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Yes ... I'm aware of this ... cycle analysis is one of those places
where if you ask a group of people for opinions you're likely to get
more different ones then the number of people in the group ... I'm
just one in the group ...
--- In amibroker@xxxxxxxxxxxxxxx, "Rakesh Sahgal" <rakeshsahgal@xxx>
wrote:
>
> Fred
>
> At this point I dont have the depth of knowledge to refute what
you say with
> facts. However there are some who contend that cycle inversion is
a fact of
> life in cycle analysis. Guess I will learn either way as I get
more familiar
> with the concept.
>
>
> Rakesh
>
> On 10/11/06, Fred <ftonetti@xxx> wrote:
> >
> > IMHO ... Cycles NEVER invert ...
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Rakesh Sahgal" <rakeshsahgal@>
> > wrote:
> > >
> > > Andy
> > >
> > > Without a doubt there is no holy grail. Cycle work has it's
place
> > and it's
> > > limitations. For all those who want to include this component
in
> > their
> > > anaylsis/decision making one thing they need to remember is
cycles
> > do invert
> > > and non-cyclic events are a part of the game.
> > >
> > > Rakesh
> > >
> > > On 10/11/06, andy_davidson_uk1 <AndyDavidson@> wrote:
> > > >
> > > > Rakesh,
> > > >
> > > > The move was fine thanks, but as expected the settling in is
> > taking
> > > > somewhat longer. Still don't have broadband connected, nor
even
> > a desk
> > > > to sit at! Oh well, the laptop in front of the telly will
have
> > to do
> > > > for now...
> > > >
> > > > To try and answer your question, I think we must first bear
in
> > mind
> > > > that there are many ways to attempt to skin this cyclical
beast.
> > If
> > > > nothing else then this thread is showing that. First we had
the
> > FFT
> > > > discussion, then polynomials, then Ehler's DSP techniques
and now
> > > > Hurst/Millard/Cleeton's methods.
> > > >
> > > > There are, of course, benefits and drawbacks to each
approach. I
> > > > touched on one problem I found with Ehler's stuff and Fred
has
> > already
> > > > highlighted the problem with Hurst et al. Basically that,
> > because you
> > > > are using centred MAs as low-pass filters you don't have
data up
> > to
> > > > the right-edge and therefore have a zone of recent data
within
> > which
> > > > you have to extrapolate the 'measured' cycles/envelopes.
> > > >
> > > > So how do you do this extrapolation to overcome the
shortfall?
> > Well,
> > > > there are many ways, as we are seeing. I personally try and
fit
> > a sine
> > > > wave to at least 2 'measured' cycles back and if there is
good
> > > > correlation there and also good correlation in the "end zone"
> > with the
> > > > price then (i.e. prices are not moving opposite to the
projected
> > sine
> > > > wave) then I get a little happier. There are probably better
> > ways to
> > > > extrapolate and I look forward to investigating them in the
next
> > few
> > > > weeks/months. The good thing about the Cycle Highlighter
though
> > is
> > > > that you don't need to fit the amplitude so much as the
> > > > periodicity...i.e. I'm not looking for an absolute perfect
sine-
> > wave
> > > > fit to the price but more looking for a visual appreciation
of
> > the
> > > > market 'rhythm'.
> > > >
> > > > So there's an answer to one of your questions...with this
> > indicator I
> > > > care much more about time/periodicity than I do about
amplitude.
> > I'm
> > > > looking for it to help me decide *when* to get in, stay in or
> > get out.
> > > > I'm not looking for price targets here. See my comments re
the
> > GBP in
> > > > the last post.
> > > >
> > > > >>how do you interpret the correlation numbers?
> > > > If the correlation coefficient is high and positive then I am
> > happy.
> > > > The higher the better!
> > > >
> > > > >>What are you looking for when you say you wait for
tradeable
> > cycles?
> > > > I don't necessarily wait for anything...more I go out
looking for
> > > > things that are exhibiting clear cyclical behaviour and trade
> > them,
> > > > passing over trades that I do not have a good degree of
> > confidence in.
> > > > It's more active than passive! :-)
> > > >
> > > > >>please throw some light on the methodology you follow
> > > >
> > > > Basically I reconcile myself to the limitation of the
technique
> > and
> > > > use a fair amount of discretion in my trading. I've learned
that
> > I can
> > > > get superior results by trusting myself more and letting the
> > computer
> > > > become more of a visualising aid than a rule-generator. I
have a
> > much
> > > > better relationship with my machine now that I've finally
> > convinced it
> > > > that my brain is superior at pattern recognition!!
