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Corey,
The sine wave test sound like a good idea... I had
not considered volatility issues (same reason .. ignorance of the math behind
it... but certainly sounds plausible.
Anyway, sharing methods and software is what
strengthens all of us ... so I will spend some time and do a fair amount of
testing on MACD and Stochastics ... next few days
A.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Corey
Saxe
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, February 09, 2004 10:41
AM
Subject: Re: [amibroker] Re: Determining
cycles
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 &
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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