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Greg,
thank you for your mail.
I always have a question for any spectral study. They are usually
based of FFT, which changes the historical results as time goes by.
My specific question is for the Cycle function of your gif. Suppose
we read a price 20 for March27. Three months later, the reading of
March27 will still be 20 or something else ?
TIA for any reply.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Greg" <greg.bean@xxxx> wrote:
> Gosub,
>
> I have just recently been doing some reading about this in John
Ehler's -
> Rocket Science for Traders . He does make an attempt
at "predicting" future
> price movement. Below is a brief example of his approach to this. I
haven't
> found out how to test this in AB , but maybe someone else has.
>
> http://www.mesasoftware.com/mesa98.htm#MESA96
>
> MESA2002:
>
> MESA2002 is THE premier cycle-based trading program. MESA2002 is
available
> for a variety of trading platforms, includingTradeStation (4.0,
2000i, and
> 6.0), SuperCharts, NeuroShellTrader, and Standalone. It accurately
measures
> short term cycles. The trading platforms offer powerful extensions
to
> trading systems by making variables adaptive to the measured
cycles. One
> such adaptive application is to determine whether the mode of the
market is
> cyclical or trending.
>
>
> MESA2002 program Charting Screen
>
> The basic operation of MESA2002 is measurement of the spectral
content of
> the price data using the Maximum Entropy Spectral Analysis method.
When the
> data is stationary the cycles are stable and consistent. The
spectral
> display segment is a colorized contour plot showing the quality of
the cycle
> measurement (the bottom display segment). When the measured cycles
are
> erratic or when the spectral energy is "splattered" across the
range of
> cycle periods the market is in a Trend Mode.
>
>
>
>
> The market mode is sensed by examining the phase of the dominant
cycle. A
> fundamental definition of a cycle is a constant rate change of
phase. For
> example, a 10 day cycle changes phase at the rate of 36 degrees per
day to
> complete the 360 degrees in each cycle. The Trend Mode is
identified by the
> failure to change at a constant rate. The phase presentation in the
3rd
> display segment shows the phase changing at a constant rate,
forming a
> sawtooth waveform in the Cycle Mode, and changing erratically in
the two
> Trend Mode areas.
>
> The Sinewave Indicator in the 2nd display segment gives the position
> reversal signals by the crossing of the two lines. Note these two
lines
> cross only when the prices are in the Cycle Mode and, unlike most
oscillator
> signals, do not give false whipsaw signals when the price is in the
Trend
> Mode. The Sinewave Indicator is anticipating the cyclic turning
points, is
> generated by adding 45 degrees to the measured phase angle and
plotting the
> Sine of it.
>
> The strength and direction of the Trend are shown by the two
adaptive moving
> averages overlaid on the price bars. The slower of these averages
is an
> Instantaneous Trendline, obtained by completely removing the
dominant cycle
> component. The faster of these averages is a minimum lag filter.
>
> MESA2002 (standalone and TradeStation versions) makes a prediction
of prices
> 10 bars into the future. This prediction is made on the assumption
that the
> measured dominant cycle will continue into the future with the same
> amplitude and phase. Therefore, the prediction has greater validity
when the
> prices are in the Cycle Mode.
>
> MESA2002 (standalone) reads five different data types directly,
including
> Metastock, CSI, ASCII, and TC2000. You can generate your own custom
> portfolio and have MESA2002 automatically scan that porfolio for
buying and
> selling opportunities.
>
>
>
> The MESA2002 DEMO is a 534 KB self extracting file. When you run
MESADEMO,
> it is extracted to the C:\MESADEMO directory as the default. To run
the
> demo, you click START . . . RUN and then type C:\MESADEMO\DEMO32.
Then click
> on the MESA2002.DBD file.
>
> ...........................MESA2002 (standalone) .........$350
> ...........................MESA2002 for NeuroShell
Trader. .........$350
> ...........................MESA2002 for TradeStation2000i or 6.0
> .........$495
> ...........................MESA2002 for TradeStation
4.0. .........$495
> ...........................MESA2002 for SuperCharts. .........$250
>
> . . . . . .
>
>
>
> (Back to Start)
>
>
>
>
> ----- Original Message -----
> From: "gosub283" <gosub283@xxxx>Gosub
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, March 26, 2003 1:08 PM
> Subject: [amibroker] TRENDING vs. RANGING markets
>
>
> > Hi everyone,
> >
> > I think this issue will become more important
> > over the next year or two.....
> >
> > When a human looks at a chart, he/she can
> > immediately determine if a market is in
> > a TRENDING mode or a RANGING mode.
> > It is a most amazing feat of human visual
> > data analysis that takes place in a matter
> > of seconds. Trying to get computers to "visually"
> > analize anything takes major computing power.
> > Unfotunately computers and trading system have
> > a much more difficult time of determining these
> > market modes than us humans.
> > Things become very "fuzzy" when trying to
> > put the question of "Ranging vs. Trending" into
> > mathamatical algorithms. And...of course.. the
> > trading timeframe (long term vs. short term),
> > make things even fuzzier. (is "fuzzier" a word ??)
> >
> > For those of us who program automated systems,
> > this is especialy important because it means
> > that we can design systems that adjust effortlessly
> > between ranging and trending markets. If correctly
> > identified, a system can use a particular set
> > of indicators for Ranging markets and then switch
> > to other indicators when a trend is determined.
> > Allowing for a truly autonomous system.
> >
> > Has anyone found a way to mathamatically (reliably!)
> > determine if a market is Trending or Ranging ???
> > (An AFL algorithm perhaps)
> > In other words, an indicator which can give direction
> > as to which set of indicators to use.
> > (A hypothetical example of such an indicator would
> > have a response from 0=ranging to 10=Trending )
> >
> > Cheers,
> > Gosub283
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> >
> >
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