This takes the place of the usual Wednesday update since this week I cannot update Wednesday. So it is the first update of the Gregorian New Year.
It is always a bad sign when reality trends at 90 degrees to the model prediction. So - I think this week, either the DJIA breaks down, or the model breaks down. So far, the model for the DJIA converges quickly, so there is still hope. For the model that is.
The blog seems to get a lot of visitors from Germany, so I decided to see if I could work with the DAX and put up a DAX model chart. I am still processing it so it may be a few days and like the AMEX Oil Index, I may not get a chance to fully backtest it. It covers a short time period in relation to other models, but so far it looks reasonable.
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Hi Paolo,
ReplyDeleteDon't mean to cause you more work, but how about a model of the Euro?
The past 5 years have been fairly random looking and don't give very clear clues using regular technical analysis.
Well, since you put it that way - that regular technical analysis doesn't give good predictive information in this case, I guess I'll bite - the only caveat is whether the Euro fx relationships follow a business cycle model or not...empiric question! It may take me a few weeks to get it up and running but I'll give it a good effort.
ReplyDeleteThanks for dropping in again!
-P
I guess I should 'fess up as well - I have an ulterior motive for looking at the DAX, related to some work I'm doing to see if phase-shift transforms across two markets can add any predictive information to a model. Now that is going to take a while!
ReplyDelete