[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: Cutting off volume spikes



PureBytes Links

Trading Reference Links




<FONT face=Arial color=#0000ff 
size=2>Corey,
<FONT face=Arial color=#0000ff 
size=2> 
FWIW, 
your T3 version of Hilbert cycle finder is working best for me.   Of 
course, that doesn't mean that it is the best.  It is working best in 
combination with my systems.   
<FONT face=Arial color=#0000ff 
size=2> 
If you 
are interest in how I am using it...
<FONT face=Arial color=#0000ff 
size=2> 
This 
particular system had an optimised lookback of 10 days.   Using your 
version of the Hilbert Cycle finder, I ended up by saying something like 
this:
<FONT face=Arial color=#0000ff 
size=2> 
    <FONT face=Arial 
color=#0000ff size=2>lookback = IIF(HilbertPeriod() > 30, 12, 
8)
<FONT face=Arial color=#0000ff 
size=2> 
These 
values (30,12,8) were all optimised, but made logical sense to me and actually 
were my initial defaults.
<FONT face=Arial color=#0000ff 
size=2> 
<FONT face=Arial color=#0000ff 
size=2>Ten-year CAR on 19,000 stocks, 1% slippage, taking 35 positions at a 
time, shorting against an up-trend went from 50% to 60% and max drawdown went 
from 40% to 20%.   
<FONT face=Arial color=#0000ff 
size=2> 
Thanks 
for prompting me to have another look at dynamically adjusting lookback 
periods.
<BLOCKQUOTE 
>
  <FONT face="Times New Roman" 
  size=2>-----Original Message-----From: Corey Saxe 
  [mailto:res1wgwl@xxxxxxxxxxx]Sent: Monday, February 09, 2004 12:04 
  AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
  Re: Determining cycles
  Anthony,
   
  That's correct. Just something that i was working with. 
  Smoothperiod is the resulting output from the Hilbert cycle period, and the 
  input for the RSI.
   
  Try plotting this and adjust "RSI Lookback".
   
   
  T=Param<FONT 
  size=2>("RSI 
  Periods",<FONT 
  color=#4b0082>1<FONT face=Verdana 
  color=#4b0082>4,<FONT face=Verdana 
  color=#4b0082>2,<FONT face=Verdana 
  color=#4b0082>100,<FONT face=Verdana 
  color=#4b0082>1);
  T2=<FONT 
  color=#b300b3>Param("RSI 
  Lookback",1<FONT 
  size=2>,1,<FONT 
  color=#4b0082>15,<FONT face=Verdana 
  color=#4b0082>1);
  mo = C<FONT 
  size=2>-Ref(<FONT 
  color=#ff0000>C,-T2);
  Up = <FONT 
  color=#b300b3>IIf( mo><FONT 
  color=#4b0082>0, mo, <FONT 
  color=#4b0082>0);
  Dn = <FONT 
  color=#b300b3>IIf( mo<<FONT 
  color=#4b0082>0, -mo, <FONT 
  color=#4b0082>0);
  Ut = <FONT 
  color=#b300b3>AMA(Up,<FONT 
  color=#4b0082> 1/T<FONT 
  size=2>);
  Dt = <FONT 
  color=#b300b3>AMA(Dn,<FONT 
  color=#4b0082> 1/T<FONT 
  size=2>);
  RSIt=<FONT 
  color=#4b0082>100<FONT 
  size=2>*(Ut/(Ut+Dt));
  Plot<FONT 
  size=2>(RSIt,"RSIt",1,1);<FONT color=#b300b3 
  size=1>
  Plot<FONT 
  size=2>(RSI(14),"RSI",0,1);// Regular RSI
   
  -CS
  <BLOCKQUOTE dir=ltr 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    Anthony 
    Faragasso 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Sunday, February 08, 2004 2:31 
    PM
    Subject: Re: [amibroker] Re: 
    Determining cycles
    
    Corey,
     
    Thank you for sharing....
     
    I notice at the bottom of the formula....you 
    have a Param() for RSI lookback Divisor....since it is not assigned, I do 
    not believe it serves any purpose at this time...is this correct 
    ?
     
