|
PureBytes Links
Trading Reference Links
|
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Bob Jagow
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, February 11, 2004 6:16
PM
Subject: RE: [amibroker] Sigma
Bands
<SPAN
class=619405021-11022004>[Didn't show yet so am
resending.]
<SPAN
class=619405021-11022004>
The
example was for 250 days, Steve.
<SPAN
class=619405021-11022004>-----
Note: You have probably noticed
that the charts for sigma bands and signal bands are very similar. This is
because signal bands are actually sigma bands of shorter duration. They are
based on a preset control parameter. For signal bands the control parameter is
21 periods, for sigma bands the parameter is set to 250
periods. So for daily data signal bands are based on 21 days, or one
trading month, and sigma bands are based on 250 days, or one trading year.
<FONT face=Arial color=#0000ff
size=2>----
<FONT face=Arial color=#0000ff
size=2>Based on a quick look at chart 9, I'd agree that the sigma bands must
be based on the last value of stddev from a extended centered 250SMA. [Note
that the use Hurst CSMAs in much of their work.
<FONT face=Arial color=#0000ff
size=2>Maybe we can get Dimitri to extrapolate the SMA
8>)
<FONT color=#0000ff
size=2>
It is
my understanding that this is why multi-order polynomials are used - i.e., to
extrapolate the CMA.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Bob
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Almond
[mailto:steve2@xxxxxxxxxxxxxxxxxxxx]Sent: Wednesday, February 11,
2004 1:35 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Sigma Bands
sjaak,
This is close, but not the same. I read (somewhere, whilst searching
Sigma bands) that the 'trend' may be a centred moving average. That would
seem to make more sense, but I don't know what happens at the end when the
centred MA finishes.
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 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.
|