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----- Original Message -----
<DIV
>From:
DIMITRIS
TSOKAKIS
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, February 21, 2004 3:18
AM
Subject: [amibroker] Re: Sigma
Bands
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.
Spoken like a
true system trader. However, looking at Maggio's description of the
bands it is not clear to me that there should be any change as new data is
added, reflecting the fact that the bands are simply the sigma of the % change
of the data from the CMA. This is a bar by bar calculation
that does not change as new data is added. Perhaps, as you suggest,
the problem lies in the way CMA is calculated by
the code. If so there must be a way around this problem, as
evidenced by the fact that a manual calculation of CMA does not look into
the future but simply centers a MA within the incremental period of another
MA. So one needs to make code duplicate the manual calculation which is
straightforward. Does not sound like rocket science.
And extrapolation of the CMA does not change its previously
established values. However, even when things are working
right neither Sigma Bands or Hurst Channels by themselves provide a
mechanical buy/sell signal. No problem for discretionary traders but
system traders will need some "antacid" in order to avoid
heartburn. LOL.
<FONT
color=#800000 size=2>Dimitris Tsokakis>
Dimitris,> > I think you don't get that 'signals of the past'
are in the past. It's > history and as such is meaningless. Hurst
developed his work before > computers had the power to do billions of
computations per second. > Therefore, the idea of backtesting his work
is a waste of time.> > The Sigma Bands we are discussing seem to
be a derivative of the Hurst > Dependency Envelopes, so ably
programmed by Ace... and much appreciated > too. I feel there is
nothing at all to be gained from 1) looking into > the past or 2)
trying to guess the future. I want to know what is > happening
right now. The Sigma Bands MAY offer some insight into what > the
market is saying now, but should never be used to trade any market
> by themselves. This information should always be used as
confirmation of > other indicators and trading techniques.>
> Computers will never replace the human brain.> >
WayneSend BUG REPORTS to <A
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