    
    T=SmoothPeriod/Param<FONT 
    size=2>("SmoothPeriod 
    Divisor",<FONT color=#ff00ff 
    size=2>1,<FONT color=#ff00ff 
    size=2>1,<FONT color=#ff00ff 
    size=2>5,<FONT color=#ff00ff 
    size=2>0.1);
    T2=T/4<FONT 
    size=2>;
    Param("RSI 
    Lookback Divisor",<FONT color=#ff00ff 
    size=2>4,<FONT color=#ff00ff 
    size=2>1,<FONT color=#ff00ff 
    size=2>15,<FONT color=#ff00ff 
    size=2>0.1);// Not assigned
     
    Anthony
    <BLOCKQUOTE 
    >
      ----- Original Message ----- 
      <DIV 
      >From: 
      Corey 
      Saxe 
      To: <A 
      title=amibroker@xxxxxxxxxxxxxxx 
      href="">amibroker@xxxxxxxxxxxxxxx 
      
      Sent: Sunday, February 08, 2004 5:03 
      PM
      Subject: Re: [amibroker] Re: 
      Determining cycles
      
      Anthony,
       
      Here (attachment and below) is an example of RSI driven 
      by Hilbert cycle periods. As you can tell, I'm not done with this formula 
      either.
       
      Note that the Hilbert transform part of the cycle period 
      formula is different. I have found that over time Ehlers has made 
      different versions. I collect them like beer bottles and test them for 
      accuracy and response... like beer.
       
      -CS
       
      /* 
      ---------------------------------------------------------- 
      Adaptive RSI w/Hilbert Cycle 
      Period
      AFL conversion by Corey Saxe
      <FONT color=#000000 
      size=2>---------------------------------------------------------- 
      */
      SetBarsRequired<FONT 
      size=2>( 100000, 0 );
      Prices =(<FONT 
      color=#ff0000>H+<FONT 
      color=#ff0000>L)/<FONT 
      color=#4b0082>2;
      Smoother = <FONT 
      color=#4b0082>0; Detrender = <FONT 
      color=#4b0082>0;
      I1 = <FONT 
      color=#4b0082>0; I2 = <FONT 
      color=#4b0082>0;
      Q1 = <FONT 
      color=#4b0082>0; Q2 = <FONT 
      color=#4b0082>0;
      jI = <FONT 
      color=#4b0082>0; jQ = <FONT 
      color=#4b0082>0;
      X1 = <FONT 
      color=#4b0082>0; X2 = <FONT 
      color=#4b0082>0;
      Y1 = <FONT 
      color=#4b0082>0; Y2 = <FONT 
      color=#4b0082>0;
      Re = <FONT 
      color=#4b0082>0; Im = <FONT 
      color=#4b0082>0;
      Period = <FONT 
      color=#4b0082>0;SmoothPeriod=<FONT 
      color=#4b0082>1;
      CU=<FONT 
      color=#4b0082>0; CD=<FONT 
      color=#4b0082>0;
      pi = <FONT 
      color=#4b0082>4 * <FONT 
      color=#b300b3>atan(<FONT 
      color=#4b0082>1) 
;
       