> > > >
> > > > Like I said, this is just one component of my trading
> > method...each
> > > > component has its own drawbacks, the trick is to try to get
the
> > > > relative strengths of one analysis to compensate for the
> > weaknesses in
> > > > another. Anyway, that's another story and I've talked enough
> > already.
> > > > But I will just say one thing more...
> > > >
> > > > >>"Fortunately for all interested Fred is taking an interest
the
> > > > stuff, seems he is the resident genius on the subject"
> > > >
> > > > I couldn't possibly disagree from what I've seen and heard,
but
> > please
> > > > just bear in mind (warning - here comes a cliche!) that
there is
> > no
> > > > holy grail and at some point the Law of Diminishing Returns
> > kicks in
> > > > and you will better spend your time and energy just accepting
> > some
> > > > basic assumptions/limitations and get on with the trading
game.
> > I have
> > > > found that it's actually quite liberating (and financially
> > rewarding)
> > > > when you get to that place.
> > > >
> > > > Good luck...hope that helps some.
> > > >
> > > > Andy
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Rakesh Sahgal"
<rakeshsahgal@>
> > > > wrote:
> > > > >
> > > > > Hi Andy
> > > > >
> > > > > How is the moving and settling in getting along?
> > > > >
> > > > > Fortunately for all interested Fred is taking an interest
the
> > > > stuff, seems
> > > > > he is the resident genius on the subject. Coming back to
yuor
> > code
> > > > how do
> > > > > you interpret the correlation numbers? What are you looking
> > for when
> > > > you say
> > > > > you wait for tradeable cycles? Are you using criteria
based on
> > > > > amplitude/phase or primarily cycle length? As and when you
can
> > spare the
> > > > > time please throw some light on the methodology you follow.
> > Thanks,
> > > > >
> > > > > Regards
> > > > >
> > > > >
> > > > > Rakesh
> > > > >
> > > > > On 10/11/06, andy_davidson_uk1 <AndyDavidson@> wrote:
> > > > > >
> > > > > > Guys,
> > > > > >
> > > > > > There's lots of good stuff going on here and I wish I
could
> > devote
> > > > > > some more time to digest it all (still in a crazy mid-
move
> > mess).
> > > > > > However, until I can I thought I would just post my own
bit
> > of code to
> > > > > > show you how I've been using Millard's adaptation of
Hurst's
> > work.
> > > > > > You'll find it under "Cycle Highlighter" in the AFL
library.
> > > > > >
> > > > > > It's nothing really mathematically fancy I'm afraid and
uses
> > simple
> > > > > > sine-waves to extrapolate. FFT's, appendix 6 of PM and
the
> > like are
> > > > > > beyond my skills at present, although I see I'm going to
> > have to do
> > > > > > something about that! However, I have found that the
> > simplicity of the
> > > > > > approach does help in so far as practical trading goes.
By
> > this I mean
> > > > > > that if clear, tradeable cycles are present it will
> > generally show up
> > > > > > on the indicator. And if they don't show up then neither
> > does my
> > > > > > trading money, simple as that!
> > > > > >
> > > > > > To give you a practical idea of how I've used it...try
it on
> > GBP A0-FX
> > > > > > with a daily setting of around 85 bars. Now, I didn't use
> > this
> > > > > > indicator alone to go short on the currency in early
> > September
> > > > > > (there's obviously more to my method than this one
> > indicator), but it
> > > > > > has helped me *stay* short until now...i.e. I kept the
faith
> > with the
> > > > > > position despite a month of down-and-up action because
the
> > cycle
> > > > > > interp told me there was plenty of down-time still
remaining.
> > > > > >
> > > > > > There is also an auto-fit version available if anyone's
> > interested.
> > > > > > It's not perfect and it's slow as it uses a loop to find
the
> > best
> > > > > > correlation coefficients. But let me know if you want it.
> > > > > >
> > > > > > I haven't felt the need to code Hurst's edge-band
technique
> > as yet,
> > > > > > but it's on the list. As is working through his course
> > material in
> > > > > > detail and then tackling these higher-order mathematical
> > techniques to
> > > > > > try and improve what I've already got. However, I would
say
> > that the
> > > > > > KISS principle has served me pretty well up until now. So
> > good luck to
> > > > > > all and please keep this thread going! Also feel free to
let
> > me know
> > > > > > if there's any way to improve the code I posted. A
> > programmer I most
> > > > > > definitely ain't...
