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Ace,
Many thanks again, your code was an opportunity to take a closer look
to the subject.
I also see your ref at
http://www.hurst-cycles.com/de_code__by_ace.htm.
If you have the time, you could add there your AFL.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx> wrote:
> Dimitris,
>
> You are correct in that the last 71 bars are not "real". They can't
> possibly be.
>
> Whether they are useless or not is another question. I fill them in
> with a projection from a parabolic fit of three data points or by
> taking the data from the previous "cycle". The problem then falls
to
> deciding how to best use the cyclic information that the bands
> present. For instance you can look at the prior touches of the
bands
> and count the time between touches and make a judgement as to
> whether or not the current position within the DE bands makes sense
> in context with the expected cycle. One could further add an
> oscillator to help confirm the conclusion from the simple method I
> described above.
>
> If you have read Hurst's work you'll see that they are a convenient
> way to observe and quantify the cyclic action. However, even Hurst
> cannot have possibly found a way to project them into the future
> with absolute certainty. It simply can't be done without the use of
> voodoo or magic. You just can't know tomorrow for sure before it
> happens.
>
> However, I don't believe the information is completely useless when
> taken in context along with other observations and/or indicators.
In
> other words it becomes a subjective technique much like 99% of all
> TA work. Some systems can be quantified in terms of performance
> statistics, some cannot as they are due to either skill of
> interpretation or simply don't lend themselves to a consistent
> mechanical system.
>
> Anyone can modify this code to what they would like. Null is fine
> past the end of the CMA if that's what you prefer. I simply showed
> the projection routines that I found easiest to program with AFL
and
> that seemed to show possible future paths that were not
> unreasonable. I make no claim regarding the accuracy of the
> projection. In fact I'm pretty sure its not all that accurate.
>
> Fred suggested recording basically updating the LastValue and
> recording it daily thus preserving today's value of the endpoint
for
> each day. I've done this using a different program - something
> custom that I created before I had Amibroker - and the resulting
> indicator really doesn't look pretty. THe bands can be all over the
> map. That makes does suggest that the parabolic fit
isn't 'correct',
> but we already knew that. I can only say I wish it were that
simple!
>
> In my opinion cycles are a subjective technique with continuous
> variability. So its subjective and interpretive at best. There
> seemed to be a call for something like SIgma bands and this was my
> attempt. I'm more of a breakout trader anyhow and I don't use the
> bands too much. I'll look at them as a point of interest
> occasionally. If anyone can improve upon and test the reliability
> please let me know. I stopped chasing it awhile ago.
>
> -ace
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx> wrote:
> > 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
> > > > > > > > Send SUGGESTIONS to suggest@xxxx
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> > > > > > >
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