MIDAS Applied to Long- and Very Long-Term Timeframes

The strategies I have explained so far in this chapter help to prepare us for the peculiarities of applying MIDAS to long- and especially very long-term timeframes—charts of monthly, quarterly, and yearly bars. Just as there were unique problems dealing with ETFs, the very long-term timeframe presents even different problems about whether and when it's better to use no-volume MIDAS curves than standard ones. As a first indication that things are different in this realm, consider the situation shown in Figure 6.12. This is a time-based monthly bars chart of the S&P 500 for the few years before and after the crash of 1987. The solid curve is a standard MIDAS support curve, and the dotted one ...

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