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Hi there,
I have a stupid question, and I'm not sure whether I'm thinking the right way -
I have constructed an momentum index that looks at a basket of currencies and then derives from that a momentum signal for the USDCHF rate.
So I have an expert on the USDCHF rate that reads a value from a momentum signal coming from an an index that consist of a basket of other currencies. That index value is moved with Ref (Index, +5)
Now is it true that as soon as I use Ref( +n) that means it would be forward-looking, i.e. , a useless / approach ?
Or is Ref (Index, -5) forward looking ?
thanks for clarification.
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Rank: Advanced Member
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Joined: 10/28/2004(UTC)
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Location: Perth, Western Australia
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Hi Ben,
Ref(index, MINUS 5) returns the value of index 5 bars into the history. This can be used for trading etc as we are allowed to look into the past to see what went on.
Ref(index, PLUS 5) looks five bars into the future. It's like saying, "what is the closing price in 5 bars time?" which is a question that cannot be answered without the aid of a soothsayer and crystal ball.
If you forget what the effects of each are, plot both systems (one at a time) on a chart. The Ref(index,-5) will return results for all bars including the last charted bar, that is except for the first five bars on the chart when there isn't enough history for the function to return a value. If you then plot Ref(index, +5), you will see results for all bars except for the LAST five bars when the crystal ball has not seen past the edge of the chart. Seeing as we trade at the bleeding edge of the chart, the forward-looking Ref() is not much use to us here. (It does have its uses though, just ask Roy Larsen)
Written without the aid of my morning coffee....
Hope this helps.
wabbit [:D]
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 7/4/2006(UTC)
Posts: 57
Location: Zurich, Switzerland
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yes it does, thanks a lot, I just wasn't clear about it.
Just to clarify:
I have an expert that reads momentum values of the Index and displays buy or neutral bars derived from that Index on USDCHF.
So actually I get superb results displayed when I use Ref ( +5) (and very nicely so historically), but apparently not useful in the real situation, as I would have to wait for 5 days in until the real signal would display in a actual situation.
:-)
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users
Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
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When you use forward referencing you might see effects like alerts popping up in history where there were no alerts previously. e.g. on Monday, you might observe there were no signals in the previous week, but on Tuesday a new alert was raised last Wednesday!
Unless your broker allows you to trade in history, these alerts are useless.
wabbit [:D]
P.S. Peak(), Trough(), Zig() and other functions do the same thing, so must be used with extreme caution.
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Rank: Advanced Member
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Joined: 11/7/2005(UTC)
Posts: 602
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I think Enron was doing something like that. Only works for a while.
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