FEB 1987 STOCKS & COMMODITIES Magazine

Article Archive For FEB1987

Applying statistical pattern recognition to commodity trading systems by Scott Brill

ARTICLE SYNOPSIS ...Applying statistical pattern recognition to commodity trading systems by Scott Brill Statistical pattern recognition (SPR) is a subfield of artificial intelligence concerned with automatic recognition of meaningful regularities in noisy or complex environments. Since the early 1960s, a large body of these techniques have been developed to solve problems ranging from machine vision and machine recognition of human speech to bankruptcy prediction. In this article, we will introduce you to some basic SPR tools which can be used to create automatic trading systems, and give two demonstrations of ...

AUTHOR: Scott BrillDATE: FEB1987

Are there patterns in financial ratios? by Clifford J. Sherry, Ph.D.

ARTICLE SYNOPSIS ...Are there patterns in financial ratios? by Clifford J. Sherry, Ph.D. Technical analysts strive to find patterns in the past history of the prices of stocks and commodities (using charts, moving averages, etc.) that will allow them to predict future prices or price movements. The major argument against this idea is the assumption that prices are determined by a random and independent process. I have developed a number of statistical techniques that will allow you to determine if the process you are interested in is random (Stocks & Commodities, March 1986) and/or independent (October 1985, Apr...

AUTHOR: Clifford J. Sherry, Ph.D.DATE: FEB1987

Generalship for consistent profits by Vincent Cosentino

ARTICLE SYNOPSIS ...Generalship for consistent profits by Vincent Cosentino. Rodney Dangerfield would have loved it. After the July 7, 1986 record drop of 61.87 points in the Dow Jones Industrial Average, articles appeared crediting technicians with everything from making the right call to causing the slide. Headlines bellowed, ""Market gurus jolt the Dow,"" and ""Stock market's technical analysts get new respect after price drop. ""Hey Rodney! Respect! Of course, not all observers were complimentary. One fundamentalist skeptic flung his gauntlet to the marble with, ""I defy you to show me one technician who ha...

AUTHOR: Vincent CosentinoDATE: FEB1987

AUTHOR: John SweeneyDATE: FEB1987

In search of the perfect system: Interview Jack Schwager

ARTICLE SYNOPSIS ...In search of the perfect system: Interview Jack Schwager Jack Schwager, self-confessed skeptic and diligent debunker of ""new and improved"" commodity trading systems, is director of both research and managed trading for PaineWebber and is a not-too-recent convert to the ways of technical analysis. Fifteen years ago, as an economics major fresh out of graduate school, Schwager began his career as a research analyst at Reynolds Securities with no previous experience with commodities. ""But I wasn't into the job for more than a week,"" he says, ""when I realized this was something interesting ...

AUTHOR: Technical Analysis, Inc.DATE: FEB1987

Profitability of selected technical indicators: U.S. T-Bond futures by Steven L. Kille and Thomas P. Drinka

ARTICLE SYNOPSIS ...Profitability of selected technical indicators: U.S. T-Bond futures by Steven L. Kille and Thomas P. Drinka In the December 1985 issue of this magazine, we reported the results of applying moving averages, momentum, %R, and Relative Strength (RSI) to five December corn futures contracts. We also reviewed the formulas and trading techniques for these popular indicators. For each, we presented the net trading profit or loss generated by the five most profitable parameter sets from exclusively long positions, exclusively short positions, and alternating long and short positions....

AUTHOR: Steven L. Kille and Thomas P. Drinka, Ph.DDATE: FEB1987

SIDEBAR: Statistical vs. practical significance by Technical Analysis, Inc.

ARTICLE SYNOPSIS ...SIDEBAR: Statistical vs. practical significance by Technical Analysis, Inc. Let's look more closely at practical significance when using chi-square methodology. First, you need to specify two different hypotheses. They are frequently called the null and alternate hypotheses. In this case, the null hypothesis would be that prices are not random, and the alternate hypothesis would be that prices are random. What level would the chi-square statistic have to reach in order for you to reject the null hypothesis and accept that prices are random?...

AUTHOR: Technical Analysis, Inc.DATE: FEB1987

Trend of the trend by Gregory L. Morris

ARTICLE SYNOPSIS ...Trend of the trend by Gregory L. Morris Most indicators of trend are taken for granted even though many times they are used successfully by stock and commodity traders. It has been my experience that blindly following canned indicators can lead you into a false sense of security, especially if you begin using the indicator when it is correctly calling the market. If you begin using a trend-following indicator during its inevitable whipsaw period, you will lose faith and look for another indicator. Therefore, if you develop an indicator using some basic logic and reason which is related to kno...

AUTHOR: Gregory L. MorrisDATE: FEB1987