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Samuel K. Tennis wrote:
>
> If I already forwarded this message, I apologize. I forwarded it to Perry
> and he was kind enough to return this reply...
>
> Samuel
>
> >From: "Perry Kaufman"
> >To: "Samuel K. Tennis" <skt@xxxxxxxx>
> >Subject: Re: can't remember where I read...
> >Date: Thu, 27 Aug 1998 07:09:41 -0500
> >
> << Snip... >>
> >
> >As for your correlation of indicators, the original article that I know
> was published by Lukac, Brorsen, and Irwin, "Similarity of Computer Guided
> Technical Trading Systems," CSFM-124, Working Paper Series, Columbia
> Futures Center, Columbia University Business School, 1986. It compared 12
> systems for correlation of returns, percentage of trades that occurred on
> the same day, and the percentage of trading days that the systems held the
> same positions...
<snip>
FYI. A lot of this work grew out of Lukac's MS thesis at Purdue titled "Similarity of
Technical Trading Systems and Market Efficiency Implications", 1985.
Lukac, Brorsen, and Irwin also published "A Comparison of Twelve Technical Trading
Systems", which, again, probably grew out of their early research. It's all pretty
interesting reading.
Regards,
Bill Vedder
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