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Re: DeTrend [Re: ytc] #464520
02/22/17 15:46
02/22/17 15:46
Joined: Jul 2000
Posts: 27,986
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,986
Frankfurt
It means that the trade return is corrected by the average price slope of the current WFO cycle. PRICES is handled in a similar way. CURVE means the price curve is tilted so that it ends at the same level as the start after the lookback period.

Re: DeTrend [Re: jcl] #464528
02/22/17 21:30
02/22/17 21:30
Joined: Nov 2016
Posts: 55
Taipei
ytc Offline
Junior Member
ytc  Offline
Junior Member

Joined: Nov 2016
Posts: 55
Taipei
Much appreciated for the help, jcl.

Re: DeTrend [Re: ytc] #464571
02/27/17 10:29
02/27/17 10:29
Joined: Aug 2016
Posts: 61
D
dr_panther Offline
Junior Member
dr_panther  Offline
Junior Member
D

Joined: Aug 2016
Posts: 61
This is my take: lets assume a stock price today 100 points higher than it was before 100 trading days, e.g on average it went 1 point higher a day. If you had an trading system which would prefer long only, you would have a big gain, but maybe just because of beta (market performance) not your trading system.

To eliminate the long bias, you would detrend the price curve, e.g. everyday you would substract 1 point (100 point / 100 days = average per day) from the daily performance and test your system on that curve.

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