Hi, Shrewd!        Login  
Shrewd'm.com 
A merry & shrewd investing community
 Best Of MI | Best Of | Favourites & Replies | All Boards | Post of the Week! ¤
Search MI
Shrewd'm.com Merry shrewd investors
Best Of MI | Best Of | Favourites & Replies | All Boards | Post of the Week! ¤
Search MI

Investment Strategies / Mechanical Investing
Unthreaded | Threaded | Whole Thread (17) |
Author: bacon   😊 😞
Number: of 4356 
Subject: Re: look back period
Date: 09/02/2025 8:45 AM
Post New | Post Reply | Report Post | Recommend It!
No. of Recommendations: 6
The most effective look back period for relative strength is proportional to the forward holding period.

This implies that for the canonical monthly hold the best look back would be four weeks. That certainly hasn't been my experience over the years.

In time series statistical analysis, the rule of thumb is that you can predict with some reliability one-fourth to one-third of the time frame for which you achieve stationarity on the past (stationarity: jargon-speak for getting a stable pattern from the data). Thus, if you have a statistically reliable pattern over 12-month intervals, you can reliably predict 3-4 months into the future.

Eric Hines
Post New | Post Reply | Report Post | Recommend It!
Print the post
Unthreaded | Threaded | Whole Thread (17) |


Announcements
Mechanical Investing FAQ
Contact Shrewd'm
Contact the developer of these message boards.

Ticker or Board Name Author

Best Of MI | Best Of | Favourites & Replies | All Boards | Followed Shrewds