Intermarket Study

beginner_av · #11 30th May 2007, 10:18 PM

my results had showed cor. between bonds (and int rate derivatives), stocks and commodities, but the latest positive cor between stocks and commodities (all rising) shows that we can just assign probabilities and let the price action show the actual path

Linus · #12 30th May 2007, 10:32 PM

Hi Avi,

Thanks to you and SavantGarde for the links. Will sure look 'em up. Yes, correlation between Bonds-Stocks, Dollar-Gold etc is interesting and currently I am reading a lot of stuff on this subject and your links will be of help. I wanna find some correlation between two seemingly unconnected markets!!

Thanks n regards,

ss

uasish · #13 31st May 2007, 08:00 AM

Sunil,
Correlation can even be found on single security & it's ,say Price & an Indicator's Signal.(like always my studies r more Long skewed).Some time back i simply used MACD's signal (traditional) & filtered long triggers with correlation to close.
To get effective output ,tried to find the 'Coefficient Factor' of Correlation & somehow was able to find the 'Cycle' (incorporating that Factor).
Result,when Buy signals (from MACD ,filtered with correlation to close) & 'Correlation Coffecient' at the same time if indicated a new impulse,then that Buy signal is traded for Long.
Like many this project is also pending,but since then i always said that MACD will always keep you on the right side of the Mkt (for Long Term time frame than mine).
The attached chart of Nifty Fut is self explanatory.

Asish

CreditViolet · #14 3rd June 2007, 01:14 AM

Quote:

Originally Posted by uasish

Sunil,
Correlation can even be found on single security & it's ,say Price & an Indicator's Signal.(like always my studies r more Long skewed).Some time back i simply used MACD's signal (traditional) & filtered long triggers with correlation to close.
To get effective output ,tried to find the 'Coefficient Factor' of Correlation & somehow was able to find the 'Cycle' (incorporating that Factor).
Result,when Buy signals (from MACD ,filtered with correlation to close) & 'Correlation Coffecient' at the same time if indicated a new impulse,then that Buy signal is traded for Long.
Like many this project is also pending,but since then i always said that MACD will always keep you on the right side of the Mkt (for Long Term time frame than mine).
The attached chart of Nifty Fut is self explanatory.

Asish

Spurious Correlation - Correlations that do not imply causation

uasish · #15 3rd June 2007, 01:31 AM

Will definetly reply to this later.

CreditViolet · #16 3rd June 2007, 02:08 AM

Sure Sir

http://www.nceas.ucsb.edu/~alroy/JA_commandments.html

uasish · #17 3rd June 2007, 02:10 AM

Thks for the link. (why sir ?)

uasish · #18 3rd June 2007, 02:35 AM

CV ,
6th commandment clearly defies auto-correlation,very diificult to jump to this until assimillated properly.Let me slowly sink it ,thks for trying to help me .

Asish

uasish · #19 3rd June 2007, 08:16 AM

"Spurious Correlations"
Correlations that are due mostly to the influences of one or more "other" variables. For example, there is a correlation between the total amount of losses in a fire and the number of firemen that were putting out the fire; however, what this correlation does not indicate is that if you call fewer firemen then you would lower the losses. There is a third variable (the initial size of the fire) that influences both the amount of losses and the number of firemen. If you "control" for this variable (e.g., consider only fires of a fixed size), then the correlation will either disappear or perhaps even change its sign. The main problem with spurious correlations is that we typically do not know what the "hidden" agent is. However, in cases when we know where to look, we can use partial correlations that control for (i.e., partial out) the influence of specified variables.
So CV has expressed his opinion that my method of trying to find a correlation with indicator MACD & the underlyings close ,according to him "Spurious Correlations" ,a statistical term, & becoz of my lack of knowledge i thought the word Spurious is meant to bash me,(as per HariOm hitting sixers).
Thks CV for channelling my efforts to get deeply involved in the subject of correlation.

Linus · #20 3rd June 2007, 09:28 AM

Hi CV/Asish,

I now have a good book on Statistics and will brush up whatever I learned in college. Thanks for the link CV.

ss

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