      for (i = 6; 
      i<BarCount; i++)
      {
      Smoother[i] = (<FONT 
      color=#4b0082>4*Prices[i] + <FONT 
      color=#4b0082>3*Prices[i-<FONT 
      color=#4b0082>1]+ <FONT 
      color=#4b0082>2*Prices[i-<FONT 
      color=#4b0082>2]+ Prices[i-<FONT 
      color=#4b0082>3])/<FONT 
      color=#4b0082>10;
      Detrender[i] = (<FONT 
      color=#4b0082>0.0962*Smoother[i] + <FONT 
      color=#4b0082>0.5769*Smoother[i-<FONT 
      color=#4b0082>2] - <FONT 
      color=#4b0082>0.5769*Smoother[i-<FONT 
      color=#4b0082>4] - <FONT 
      color=#4b0082>0.0962*Smoother[i-<FONT 
      color=#4b0082>6]) * (<FONT 
      color=#4b0082>0.075*Period[i-<FONT 
      color=#4b0082>1] + <FONT 
      color=#4b0082>0.54<FONT 
      size=2>);
      //{Compute InPhase AND Quadrature 
      components}
      Q1[i] = (<FONT 
      color=#4b0082>0.0962*Detrender[i] + 
      0.5769<FONT 
      size=2>*Detrender[i-2<FONT 
      size=2>] - 0.5769<FONT 
      size=2>*Detrender[i-4<FONT 
      size=2>] - 0.0962<FONT 
      size=2>*Detrender[i-6<FONT 
      size=2>])*(0.075<FONT 
      size=2>*Period[i-1] 
      + 0.54<FONT 
      size=2>);
      I1[i] = Detrender[i-<FONT 
      color=#4b0082>3<FONT 
      size=2>];
      //{advance the phase of I1 AND Q1 by 90 
      degrees}
      jI[i] = <FONT 
      color=#4b0082>0.0962*I1[i] + <FONT 
      color=#4b0082>0.5769*I1[i-<FONT 
      color=#4b0082>2] - <FONT 
      color=#4b0082>0.5769*I1[i-<FONT 
      color=#4b0082>4] - <FONT 
      color=#4b0082>0.0962*I1[i-<FONT 
      color=#4b0082>6] * (<FONT 
      color=#4b0082>0.075*Period[i-<FONT 
      color=#4b0082>1] + <FONT 
      color=#4b0082>0.54<FONT 
      size=2>);
      jQ[i] = <FONT 
      color=#4b0082>0.0962*Q1[i] + <FONT 
      color=#4b0082>0.5769*Q1[i-<FONT 
      color=#4b0082>2] - <FONT 
      color=#4b0082>0.5769*Q1[i-<FONT 
      color=#4b0082>4] - <FONT 
      color=#4b0082>0.0962*Q1[i-<FONT 
      color=#4b0082>6] * (<FONT 
      color=#4b0082>0.075*Period[i-<FONT 
      color=#4b0082>1] + <FONT 
      color=#4b0082>0.54<FONT 
      size=2>);
      //{Phasor addition to equalize amplitude 
      due to quadrature calculations (AND 3 bar 
      averaging)}
      I2[i] = I1[i] - jQ[i];
      Q2[i] = Q1[i] + jI[i];<FONT 
      color=#008000 size=1>
      //{Smooth the I AND Q components before 
      applying the discriminator}
      I2[i] = <FONT 
      color=#4b0082>0.2*I2[i] + <FONT 
      color=#4b0082>0.8*I2[i-<FONT 
      color=#4b0082>1];
      Q2[i] = <FONT 
      color=#4b0082>0.2*Q2[i] + <FONT 
      color=#4b0082>0.8*Q2[i-<FONT 
      color=#4b0082>1<FONT 
      size=2>];
      //{Homodyne 
      Discriminator}
      //{Complex Conjugate 
      Multiply}
      X1[i] = I2[i]*I2[i-<FONT 
      color=#4b0082>1];
      X2[i] = I2[i]*Q2[i-<FONT 
      color=#4b0082>1];
      Y1[i] = Q2[i]*Q2[i-<FONT 
      color=#4b0082>1];
      Y2[i] = Q2[i]*I2[i-<FONT 
      color=#4b0082>1];
      Re[i] = X1[i] + Y1[i];
      Im[i] = X2[i] - Y2[i];<FONT 
      color=#008000 size=1>
      //{Smooth to remove undesired Cross 
      products}
      Re[i] = <FONT 
      color=#4b0082>0.2*Re[i] + <FONT 
      color=#4b0082>0.8*Re[i-<FONT 
      color=#4b0082>1];
      Im[i] = <FONT 
      color=#4b0082>0.2*Im[i] + <FONT 
      color=#4b0082>0.8*Im[i-<FONT 
      color=#4b0082>1<FONT 
      size=2>];
      //{Compute Cycle 
      Period}
      if<FONT 
      size=2> (Im[i] != 0 
      AND Re[i] != 
      0) Period[i] = 
      (2*pi)/<FONT 
      color=#b300b3>atan<FONT 
      size=2>(Im[i]/Re[i]);
       
      if<FONT 
      size=2> (Period[i] > 1.5<FONT 
      size=2>*Period[i-1]) 
      Period[i] = 1.5<FONT 
      size=2>*Period[i-1<FONT 
      size=1>];
       
      if<FONT 
      size=2> (Period[i] < 0.67<FONT 
      size=2>*Period[i-1]) 
      Period[i] = 0.67<FONT 
      size=2>*Period[i-1<FONT 
      size=1>];
       
      if<FONT 
      size=2> (Period[i] < 6<FONT 
      size=2>) Period[i] = 6<FONT 
      size=1>;
       
