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[amibroker] Re: Profile URL for COMSEC



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<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Bob Jagow 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Wednesday, February 11, 2004 9:17 
  PM
  Subject: RE: [amibroker] Sigma 
Bands
  
  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 color=#0000ff 
  size=2> 
  <FONT face=Arial color=#800000 
  size=2>I think you are mixing up someone else with respect to 
  Lee.  As for cubic spline, I don't know if that's enough to replicate the 
  CMA with sufficient accuracy.  I know that one of the guys working with 
  Ensign was working on 4th order, but I don't know where that ended up.  I 
  think eSignal permits one to choose the order, but am not sure how a user 
  would decide which one makes sense.  Maybe by comparision with a 
  CMA.
   
  <SPAN 
  class=685400902-12022004><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: <A 
    href="">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. Send 
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