Steve Mayo Legend  Posts: 414 Joined: 10/11/2012 Location: Austin, TX  User Profile | The "Scoring Function" that determines which port to use for the next period will definitely allow applying a linreg -- it was a separate step that I called score transformation in our Excel mockup but it is a native part of Omnilanguage so much easier to implement. After you compute a bunch of possible stitched ports, using a regression line to "evaluate" the permuted stitched ports (to determine which to use in your "switching system") might be a good idea too. Thanks for suggesting that one, Keith. The issue, however, might be how long do you lookback and do you need to compensate for low R-squared values? Looking a a port at the end of, say, 2007-2009, you might have a "U" shape. Depending on what day you measure, you might get a good slope but the correlation will be close to zero. Wouldn't this get into, therefore, needing to give uses a lookback and R2 threshold setting -- that gets too complicated for the causal user, I fear. [Edited by Steve Mayo on 4/13/2014 5:10 PM] | |
