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<FONT
color=#000080>Hilbert?
How about <SPAN
class=451545321-27032003>MaximumEntrophySpectralEstimation?
<SPAN
class=451545321-27032003>Bettter yet, call it <SPAN
class=451545321-27032003>MaximumEntrophySpectralAnalysis to
attract the MESA crowd.
<SPAN
class=451545321-27032003>
<SPAN
class=451545321-27032003>Bob
<FONT face=Tahoma
size=2>-----Original Message-----From: Listes trading
[mailto:listes.trading@xxxxxxx]Sent: Thursday, March 27, 2003 5:16
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: TRENDING vs. RANGING markets
<FONT face=Verdana color=#800000
size=2>Dimitri
<FONT face=Verdana color=#800000
size=2>
If
I have clearly understood the MESA documentation, MESA does not use FFT but
another algorithm that is not subject to the FFT
limitations.
<FONT face=Verdana color=#800000
size=2>FFT has 2 major limitations for financial
applications:
<FONT face=Verdana color=#800000
size=2>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)
<FONT face=Verdana color=#800000
size=2>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.
<FONT face=Verdana color=#800000
size=2>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.
<FONT face=Verdana color=#800000
size=2>
<FONT face=Verdana color=#800000
size=2>Waz
<FONT face=Tahoma
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx]Sent: jeudi 27 mars 2003
11:30To: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: TRENDING vs. RANGING marketsGreg,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.> > <A
href="">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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