plot (0.00,"",2,1); -----Original Message----- From: [email protected] [mailto:[EMAIL PROTECTED] Behalf Of louisprefontaine Sent: Saturday, March 01, 2008 4:19 PM To: [email protected] Subject: [amibroker] Re: Detrending... log Anybody can help? Thanks, Louis --- In [email protected], "Louis Préfontaine" <[EMAIL PROTECTED]> wrote: > > I am trying to build a formula to "detrend" the market. > > What I want to set is something like this > > Close of day 0 * ( log (open day2/open day 1) - average log return of > every day of the data available. > > Anybody can do that? > > Thanks, > > Louis > ------------------------------------------------------------------------------ No virus found in this incoming message. Checked by AVG Free Edition. Version: 7.5.516 / Virus Database: 269.21.2/1304 - Release Date: 2/29/2008 8:18 AM
