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Dimitris / WaveMechanic,
If the length of the CMA is n then
The CMA can only be calculated up to n/2 bars ago after which it must
be extrapolated via some technique.
So for example if one wanted to plot a 250 bar CMA showing the
history of where it had been at time of original calculation then one
would need to,
- At bar 375 calculate the CMA for bars 1 through 250 and extrapolate
for bars 251 through 375. This would provide the initial 250
plottable points.
- At bar 376 calculate the CMA for bars 2 through 251 and extrapolate
for bars 252 through 376. this should add one and only one additional
plottable point i.e. the one at bar 376.
- This process could then continue up through the current bar.
Someone made mention of Jan Arps Sigma Bands code for TradeStation
which although available for usage in TS is not viewable. It does
however provide the capabilty of showing both the historical past
datapoints as originally calculated as well as the current picture.
The only similarity between these would be the CMA for the cureent
and any future bar.
See his description here ... http://www.janarps.com/SigmaBands.htm
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
>
> ----- Original Message -----
> From: DIMITRIS TSOKAKIS
> To: 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.
>
> 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.
> >
> > Wayne
>
>
>
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