> > > > > >
> > > > > >
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Rakesh Sahgal"
> > <rakeshsahgal@>
> > > > > > wrote:
> > > > > > >
> > > > > > > Fred
> > > > > > >
> > > > > > > So in essence are you saying that to get a meaningful
> > response from
> > > > > > a FFT it
> > > > > > > is essential that the data series be de-trended? Also
> > since TJ
> > > > had in
> > > > > > > response to your query indicated that the FFT
> > implementation he was
> > > > > > going to
> > > > > > > include in AB was not going to be constrained by ^2
> > limitation
> > > > requiring
> > > > > > > data padding/windowing(?), the problem of ascertaining
> > cycles
> > > > should be
> > > > > > > resolved if the data is detrended and then run through
the
> > FFT
> > > > > > function in
> > > > > > > AB?
> > > > > > >
> > > > > > > Rakesh
> > > > > > >
> > > > > > > On 10/11/06, Fred Tonetti <ftonetti@> wrote:
> > > > > > > >
> > > > > > > > Bill,
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > As a follow up to my last ?
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > Lets use the wave generator ( below in AFL ) to
> > manufacture some
> > > > > > > > synthetic data ?
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > You can see that I purposely picked wave lengths that
> > are powers
> > > > > > of two ?
> > > > > > > > The reason is that FFT's will of course resolve these
> > quite well
> > > > > > as long as
> > > > > > > > you have the sample size set to be a power of 2
which is
> > larger
> > > > > > then the
> > > > > > > > longest wavelength. The amplitudes and phase
offsets are
> > > > pretty much
> > > > > > > > random.
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > See the attachments ?
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > #1 The individual and composite ( DATA ) waves we
> > generated
> > > > > > > >
> > > > > > > > #2 The histogram or periodogram for the FFT ? Notice
how
> > it
> > > > picked all
> > > > > > > > wave lengths out with very little trouble.
> > > > > > > >
> > > > > > > > #3 The output cycles which are a result of the
> > individual cycle
> > > > > > lengths,
> > > > > > > > amplitudes and phase offsets that the FFT detected.
> > Notice how
> > > > > > this is
> > > > > > > > almost a perfect match of the input. The individual
> > waves can of
> > > > > > course be
> > > > > > > > easily extrapolated and combined to present a
picture of
> > where the
> > > > > > data
> > > > > > > > should go in the future.
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > #4 Another generated wave this time with trend added
in ?
> > > > Notice the
> > > > > > > > effect on the white composite line.
> > > > > > > >
> > > > > > > > #5 The resulting histogram from the FFT WITHOUT
> > detrending the
> > > > data
> > > > > > > > first. Notice how it has become "confused".
> > > > > > > >
> > > > > > > > #6 The resulting output waves now don't look much
like
> > the inputs.
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > #7 Same histogram as in #5 but with detrending the
data
> > prior to
> > > > > > invoking
> > > > > > > > the FFT. Notice how now we are back to where we
should
> > be.
> > > > > > > >
> > > > > > > > #8 The resulting output waves as we would expect
them to
> > be ?
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > #9 Another generated wave this time with a very high
> > noise
> > > > level ( the
> > > > > > > > grey histogram ). You can see the effect it has had
on
> > the
> > > > data we
> > > > > > > > manufactured.
> > > > > > > >
> > > > > > > > #10 The histogram from FFT. Notice how even though
the
> > noise
> > > > > > levels have
> > > > > > > > gone up here, the FFT still had no real problems
finding
> > the
> > > > cycles.
> > > > > > > >
> > > > > > > > #11 The resulting output waves which now look very
much
> > like the
> > > > > > input ?
> > > > > > > > WITHOUT the noise.
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > #12 Here I have purposely changed the wave lengths
from
> > being
> > > > > > powers of 2
> > > > > > > > to 7, 17, 27, 37 & 47?. Notice the effect it has had
in
> > the
> > > > > > histogram ? I
> > > > > > > > had to increase the data sample to 512 to get this
> > resolution
> > > > > > which is still
> > > > > > > > somewhat "muddy" ? but all in all the FFT did a good
job
> > of
> > > > > > finding the
> > > > > > > > cycles.
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > The other thing to keep in mind here with this
> > particular wave
> > > > > > generator
> > > > > > > > is that I have not introduced any variation in wave
> > length,
> > > > > > amplitude or
> > > > > > > > phase offset over the life of the data sample ?
which in
> > my
> > > > > > opinion ? does
> > > > > > > > happen ? For the purists that don't think this
happens,
> > then I
> > > > > > would think
> > > > > > > > that they would at least admit that non cyclic events
> > can make it
> > > > > > appear to
> > > > > > > > DSP algorithms as if this were the case.
