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Ace,
You use, for the CMA3 for example, the
p3=144;
Ave3=MA(Avg,p3);
Lag3=(p3+1)/2;
// Center the MA's
cma3=Ref(Ave3,Lag3);
The formula is wrong for the last 71 bars.
Any further use of these last 71 bars will cause troubles to the next
steps. Since you make a multiple use of Ref(X,a), a>0, it is not easy
to find the extension of the wrong results.
Unfortunately the AFL point of view for the last 71 bars is that they
are equal to the 72th [from the end] existing bar.
Is it true ? Nobody knows, since they belong to the future.
Should these 71 bars be considered as equal to the 72th bar ?
IMO there is no reason or evidence.
It is obvious now that ANY further use of these 71 bars [try to RSI
them, for example] will give some results [you may RSI anything, from
the math point of view...] but these results will be improper for use.
Dimitris Tsokakis
--- 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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