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auto-correlation of stock prices in months
No, but that’s an interesting thought. Thanks for commenting.
moving average convergence / divergence on the market 🙂
not sure what period is covered.
Ding! You got it. It is the resulting set of price weights for MACD 12-26-9, which seems to be the most common set of parameters, though I don’t profess expertise here.
The thirty day price of your favorite new penny stock. ; )
Interesting – I’ve been working on this for a while. I’ve analysed time series of market indices, comparing the returns on trading using various moving average (MA) pairs, with a buy and hold strategy.
For the S&P since 1950, I’ve found no MA pair (longer average up to 180 days) that returns more than a buy and hold strategy, and most are much worse. (I’ve included a 10 bp trading charge, but it doesn’t affect the overall result).
I’m sure I can’t be the only one doing this sort of work, so I would love to hear of any other sources. My sense is that mathematically the MA is a crude approximation of the second derivative, and that one should not be using pairs of MA, but multiple combinations, in some sort of multi-dimensional matrix. Something to occupy my mind as the evenings draw in.
At least it gives me some ammo to deal with the idiot brokers who call me to tell me that there is great significance in the spot price crossing the 60-day or 180-day MA – historically you would have lost a lot of money following that logic.
http://www.investment-models.com/ is one such success story and has a 40 year track record.
Full disclosure – I do not have any $ in the game one way or the other with this vendor or with this approach. I do however find it interesting.