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > rTrend = 0;
> > > > > > > >
> > > > > > > > rNoise = 0 ;
> > > > > > > >
> > > > > > > > dFactor = 1;
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > rCyc1Amp = 3;
> > > > > > > >
> > > > > > > > rCyc2Amp = 5;
> > > > > > > >
> > > > > > > > rCyc3Amp = 7;
> > > > > > > >
> > > > > > > > rCyc4Amp = 9;
> > > > > > > >
> > > > > > > > rCyc5Amp = 11;
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > rCyc1Len = 4;
> > > > > > > >
> > > > > > > > rCyc2Len = 8;
> > > > > > > >
> > > > > > > > rCyc3Len = 16;
> > > > > > > >
> > > > > > > > rCyc4Len = 32;
> > > > > > > >
> > > > > > > > rCyc5Len = 64;
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > rCyc1Phase = 72;
> > > > > > > >
> > > > > > > > rCyc2Phase = 144;
> > > > > > > >
> > > > > > > > rCyc3Phase = 216;
> > > > > > > >
> > > > > > > > rCyc4Phase = 288;
> > > > > > > >
> > > > > > > > rCyc5Phase = 360;
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > *if* (Source == "Generator" )
> > > > > > > >
> > > > > > > > {
> > > > > > > >
> > > > > > > > pi = 4 * atan (1 );
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > StartX = 1000;
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > Trend = (BI + 1) * rTrend * dFactor * (rCyc1Amp +
> > rCyc2Amp +
> > > > > > rCyc3Amp
> > > > > > > > + rCyc4Amp + rCyc5Amp) / 5 ;
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > Noise = (Random () - 0.5 ) * 2 * rNoise *
dFactor *
> > > > (rCyc1Amp +
> > > > > > > > rCyc2Amp + rCyc3Amp + rCyc4Amp + rCyc5Amp) / 5 ;
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > Cycle1 = cos ((BI / rCyc1Len + rCyc1Phase /
360 ) *
> > 2 * pi) *
> > > > > > > > (rCyc1Amp * dFactor) + Trend * 0.2 ;
> > > > > > > >
> > > > > > > > Cycle2 = cos((BI / rCyc2Len + rCyc2Phase / 360 )
* 2
> > * pi) *
> > > > > > (rCyc2Amp
> > > > > > > > * dFactor) + Trend * 0.2 ;
> > > > > > > >
> > > > > > > > Cycle3 = cos((BI / rCyc3Len + rCyc3Phase / 360 )
* 2
> > * pi) *
> > > > > > (rCyc3Amp
> > > > > > > > * dFactor) + Trend * 0.2 ;
> > > > > > > >
> > > > > > > > Cycle4 = cos((BI / rCyc4Len + rCyc4Phase / 360 )
* 2
> > * pi) *
> > > > > > (rCyc4Amp
> > > > > > > > * dFactor) + Trend * 0.2 ;
> > > > > > > >
> > > > > > > > Cycle5 = cos((BI / rCyc5Len + rCyc5Phase / 360 )
* 2
> > * pi) *
> > > > > > (rCyc5Amp
> > > > > > > > * dFactor) + Trend * 0.2 ;
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > CycleX = Cycle1 + Cycle2 + Cycle3 + Cycle4 +
Cycle5
> > + Noise;
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > * if* (PlotIt == "IP Cycles")
> > > > > > > >
> > > > > > > > {
> > > > > > > >
> > > > > > > > Plot (Cycle1, "C1", *colorRed*);
> > > > > > > >
> > > > > > > > Plot (Cycle2, "C2", *colorOrange*);
> > > > > > > >
> > > > > > > > Plot (Cycle3, "C3", *colorYellow*);
> > > > > > > >
> > > > > > > > Plot (Cycle4, "C4", *colorBrightGreen*);
> > > > > > > >
> > > > > > > > Plot (Cycle5, "C5", *colorBlue*);
> > > > > > > >
> > > > > > > > Plot (CycleX, "Cx", *colorWhite*,
*styleThick *);
> > > > > > > >
> > > > > > > > Plot (Noise, "n", *colorLightGrey*,
> > *styleThick* | *
> > > > > > > > styleHistogram*);
> > > > > > > >
> > > > > > > > }
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > Data = StartX + CycleX;
> > > > > > > >
> > > > > > > > }
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
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