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Fred,
I'm sure you could duplicate Arp's stuff too if you wanted to right
some functions for solving matrix solutions: [A]{x}={B} kind of
stuff. LUdecomposition and matrix inversion techniques would let you
essentially fit any equation you like to the data using regression
techniques. I've tried several different regression methods and none
appear to be reliable - unless I did something wrong, but I don't
think I did.
I've been using a program called O-Matrix for years to analyze stock
price and volume data. Its similar to MatLab if you're familiar with
that. I programmed it to do many forms of regression from quadratic
to cubic to 4th order and even a trigonometrice least squares fit as
Hurst describes in Profit Magic - I actually deciphered part of what
he described in Appendix Six - Trogonometric Curve Fitting. I used O-
Matrix because it had a bunch of built in subroutines and can
quickly handle large matrices. Matlab could probably easily handle
the task as well.
I think this is a promising line of work, but I abandoned pursuing
it awhile back due to lack of computing knowledge and time
constraints. I'm not a bad programmer, but it would take me way too
many hours to decipher some of this cyclic stuff if I could even do
it at all - assuming there's a reliable solution. Along the way I
came up with some curious observations and some potentially useful
indicators, but I'm not currently pursuing this branch of the 'grail
quest' very heavily.
-ace
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> 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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