      if<FONT 
      size=2> (Period[i] > 50<FONT 
      size=2>) Period[i] = 50<FONT 
      size=1>;
      Period[i] = <FONT 
      color=#4b0082>0.2*Period[i] + <FONT 
      color=#4b0082>0.8*Period[i-<FONT 
      color=#4b0082>1<FONT 
      size=2>];
      //End Hilbert Cycle 
      Period-----------------------------------------------<FONT 
      size=1>
      SmoothPeriod[i] = <FONT 
      color=#4b0082>0.33 * Period[i] + <FONT 
      color=#4b0082>0.67 * 
      SmoothPeriod[i-1<FONT 
      size=1>];
      }
      /*
      'x=int(0.5 * SmoothPeriod(i))
      ' for n = 1 To int(0.5 * 
      SmoothPeriod(i))
       
      ' if Close(n) > Close(n-1) 
      then
      ' CU(n) = CU(n-1) + ( Close(n) - 
      Close(n-1) )
      ' End if
      'if Close(n) < Close(n-1) 
      then
      ' CD(n) = CD(n-1) + ( Close(n-1) - 
      Close(n) )
      'End if
      'if (CU(n) + CD(n)) <> 0 
      then
      ' RSIh(n) = (100 * ( CU(n)) /( CU(n) + 
      CD(n) ) )
      ' End if
      'Next
      */
      T=SmoothPeriod/<FONT 
      color=#b300b3>Param(<FONT 
      color=#0000ff>"SmoothPeriod Divisor",<FONT 
      color=#4b0082>1,<FONT 
      color=#4b0082>1,<FONT 
      color=#4b0082>5,<FONT 
      color=#4b0082>0.1<FONT 
      size=2>);
      T2=T/<FONT 
      color=#4b0082>4;<FONT 
      color=#b300b3>Param(<FONT 
      color=#0000ff>"RSI Lookback Divisor",<FONT 
      color=#4b0082>4,<FONT 
      color=#4b0082>1,<FONT 
      color=#4b0082>15,<FONT 
      color=#4b0082>0.1<FONT 
      size=2>);
      mo = Prices-<FONT 
      color=#b300b3>Ref<FONT 
      size=2>(Prices,-T2);
      Up = <FONT 
      color=#b300b3>IIf( mo><FONT 
      color=#4b0082>0, mo, <FONT 
      color=#4b0082>0);
      Dn = <FONT 
      color=#b300b3>IIf( mo<<FONT 
      color=#4b0082>0, -mo, <FONT 
      color=#4b0082>0);
      Ut = <FONT 
      color=#b300b3>AMA(Up,<FONT 
      color=#4b0082>2/(<FONT 
      color=#4b0082>2<FONT 
      size=2>*T));
      Dt = <FONT 
      color=#b300b3>AMA(Dn,<FONT 
      color=#4b0082>2/(<FONT 
      color=#4b0082>2<FONT 
      size=2>*T));
      RSIt=<FONT 
      color=#4b0082>100<FONT 
      size=2>*(Ut/(Ut+Dt));
      GraphXSpace<FONT 
      size=2>=5;
      Plot<FONT 
      size=2>(RSIt,"RSI-Hilbert",0,1);<FONT 
      face=Verdana color=#b300b3 size=1>
      Plot<FONT 
      face=Verdana>(RSI<FONT 
      face=Verdana>(LastValue<FONT 
      face=Verdana>(Smoothperiod)),"LastValue 
      RSI",1<FONT 
      face=Verdana>,1<FONT face=Verdana 
      size=1>);
      Plot<FONT 
      size=2>(T,"Smoothed Cycle Period",2,1|<FONT 
      face=Verdana>styleOwnScale);
      UT=<FONT 
      color=#b300b3>Param(<FONT 
      color=#0000ff>"Threshold",<FONT 
      color=#4b0082>70,<FONT 
      color=#4b0082>50,<FONT 
      color=#4b0082>100,<FONT 
      color=#4b0082>1<FONT 
      size=2>);
      PlotGrid<FONT 
      size=2>(UT,0);
      PlotGrid<FONT 
      size=2>(100-UT,0);
       
      <BLOCKQUOTE dir=ltr 
      >
        ----- Original Message ----- 
        <DIV 
        >From: 
        Anthony 
        Faragasso 
        To: <A 
        title=amibroker@xxxxxxxxxxxxxxx 
        href="">amibroker@xxxxxxxxxxxxxxx 
        
        Sent: Sunday, February 08, 2004 
        4:28 AM
        Subject: Re: [amibroker] Re: 
        Determining cycles
        
        Corey,
         
        How do you use this formula with other 
        indicators....could you give us an example.....
         
