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There is also a recent [interesting] discussion at
http://forum.esignalcentral.com/showthread.php?
s=a2b3dcf4416e6a5431d6d44c605b0050&threadid=436&pagenumber=1
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
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> > >
> > >
> > >
>
>
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