9:1 Up/Down volume analysis

Andy,
What I am confused about is the following (using your example):
11 -> signal initiated
157 -> signal initiated (157 - 11 > 65)
158 -> Buy Signal (158 - 157 < 65)
230 -> signal ignored (inside 120 day holding period 230 - 158 < 120)
235 -> signal ignored (inside 120 day holding period 235 - 159 < 120)
291 -> signal initiated (holding period ended in line 278)
314 -> Buy Signal (314 - 291 < 65)
319 -> ignore signal (inside 120 day holding period)

That is my understanding of the 9/1 Up Down Vol rule. I do see how our numbers are slightly different because we are interrupting the effect of the holding period differently.
 
Larry,
I now see why you did that way. I believe you mix and match your 65 and 120 period.
I don't think it's correct. Everyone uses the same 65 days window, then apply different HP. That means we have to filter the signal using 65 window FIRST, then apply HP.
If you do 65 first, 291 will not be counted in that window so it does not even exist when you do the 120 HP.
11 -> signal initiated
157 -> signal initiated (157 - 11 > 65)
158 -> Buy Signal (158 - 157 < 65)
230 -> signal initiated (230 - 157 > 65)
235 -> Buy Signal (235 - 230 < 65)
291 -> signal IGNORED (second signal in the 65 windows starting at 230)
314 -> signal initiated (314 - 230 > 65)
319 -> Buy Signal (319 - 314 < 65)

AFTER this, you will then apply the 120 HP filter
 
Andy, great job. Have you boostrapped the trading rule and applied to other market indices?
 
Hello Andy,
Based on your Analysis I have tabulated the data, 1st signal was given on 27 July and 2nd on 6th Sept 2012
 
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