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Ara,
 
That's part of it. Question is, since the input prices are 
detrended to remove the slope so Hilbert can see the underlying cycles, 
will then a +/- 10 point cycle on something trading at 10,500 operate in the 
same manner as one trading at 30?
 
To tell the truth, as yet I don't know. Not enough of a math 
whiz (Homodyne Discriminator & <FONT 
color=#008000 size=1>Complex Conjugate Multiply 
?).
I haven't yet taken data from a 10,500 trading market and subtracted 
10,470 from it and reran the test yet, but so far, for the same indicators to be 
profitable, I have to tweak the Hilbert output a little. Most likely, 
I'm probably adjusting for the differences in price volatility between the 
markets. Come to think of it, I could just take my testing +/- 30 sine wave 
and add about 10,000 to it and see what the outcome is. Then I would know if 
Hilbert is looking for cycles on an absolute or relative basis.
 
Thanks for the idea, Ara! Now look at the extra work I have to 
do...
 
-CS
 
----- Original Message ----- 
<BLOCKQUOTE dir=ltr 
>
  <DIV 
  >From: 
  Ara Kaloustian 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Monday, February 09, 2004 9:38 
  AM
  Subject: Re: [amibroker] Re: Determining 
  cycles
  
  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> 
      <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 
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