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techcharter

07/08/12 10:37 PM

#47173 RE: Oddlot #47170

OddLot - projection degradation.

That's definitely on my to-do list. I need to automate trend identification and projection processes in order to get a thorough metric. One thing I've noticed with the shorter periods is they have much more variation in amplitude and frequency than longer cycles. The 8 day period was as short as I could go with daily data and have enough confidence making a projection. I would make an educated guess that a projection is valid for 1/2 the period of the shortest period in the composite. My projections are really only good for 4 days since the shortest period is 8 days. I can remove the 8 day period, leaving the 14 day period as the smallest in order to project a general direction of 7 days. Here's what I'm looking for with this tool: that a trend exists with an X% move within the time frame, and spends more than Y% of time in the trend. That would give a margin of safety monitoring trend changes as well as a getting in and out of a trade.