        Thank you
        Anthony
        <BLOCKQUOTE 
        >
          ----- Original Message ----- 
          <DIV 
          >From: 
          Corey 
          Saxe 
          To: <A 
          title=amibroker@xxxxxxxxxxxxxxx 
          href="">amibroker@xxxxxxxxxxxxxxx 
          
          Sent: Sunday, February 08, 2004 
          6:24 AM
          Subject: Re: [amibroker] Re: 
          Determining cycles
          
          Chuck,
           
          One of the things that I was working on is an 
          improved "smoother" (Smoother2) for the input data to the Hilbert 
          transform (TASC v18:11) rather that Ehlers smoother (Smoother1). As 
          you can see I was trying out Tillson's T3 smoother, and "Periods2" is 
          just the amount of periods of smoothing that T3 is using. "Smoother2" 
          is the T3 output for use in the rest of the formula. "a" is simply the 
          "Hot" input parameter for use in T3. Note that I am using TEMA and not 
          EMA as the original T3 suggests. (BTW, I tripped over a TASC V19:6 
          article by Steve Burns that describes an adaptive T3 to 
          boot.)
           
          Yes, I undestand that the formula should be able to 
          accurately find cycles down to a period of 6 days but using a 
          quick and dirty test using a synthetic waveform (Sine Wave Test in the 
          formula), I found odd fluctuations in cycle period output below 9 
          days. I am still working on a resolution for it.
           
          Smoother1 is the native smoother from Ehlers 
          original formula. Smoother2 is my replacement of it by 
T3.
           
          The formula that I sent for Ara is just one of many 
          rough test examples, not yet ready for prime time. Ara and 
          everyone are free to twist and tweak it as they please. When I am 
          confident of the accuracy of its output (and the accuracy of my 
          translation and AFL coding), I would be happy to share.
           
          Below is the EasyLanguage (Ha!) formula I derived 
          from. 
           <FONT 
          face=Arial size=1>
          { 
          —————————————————————————————
          HilbertPeriod 
          (Function) by John Ehlers (7/22/00)
          This is the 
          Hilbert Cycle Period Function used by the Hilbert Channel
          Breakout 
          System.
          <FONT face=Verdana color=#000080 
          size=2>————————————————————————————— }
          Inputs: 
          Price(numeric);
          Vars: 
          Smoother(0), Detrender(0), I1(0), Q1(0), jI(0), jQ(0),
          I2(0),Q2(0), 
          X1(0), X2(0), Y1(0), Y2(0), Re(0), Im(0), Period(0);
          If CurrentBar 
          >5 then begin
          Smoother = 
          (4*Price + 3*Price[1] + 2*Price[2] + Price[3])/10;
          Detrender = 
          (.25*Smoother + .75*Smoother[2] - .75*Smoother[4]
          - 
          .25*Smoother[6])*(.046*Period[1] + .332);
          {Compute 
          InPhase and Quadrature components}
          Q1 = 
          (.25*Detrender + .75*Detrender[2] - .75*Detrender[4] -
          <FONT face=Verdana color=#000080 
          size=2>.25*Detrender[6])*(.046*Period[1] + .332);
          I1 = 
          Detrender[3];
          {advance the 
          phase of I1 and Q1 by 90 degrees}
          jI = .25*I1 + 
          .75*I1[2] - .75*I1[4] - .25*I1[6];
          jQ = .25*Q1 + 
          .75*Q1[2] - .75*Q1[4] - .25*Q1[6];
          {Phasor 
          addition to equalize amplitude due to quadrature 
          calculations
          (and 3 bar 
          averaging)}
          I2 = I1 - 
          jQ;
          Q2 = Q1 + 
          jI;
          {Smooth the I 
          and Q components before applying the discriminator}
          I2 = .15*I2 + 
          .85*I2[1];
          Q2 = .15*Q2 + 
          .85*Q2[1];
          {Homodyne 
          Discriminator}
          {Complex 
          Conjugate Multiply}
          X1 = 
          I2*I2[1];
          X2 = 
          I2*Q2[1];
          Y1 = 
          Q2*Q2[1];
          Y2 = 
          Q2*I2[1];
          Re = X1 + 
          Y1;
          Im = X2 - 
          Y2;
          {Smooth to 
          remove undesired cross products}
          Re = .2*Re + 
          .8*Re[1];
          Im = .2*Im + 
          .8*Im[1];
          {Compute Cycle 
          Period}
          If Im <> 
          0 and Re <> 0 then Period = 360/ArcTangent(Im/Re);
          If Period > 
          1.5*Period[1] then Period = 1.5*Period[1];
          If Period < 
          .67*Period[1] then Period = .67*Period[1];
          If Period 
          <6 then Period = 6;
          If Period 
          >50 then Period = 50;
          Period = 
          .2*Period + .8*Period[1];
          {END CORE 
          CODE}
          HilbertPeriod 
          = Period;
          <FONT face=Verdana color=#000080 
          size=2>end;
           
