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DIMITRIS TSOKAKIS wrote:
>Scott,
>This "Combining" is the magic word of course...
>In daily data the shortest dt is equal to 1 bar. This limitation
>keeps the actual derivative dQ/dt far from the theoretical one.
>The closest approximation is perhaps the Relative Slope
>http://www.amibroker.com/library/detail.php?id=43
>As for the integral, there was an interesting discussion two years
>ago, as you may see in
>http://finance.groups.yahoo.com/group/amibroker/message/28159
>http://finance.groups.yahoo.com/group/amibroker/message/28182
>http://finance.groups.yahoo.com/group/amibroker/message/28220
>http://finance.groups.yahoo.com/group/amibroker/message/28224
>The 1 bar limitation will also introduce an error in integration
>procedures.
>See, for example, the
>
>x=Cum(1)-1;
>y=x^2;Plot(Cum(y),"calculated Integ",1,1);
>integ=x^3/3;Plot(integ,"Integ",4,1);
>Plot(100*(Cum(y)-integ)/integ,"error",2,styleHistogram+styleOwnScale);
>
>We need 150 bars for error<1% but, even after 1000 bars the error is
>still 0.15% [for the example function]
>Dimitris
>
>
The discussion on integral is really interesting. Maybe the derivative
has to come from using lower timeframe.
One way to achieve the magic combination is to use neural nets.
Intriguingly, the step response of Jurik's MA is very similar to that of
a NN PID's.
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