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[amibroker] Re: TRENDING vs. RANGING markets



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I use another method to reach the fundamental market frequencies. The 
smoothing factor of some Breath Indicators [like the RSIt] fits to 
the main market movements for values 31 to 33. Unfotunately this 
resonance frequency is not stable, it varies in a narrow range 28 to 
36 but this variation is responsible for some local delays.
Someday I have to work the same indicators with VARIABLE TIME FACTOR. 
It is not that simple, it needs a smart approach and a lot of work 
and, frankly speaking, I am a bit lazy...
I have some plans for the upcoming summer, but, it is not a promise.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Listes trading" 
<listes.trading@xxxx> wrote:
> Dimitri
> 
> If I have clearly understood the MESA documentation, MESA does not 
use FFT
> but another algorithm that is not subject to the FFT limitations.
> FFT has 2 major limitations for financial applications:
>   a.. FFT is valid only for time series having a finite second 
order moment
> and there is no evidence that financial time series fulfil this 
condition
> (some theorician like B.Mandelbrot has made the hypothesis of 
infinite
> moment for market time series)
>   b.. FFT uses moving windows and is very sensitive to the choice 
of the
> window and to the way data are padded, this is why - as you state- 
the
> historical results are changed when you add new data
> I think MESA is using Hilbert transform that is very efficient to 
analyse
> signals having a single frequency varying in time. It is able to 
extract the
> variation of the frequency. But when the signal contains several 
frequencies
> varying in time, the results are not reliable. Financial time 
series are
> composed of an unknown number of frequencies varying in time and, 
therefore,
> Hilbert transform does not seem very suitable for analysis and 
prediction.
> Anyway, MESA site contains a lot of interesting documents and even 
if it is
> not Holy Grail, it is a great source of ideas to built indicators 
and
> systems.
> 
> Waz
>   -----Original Message-----
>   From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
>   Sent: jeudi 27 mars 2003 11:30
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: [amibroker] Re: TRENDING vs. RANGING markets
> 
> 
>   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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