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<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Bob Jagow
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, February 12, 2004 1:17
AM
Subject: RE: [amibroker] Sigma
Bands
<FONT face=Arial color=#0000ff
size=2>Clyde == Swing Machine.
<FONT color=#0000ff
size=2>
Yes,
but I did not state the fact clearly that you addressed me when someone
else brought up Lee. Messages got mixed up, but all is now clear for
all.
<FONT face=Arial color=#0000ff
size=2>Cubic splines will outperform a single polynomial of any
order.
<FONT color=#0000ff
size=2>
I know
that cubic splines will outperform with respect to usage, but I don't know if
they actually outperform in terms of correlation with (in this case) the CMA,
which is of prime concern. Is that the case? Either way having
this coded would open the door to this and other related
constructions.
<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 7:41
PMTo: AmiBroker, UserSubject: Re: [amibroker] Sigma
Bands
<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
<FONT face=Arial color=#0000ff
size=2>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>
<FONT color=#800000
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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