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Strategies & Market Trends : Technical analysis for shorts & longs -- Ignore unavailable to you. Want to Upgrade?

To: j g cordes who wrote (16064)	5/17/1998 4:50:00 PM
From: Lachesis Atropos	Read Replies (2) \| Respond to of 68396

The ranking is base on a simulation. The computer runs 2 weighted moving averages over the prices of a stock picking the two optimal MAs. For example, if a stock's data set has 270 days in it, the simulation tries 270 x 269 MAs buying or selling on the next day's opening price according to the crossover rule. It saves the highest compounded rate of return and the two values of the MAs that returned that rate. This is run over ~8000 stocks. Then I dump the values for a symbol's MAs and rates of return in a database that maps stock symbols to sectors and summarizes the rate of returns the simulation achieved by sector. In short, the number at the end is the compounded rate of return, that is how the sectors are ranked. If the number at the end is 3.99 then the simulation returned a profit of : profit = principle*(1+3.99) for the period. Uncanny, but their seems to be a correlation of trends by sector; however, I am still skeptical. Funny, I could not pick this up before just by doing pure stats on prices. It wasn't until Harry directed me to Stock Pro and I mined their web pages for the mapping of sectors to stock symbols. Beware, the last lesson I learnt from my analysis is that the market is extremely ironic, 40% of the time it is going up, 40% it is going down and 20% of the time it is doing nothing--this distribution is indifferent to massive amounts of number crunching. In a simulation I can move it to my favor, but lacks consistent practical results. There is an infinte number of ways to slice and dice market data but I ask where is the meaning? I have found the means but no ends! Lachesis