          -CS
           
           
           
           
           
          ----- Original Message ----- 
          <BLOCKQUOTE dir=ltr 
          >
            <DIV 
            >From: 
            <A title=chuck_rademacher@xxxxxxxxxx 
            href="">Chuck Rademacher 

            To: <A 
            title=amibroker@xxxxxxxxxxxxxxx 
            href="">amibroker@xxxxxxxxxxxxxxx 
            
            Sent: Saturday, February 07, 
            2004 7:47 PM
            Subject: RE: [amibroker] Re: 
            Determining cycles
            
            <FONT face=Arial color=#0000ff 
            size=2>Thanks, Phsst.   
            <FONT face=Arial color=#0000ff 
            size=2> 
            <FONT face=Arial color=#0000ff 
            size=2>I am using Corey's code with great success and I was a bit 
            concerned about "future leak".   I couldn't see where it 
            was happening and didn't really take the time to 
            investigate.   I just liked the results I was 
            getting.
            <FONT face=Arial color=#0000ff 
            size=2> 
            <FONT face=Arial color=#0000ff 
            size=2>Corey, I'm hoping that you see this email as I have a couple 
            of questions for you.
            <FONT face=Arial color=#0000ff 
            size=2> 
            <FONT face=Arial color=#0000ff 
            size=2>1.  Can you tell me what is going on with "Periods2" and 
            "a"?   I see you have them as Param statements, but can 
            you recommend defaults.   If I do understand what you are 
            doing with Periods2, your default of "5" seems a bit 
            low.   Espeicially in light of your comment about "Periods 
            < 9 are NOT reliable".   Or is that referring to some 
            other variable?
            <FONT face=Arial color=#0000ff 
            size=2> 
            <FONT face=Arial color=#0000ff 
            size=2>2.  You seem to have built-in two smoothing techniques 
            (Smoother1 and Smoother2).  Can you tell me more about the 
            logic behind these?
            <FONT face=Arial color=#0000ff 
            size=2> 
            <FONT face=Arial color=#0000ff 
            size=2> 
            <FONT face=Arial color=#0000ff 
            size=2>Thanks.
            <BLOCKQUOTE 
            >
              <FONT face="Times New Roman" 
              size=2>-----Original Message-----From: Phsst 
              [mailto:phsst@xxxxxxxxx]Sent: Saturday, February 07, 
              2004 10:00 PMTo: 
              amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: 
              Determining cyclesChuck and 
              Corey,The offending line of code 
              is:SetBarsRequired( 1000000, 1000000 );The above 
              line caused the 'Check' feature to issue a warning 
              aboutreferencing 'future 
              quotes'.Regards,Phsst--- In 
              amibroker@xxxxxxxxxxxxxxx, "Chuck 
              Rademacher"<chuck_rademacher@x> wrote:> 
              Corey,> > When I used your code (or mine) for the 
              HilbertPeriod thingie, AB thinks> that we are looking into 
              the future.  Any idea where to look for the> 
              problem?>   -----Original 
              Message----->   From: Corey Saxe 
              [mailto:res1wgwl@xxxx]>   Sent: Saturday, 
              February 07, 2004 5:30 AM>   To: 
              amibroker@xxxxxxxxxxxxxxx>   Subject: Re: 
              [amibroker] Determining cycles> > 
              >   Ara,> >   I use 
              dynamic periods for nearly everything. To suppose that amarket 
              is> always and forever going to cycle at say, 21 days is 
              absurd.> >   Hence, why I supported 
              dynamic parameter input for variousfunctions and> 
              indicators.> >   Something I've been 
              tweaking is included.> >   Note that each 
              indicator or metric that you desire to measure hasits 
              own> sweet-spot which will be a multiple (or fraction) of 
              the resulting cycle> frequency.>   For 
              instance, If you want to use cycle period input to the 
              MACD,you may> find that it works best if the input 
              periods are multiplied by 0.67, but> maybe RSI works best 
              if the cycle periods are multiplied by 0.5.> 
              >   Don't bother with FFT. The deficiencies are 
              vast. Dennis Meyers did a> series of articles a few years 
              ago in Futures mag, and describedmany of the> failures 
              of FFT to work on market prices because of the 
              constantvariability> of the current cycle 
              periods.> >   
              -CS>     ----- Original Message 
              ----->     From: Ara 
              Kaloustian>     To: 
              Ami-Main>     Sent: Friday, February 
              06, 2004 11:43 AM>     Subject: 
              [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>     Ara> > 
