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[amibroker] Re: Sigma bands



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Wayne,
--- In amibroker@xxxxxxxxxxxxxxx, Wayne Skerritt <ecodesign@xxxx> 
wrote:
> DIMITRIS TSOKAKIS wrote:
> 
> > Wayne,
> > Sorry, I can not agree that the history of the signals is 
meaningless.
> > I need always to check any trading idea from its past behavior.
> > Dimitris Tsokakis
> >  > Dimitris,
> >  >
> 
> That is a good policy..... if you accept that past behaviour can 
throw a 
> light on future price movements. For most indicators what you say 
is 
> true. But I was referring only to this Hurst question. By what you 
said 
> in previous posts, in the case of these Hurst Envelopes, the future 
is 
> changing the past. An interesting dilemma!

It is not a philosophical dilema, it is just a fact, the already 
posted gifs simply prove it.
> 
> If the future is changing the past, then what are we to gain from 
> analyzing past actions?

This is not always like this.
A Cross(StochD(),30) on Jan2, 2004 will always be there, no matter 
how many bars will be added to the stock.
A Cross(redline,blueline) in Ace code appears [today] on Jan2, 10 
days later will move back on Dec 27 and 30 bars later will move on 
Dec20 or it will disappear at all !!Is it clear what is going on with 
this "Cyclic" logic.
> Quote from your prior post-->
> 
> "After last Friday Feb20 close you have, for example, a BUY signal 
to
> be executed on the very next Open. You put your money and buy on
> Monday, Feb23 and after 10 bars you are informed that you should buy
> on Tue Feb17 and, the worse, your Feb20 signal does not exist
> anymore !!!!![The signals of the past are ...corrected!!!]
> This is pure nonsense and I really wonder what are we talking 
about."
> 
> I too wonder what we are talking about. There is some confusion in 
my 
> mind at least. Check out Maggio's site. 
> <http://www.traderiskmanagement.com>
> 
> He offers a charting service for "Sigma Bands".... a series of 
parallel 
> lines projected off a centred MA. Check out the chart at the bottom 
of 
> the page. There are no buy or sell signals to be found. What we are 
> talking about is isolating areas of possible low risk trade entries 
as 
> explained on that chart. This is done by examining the present 
> relationship of price to the lines....today. Note too the 
additional 
> indicator below the price chart.. some kind of crossing indicator 
(don't 
> know what it is). It is obvious to me that the Sigma Bands alone 
are not 
> enough to signal trades.... just highlight probabilities. Surely 
this 
> must be of use to some?

Sorry, I will not spend more time looking charts. If we see any AFL 
describing Maggio charts [or anything similar] I would be very glad 
to contribute, although I am suspicious for a similar practice [ypu 
can not center an MA without referring to the future, AFAIK]
> The "Hurst Dependency Envelopes" as coded by ace are a different 
but 
> related area of research. I did not note any buy or sell signals in 
this 
> code. 

You may create your own buy/sell arrows. Add at the end some 
[experimental] buy/sell conditions [many lines to cross...] and check 
how the buy/sell arrows move to the past [or disappear] as new data 
arrive.

The coloured triangles seem to be at the point where the centred 
> MA ends and the projected line begins, but I may be wrong. I feel 
the 
> Sigma Bands are a 'derivative' of the envelopes and that is what I 
am 
> trying to solve. I will post any code I come up with.
> 
> If we can all get on the same page, I bet the combined talents of 
all on 
> this group can find a solution to the 'dilemma'.
> 
> Wayne
Many thanks for your interesting replies.
Dimitris Tsokakis



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