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Ara,
I used the Hilbert method at Wealth-Lab.
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=20031
I tried the 3rd party add on DLL here called "Ehlers.dll"
(http://www.amibroker.net/3rdparty.php), but I found it to be
unstable at times.
I haven't tackled trying to add it myself to Amibroker. One problem I
have with the Hilbert code is that it yields only one cycle period.
Supposedly the "dominant" cycle. I like to plot the bands for several
cycles if possible to see where they coincide.
I'm not so interested in projecting them into the future, because
they may change, but I would like to see what is apparently
transpiring now as I think it gives you a general qualitative picture
of what to expect in the near future.
I'm not configured for receiving e-mail. WOuld it be possible for you
to add the code you attached to the AFL library at Amibroker.com? I
think I'll upload my Hurst DE code there fairly soon after I clean it
up a bit.
-ace
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxxx> wrote:
> Ace,
>
> Have you considered John Ehler's method.
>
> Code in attachment provided by Corey Saxe
>
> Love to see your work
>
> Ara
> ----- Original Message -----
> From: Corey Saxe
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, February 07, 2004 2:30 AM
> Subject: Re: [amibroker] Determining cycles
>
>
> Ara,
>
> I use dynamic periods for nearly everything. To suppose that a
market is always and forever going to cycle at say, 21 days is absurd.
>
> Hence, why I supported dynamic parameter input for various
functions and indicators.
>
> Something I've been tweaking is included.
>
> Note that each indicator or metric that you desire to measure has
its own sweet-spot which will be a multiple (or fraction) of the
resulting cycle frequency.
> For instance, If you want to use cycle period input to the MACD,
you may find that it works best if the input periods are multiplied
by 0.67, but maybe RSI works best if the cycle periods are multiplied
by 0.5.
>
> Don't bother with FFT. The deficiencies are vast. Dennis Meyers did
a series of articles a few years ago in Futures mag, and described
many of the failures of FFT to work on market prices because of the
constant variability of the current cycle periods.
>
> -CS
> ----- Original Message -----
> From: Ara Kaloustian
> To: Ami-Main
> Sent: Friday, February 06, 2004 11:43 AM
> Subject: [amibroker] Determining cycles
>
>
> Has anyone used cycle length determined dynamically and used to
set parameters for each run?
>
> I considered using Fast Fourier Transform... am open to any other
suggestions
>
> If it works one can produce constantly optimzed system ... geting
close to the"holly grail"
>
> Thanks
> Ara
>
>
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