A.Coles, March 15 2011

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This entry pertains to the new category “Ongoing MIDAS Research” and will be stored in the new folder on the right bearing this name.

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One of the aims of this site has been to use it as a storehouse for new and ongoing MIDAS research. However, since the site was created, new work on MIDAS has either appeared in articles or more recently in the book. With the book’s completion, we’ve now decided that there’s a need once again to use some area of the site to store new MIDAS work.

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The problem is that the site’s design is based around the blog, which in turn was developed for market commentary. Consequently, there isn’t a facility on the site ideally suited to store accessible research. Storing the information in the blog archives is a problem in so far as anything worth saying in a single blog entry (or as part of a blog incorporating ongoing market commentary) will be quickly submerged in the many other entries that make up the blog. As a result, interested readers – us included – will find it extremely difficult to reference this material later.

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As the design of the site stands, the best way of getting around this problem is to store ongoing MIDAS work in a separate blog category I’ve just created called “Ongoing MIDAS Research”, which readers can see on the right. Accordingly, any new work will be stored in this folder as well as under our own respective names.

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What do I mean by “ongoing MIDAS research”? I mean anything that might fall under the following categories:

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1. Genuinely new MIDAS applications to new datasets. For example, I (Andrew Coles) have an article forthcoming in Active Trader where I’ve created new MIDAS curves based on momentum and volatility data and other fractal datasets such as the Baltic Dry Index and Relative Strength ratios. This goes beyond the book. Work of this nature would be highly relevant.

2. New variations of MIDAS curves as a result of any manipulation of mathematical procedures involving MIDAS.

3. New uses of MIDAS curves. For example, on one particular dataset MIDAS curves have been used as disconfirmatory curves in relation to price-based curves and we’ll be watching the possible significance of this in the coming months.

4. Atypical contexts where for whatever reason MIDAS indicators fail unexpectedly. If they do, we’ll want to know why and we’ll want to explain it thoroughly.

5. Any technical contexts that produce unusual behaviour in MIDAS curves or, on the flipside, appear to work particularly well with the MIDAS approach, resulting in interesting creative and technical synergies.

6. Spectacular successes and spectacular failures involving the curves.

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When we identify one or more of these conditions, we’ll either write a separate blog entry on it, or we’ll incorporate it into one of the market commentary blogs. However, at the beginning we’ll flag the blog entry as involving new MIDAS research and store in the new blog category, “Ongoing MIDAS Research”.

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Finally, there’s a brief apology over the relative infrequency of blog entries here plus on occasion the absence of the richness of MIDAS analysis that can be found in the book and articles. The reason essentially is time. I learned this lesson quickly when I first started frequently posting longer commentaries on here. Extensions of the MIDAS tools unfortunately require a great deal of data- mining and data-manipulation in Metastock, particularly when focusing on areas such as open interest and the creation therefrom of various indicators I discussed in Chapter 12 of the book and of evolved curves such as those that use, say, Open Interest Weighted Price (OIWAP) instead of VWAP. David too has his own time limitations that prevent him from developing many of his own interests to the extent that he’d like to. With this proviso, we’ll do our best to keep the site updated as frequently as we can, both with market commentary and with new MIDAS-based research.

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