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I
doubt that Clyde Lee uses a polynomial, Bill.
<FONT face=Arial color=#0000ff
size=2>Perhaps a Fourier series, but I'd be inclined to try cubic
splines.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Bob
<FONT face=Tahoma
size=2>-----Original Message-----From: wavemechanic
[mailto:wd78@xxxxxxxxxxxx]Sent: Wednesday, February 11, 2004 4:40
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Sigma Bands
<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>
<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.
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