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Doesn't the centerline change every time a new bar of data is added ?
For example in a 250 bar CMA when a new bar is added doesn't the
point for the center line that is now 126 bars ago change from being
extrapolated to being calculated ? and doesn't that in turn affect
the extrapolation afterwards and also the bands as well ?
Again I haven't looked at your code in detail but this is of course
the issue that Dimitris was pointing at as well.
--- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx> wrote:
> Oh, a couple of other things I forgot to mention about the DE code
I
> presented.
>
> 1) The triangles ARE where the centered MA stops and the data
> projection begins.
> 2) The centered MA never changes, just the band width and the
> projection of the centerline.
>
> -ace
>
> --- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx> wrote:
> > Here's a little explanation.
> >
> > The reason the band values change for future dat in the code that
> I
> > presented is that the widths are calculated based on 2 standard
> > deviations from the mean.
> >
> > I believe this to be valid because the act of centering the MA
> makes
> > the distribution about the centered moving average a true average
> of
> > the data valid to the bar period/2. Therefore, since the
> > mathematical operation is an average, and if we assume some cycle
> is
> > currently active in the form of a sinusoid, then the distribution
> > should be close to a normal distribution if enough data points
are
> > taken, so standard deviation is the proper way to describe the
> > envelope width if its a normal distribution.
> >
> > In fact statisticians call standard deviation with the greek
> letter
> > sigma - ala sigma bands - so that's probably why Maggio calls his
> > bands 'sigma bands'.
> >
> > Here's the calculation for the bandwidth in terms of percent:
> >
> > dp1=LastValue(Ref(StDev( (Close-cma1)/cma1, k*p1 ),(p1+1)/2-1));
> >
> > where k=3 means that the standard dev is calculated over 3x the
> > period number of data points.
> >
> > Using Lastvalue() makes the width a constant for all time based
on
> > today's calculation. Therefore as data is added the bandwdiths
> > change and the way I have it coded it changes for all time. Its
> > almost a derivative of Bollinger bands. Bollinger was on the
right
> > track he's just using the average incorrectly and standard
> deviation
> > does not describe the price distribution about a non-centered SMA
> > which is why his bands vary in width with the volatility of the
> > stock price movements.
> >
> > I will bet you almost anything Maggio's charts do roughly the
same
> > thing with whatever smoother or centerline calculation filter
he's
> > using. There are many ways to calculate the centerline. His chart
> > could simply be a smoothed and centered SMA. You could easily
> smooth
> > a CMA with a parabolic curve fit or with various forms of
> > regression. However, he still needs to project the bands forward
> in
> > time using some method.
> >
> > If you are really amibitious you should investigate least squares
> > regression fitting of trigonometric functions. I can create
> > beautiful DE bands with them using a different program that I
> wrote.
> > You still need to project forward in time, however, so that's
> really
> > the rub. There are likely much better ways of projecting the line
> > forward than I presented here using various regression
techniques.
> > Learning something about digital signal processing is probably
> also
> > key.
> >
> > In evaluating Maggio's service ask yourself a few questions. Why
> > create a for pay website to sell the idea to others if it works
so
> > well? Why not just trade your way to financial freedom and
retire?
> > Beware of snake oil. Maybe he's got something good there - I have
> to
> > admit it looks good - but I sure don't blindly trust a web site.
> >
> > I'm sure a discretionary trading system could be built using
> > envelopes and oscillators that would perform fairly well, however
> > there would really be no way to backtest it. Forward testing or
> > trading would be the only way to do it.
> >
> > -ace
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> > > 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
> > > >
> > > >
> > > >
> > > > Send BUG REPORTS to bugs@xxxx
> > > > Send SUGGESTIONS to suggest@xxxx
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