Re: [amibroker] Re: Determining cycles

["Corey Saxe" <res1wgwl@xxxxxxxxxxx>]

Chuck,
 
Glad to hear it, and glad to have helped someone that has 
helped me so much.
 
I have yet to settle on what I would consider to be the best 
cycle finder too. I use several and they are in a constant state 
'improvement'.
 
Thanks for posting your results. Using Hilbert to decide 
between two input parameters is sometimes all it takes.
 
I started using Hilbert cycle periods back in my 
MetaStock days but was blocked in using their full potential since MS doesn't 
allow dynamic period input for most, if not all of its formulas and indicators. 
When I got a chance to actually test some concepts in AB and saw the results, I 
supported dynamic parameter input, which is really what makes a self-adjusting 
formula possible. The computer in your car measures air flow and temperature, 
RPM, throttle plate position, and engine temp to continuously tune itself to the 
current environment, why can't a trading system do the same?
 
You have advantages in working with stocks. With futures, I 
need to fine-tune individual formulas to different markets. Australian dollar is 
around $0.76 whereas DJIA is around 10,500, and Hilbert CP perceives the amount 
of price change necessary to detect a cycle differently in each market. But hey, 
it's worth it. :-)
 
-CS
<BLOCKQUOTE dir=ltr 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=chuck_rademacher@xxxxxxxxxx 
  href="">Chuck Rademacher 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Monday, February 09, 2004 1:20 
  AM
  Subject: RE: [amibroker] Re: Determining 
  cycles
  
  <FONT face=Arial color=#0000ff 
  size=2>Corey,
  <FONT face=Arial color=#0000ff 
  size=2> 
  <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> 
  <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> 
  <FONT face=Arial color=#0000ff 
  size=2>Thanks for prompting me to have another look at dynamically adjusting 
  lookback periods.
  <FONT face=Arial color=#0000ff 
  size=2> 


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