RE: [amibroker] Determining cycles

["Chuck Rademacher" <chuck_rademacher@xxxxxxxxxx>]

<FONT face=Arial color=#0000ff 
size=2>Ara,
<FONT face=Arial color=#0000ff 
size=2> 
I 
should tell you that I have never found moving averages to work well, over time, 
except for market timing using something like a 5/15 EMA crossover.  Every 
attempt that I've made to find one moving average across a basket of stocks has 
not been profitable.   Dynamically adjusting the lookback periods, 
however, does improve things considerably.  For the record, I would NEVER 
use different lookback periods for each stock.
<BLOCKQUOTE 
>
  <FONT face="Times New Roman" 
  size=2>-----Original Message-----From: Ara Kaloustian 
  [mailto:ara1@xxxxxxxxxx]Sent: Friday, February 06, 2004 3:34 
  PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
  Determining cycles
  Chuck, glad to hear you've tried 
  this....
   
  I tried - a while ago - to use ROC as a measuring 
  tool to set stochastic cycles ... it improved performance but was rather crude 
  and did not have the time to persue it at the time.
   
  Hope we get a lot of responses see what tools are 
  best for measuring cycle length.
   
  ... You're right acout MA Crossovers being th 
  obvious place to start optimizing
   
  Ara
   
   
  ----- Original Message ----- 
  <BLOCKQUOTE dir=ltr 
  >
    <DIV 
    >From: 
    <A title=chuck_rademacher@xxxxxxxxxx 
    href="">Chuck Rademacher 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Friday, February 06, 2004 12:03 
    PM
    Subject: RE: [amibroker] Determining 
    cycles
    
    <FONT face=Arial color=#0000ff 
    size=2>Ara,
    <FONT face=Arial color=#0000ff 
    size=2> 
    <FONT face=Arial color=#0000ff 
    size=2>I've used various tools for measuring cycle length and then used the 
    calculated cycle length to determine which parameter set to use in a 
    dynamically adjusted system.   The obvious system that comes to 
    mind when considering this approach is the basic moving average 
    crossover.   Since moving averages (reputedly) work best when 
    using 1/2 the cycle length, the methodology is pretty straight 
    forward.   You have prompted me to resurrect my research in this 
    area to be used for my market timing tools.
    <BLOCKQUOTE 
    >
      <FONT face="Times New Roman" 
      size=2>-----Original Message-----From: Ara Kaloustian 
      [mailto:ara1@xxxxxxxxxx]Sent: Friday, February 06, 2004 2:44 
      PMTo: Ami-MainSubject: [amibroker] Determining 
      cycles
      Has anyone used cycle length determined 
      dynamically and used to set parameters for each run?
       
      I considered using Fast Fourier Transform... 
      am open to any other suggestions 
       
      If it works one can produce constantly 
      optimzed system ... geting close to the"holly grail"
       
      Thanks
      AraSend BUG REPORTS 
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