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I think that Ehlers
wrote some pares in TASC that discussed his algorithm. It is not FFT. If
you look at some of his books and some of his articles in TASC you'll probably
find your answer.
<FONT face=Arial
size=2>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: Listes trading
[mailto:listes.trading@xxxxxxx] Sent: Thursday, March 27, 2003 7:16
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.
FFT
has 2 major limitations for financial applications:
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)
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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