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<FONT face=Tahoma
size=2>-----Original Message-----From: Bob Jagow
[mailto:bjagow@xxxxxxxxxxx]Sent: Thursday, March 27, 2003 2:09
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: TRENDING vs. RANGING markets
<FONT
color=#000080>Hilbert?
How about <SPAN
class=451545321-27032003><FONT
color=#000080>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>
<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
<FONT face=Verdana color=#800000
size=2>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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