Re: [amibroker] Re: Determining cycles

["Ara Kaloustian" <ara1@xxxxxxxxxx>]

Corey,
 
Very interesting note about Hilbert period ... that 
I just don't understand (my ignorance of the math behing it).
 
Could you comment about why the actual price of an 
issue is a consideration.... I would think a percentage change in price is what 
drives the fluctioations .. reagrdless of absolute value???
 
Thanks
 
Ara
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Corey 
  Saxe 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Monday, February 09, 2004 9:23 
  AM
  Subject: Re: [amibroker] Re: Determining 
  cycles
  
  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> 
    <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> Send BUG REPORTS to 
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