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Right. As I stated earlier, it is possible to construct this
indicator to show where it's been historically i.e. as each new bar
of data is added the last point in the extrapolation is maintained.
It's a little more difficult, but it is doable.
As I pointed to in the link to Arps version, this is exactly what he
does and/or allows, a current picture as well as a different
historical one.
--- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx> wrote:
> 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
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