论文标题
电力辅助趋势跟随
Power Assisted Trend Following
论文作者
论文摘要
“趋势是你的朋友”是一个普遍的说法，困难在于确定您是否处于趋势。趋势足够强大吗？趋势何时逆转，您将如何确定这一点？我们将在此处尝试至少其中一些问题。我们正在得出一个新颖的指标，以使用数字信号处理技术来测量趋势的功能，从而将信号与噪声分开。我们将这些应用于示例和真实数据，并评估这些算法在J. Welles Wilder Jr.于1978年设计的算法之后的“波动性指数”趋势的PNL性能的关系。
'The trend is your friend' is a common saying, the difficulty lies in determining if and when you are in a trend. Is the trend strong enough to trade? When does the trend reverse and how are you going to determine this? We will try and answer at least some of these questions here. We are deriving a novel indicator to measure the power of a trend using digital signal processing techniques, separating the Signal from the Noise. We apply these to examples as well as real data and evaluate the accuracy of these and the relation to PNL performance of the 'Volatility Index' trend following algorithm devised by J. Welles Wilder Jr. in 1978.
