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Fred,
>>> Doesn't the centerline change every time a new bar of data is
added ?
Yes. For each bar that's added due to progression in time the
centerline gets updated from being extrapolated to being actual
data. When I said the CMA never changes what I meant was its always
calculated from the 'real' data before the triangles and I never
modify it. Its always a shifted SMA. It only becomes bogus
(projected data) when you get into the time frame to the right of
the triangles.
>>> 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 ?
It absolutely effects the extrapolation and the band width. That was
my point. That's why you see the changes in the indicator from day
to day. Its definitely a problem, but unless you can predict the
future with certainty you need some method of extrapolation and all
methods of extrapolation will suffer from the same problems to one
extent or another. It cannot be avoided. That's why I said Maggio
must being doing something similar. He may have a better method of
extrapolation or curve fitting, or maybe not. It could just look
pretty. I really don't know. Since his is a 'black box' and nobody
body he knows how it works, it makes it rather difficult for me to
trust the pictures that are presented. But I'm an engineer and so
also a scientist and I nned to understand how it works before I use
it. Its a blessing and a curse! :)
Hopefully I answered you questions adequately.
-ace
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> 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
> > > > > -----------------------------------------
> > > > > Post AmiQuote-related messages ONLY to:
> > > amiquote@xxxxxxxxxxxxxxx
> > > > > (Web page:
http://groups.yahoo.com/group/amiquote/messages/)
> > > > > --------------------------------------------
> > > > > Check group FAQ at:
> > > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > Yahoo! Groups Links
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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