              >     Send BUG REPORTS to 
              bugs@xxxx>     Send SUGGESTIONS to 
              suggest@xxxx>     
              ----------------------------------------->     
              Post AmiQuote-related messages ONLY to: 
              amiquote@xxxxxxxxxxxxxxx>     (Web 
              page: <A 
              href="">http://groups.yahoo.com/group/amiquote/messages/)>     
              -------------------------------------------->     
              Check group FAQ at:> <A 
              href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html> 
              > > >     Send BUG 
              REPORTS to bugs@xxxx>     Send 
              SUGGESTIONS to suggest@xxxx>     
              ----------------------------------------->     
              Post AmiQuote-related messages ONLY to: 
              amiquote@xxxxxxxxxxxxxxx>     (Web 
              page: <A 
              href="">http://groups.yahoo.com/group/amiquote/messages/)>     
              -------------------------------------------->     
              Check group FAQ at:> <A 
              href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html> 
              > 
              >           
              Yahoo! Groups 
              Sponsor>                 
              ADVERTISEMENT> > > > > 
              >---------------------------------------------------------------------------->     
              Yahoo! Groups Links> 
              >       a.. To visit your 
              group on the web, go 
              to:>       <A 
              href="">http://groups.yahoo.com/group/amibroker/> 
              >       b.. To unsubscribe 
              from this group, send an email 
              to:>       
              amibroker-unsubscribe@xxxxxxxxxxxxxxx> 
              >       c.. Your use of 
              Yahoo! Groups is subject to the Yahoo! Terms of> 
              Service.Send BUG REPORTS to 
              bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
              suggest@xxxxxxxxxxxxx-----------------------------------------Post 
              AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
              (Web page: <A 
              href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
              group FAQ at: <A 
              href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
              Send BUG REPORTS to 
              bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
              suggest@xxxxxxxxxxxxx-----------------------------------------Post 
              AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
              (Web page: <A 
              href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
              group FAQ at: <A 
              href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
              Send BUG REPORTS to 
          bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
          suggest@xxxxxxxxxxxxx-----------------------------------------Post 
          AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web 
          page: <A 
          href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
          group FAQ at: <A 
          href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
          Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend 
          SUGGESTIONS to 
          suggest@xxxxxxxxxxxxx-----------------------------------------Post 
          AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web 
          page: <A 
          href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
          group FAQ at: <A 
          href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
          Send BUG REPORTS to 
      bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
      suggest@xxxxxxxxxxxxx-----------------------------------------Post 
      AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: 
      <A 
      href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
      group FAQ at: <A 
      href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
      Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend 
      SUGGESTIONS to 
      suggest@xxxxxxxxxxxxx-----------------------------------------Post 
      AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: 
      <A 
      href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
      group FAQ at: <A 
      href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
      Send BUG REPORTS to 
  bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
  suggest@xxxxxxxxxxxxx-----------------------------------------Post 
  AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A 
  href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check 
  group FAQ at: <A 
  href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
  


Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html








Yahoo! Groups Sponsor


  ADVERTISEMENT 












Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/ 
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx 
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.