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With regards to the code you posted in the library ... I get
subscript out of range messages for line 247 ...
--- In amibroker@xxxxxxxxxxxxxxx, "Tom Tom" <michel_b_g@xxx> wrote:
>
> From: tomy_frenchy <michel_b_g@xxx>
>
>
> Hello,
>
> After the technicals post about quotes predictions (hurst,
polyfit) on
> amibroker software, i was asking me if someone here explore
different
> prediction technics and if he could give us his feedback on
accuracy of
> prediction depending the forecast tools. It will be very nice.
>
> 1- Prediction with AR model
>
> For now I am working on AR (Auto-Regressive model) prediction. I
post code
> here : http://www.amibroker.com/library/detail.php?id=757
>
> You will find a jpg picture joined to this mail. The data before
the
> vertical bar are those used to compute the AR coefficient and
behind the
> vertical bar are those predicted (and out-of-sample). The data
before the
> verticale bar colored in blue are predicted too (because of CMA
for
> denoising who lag) but are in-sample. So i resume (sorry for my
english
> don't be affraid ; ) ) :
>
> Green : computed CMA in-sample, Blue: predicted with AR model in-
sample,
> Red: predicted with AR model out-sample
>
> Prevision are sometimes good (if data present enough cyclic
pattern and
> number of AR coeff is enough high to take in consideration the
patterns).
> Somtimes they are wrong too, as always héhé : ))
>
> CMA is used here with what i call a false "T3 zerolag". So it
denoise the
> data and keep the averaging synchronized with the data.
>
>
>
> 2- Prediction with PolyFit / Hurst CMA
>
> Thanks to Fred for this very nice code :
> http://www.amibroker.com/library/detail.php?id=741
>
> Thanks too to Andy for this code :
> http://www.amibroker.com/library/detail.php?id=753
>
> CMA is used here (manually (hurst de) or automaticaly (cycle
highlighter))
> to extract one (cycle highlighter) or differents (hurst de) MA
with
> different periods wich keeps synchronized with data, and
prediction is made
> with polyfit.
>
> More information on the recent post named "Hurst Channel's".
>
>
>
> 3- Prediction with EMA/DEMA/TEMA (seems not interesting to go to
higher
> order prediction)
>
> I posted code for DEMA prediction here :
> http://finance.groups.yahoo.com/group/amibroker/message/102710
>
> Principe: an EMA or DEMA or TEMA is computer. From this is
computer a linear
> regression or higher order regression. Data are predicted using
the result
> of this regression.
>
> Forecasting is very poor and can indicate only the trend to come.
It cannot
> show future turning point and other variation, nor show
pattern/cycle
> repetition.
>
> More information : http://www.duke.edu/~rnau/411avg.htm ,
>
http://espse.ed.psu.edu/edpsych/faculty/rhale/statistics/statlets/use
rmanual/sect6_3_3.htm
>
>
>
> 4- Prediction with different CMA automaticaly computed (CMA,
downsampling
> and interpolation, trigfit)
>
> Post about his can be found here :
> http://finance.groups.yahoo.com/group/amibroker/message/102530
>
> For now it seems a very interresting approach. It could take
automaticaly
> pattern in consideration and is more consistent than AR prediction
i think
> wich sometimes can provides some divergent prediction (like
polyfit with
> high order).
>
> Fred could you tell us more about this work and maybe post some
code about
> it ? Will be very nice.
>
>
>
> 5- Another prediction tehnics
>
> We can find non-linear prediction (Kalman, Network prediction,
etc...)...
> seems hard to compute. Someone try this ?
>
> For linear prediction : ARMA, ARIMA, Trigonometric Fit, ARCH,
GARCH (for
> volatility prediction)
>
> Based on spectral analizis to extract cycle :
>
> for several cycle : FFT (different version exist depending speed,
> resolution), Density Spectrum Power,
>
> Prony, Pisarenko, Wavelet
>
> for the main cycle : MESA (Ehlers Dominant Cycle Period), CMA
>
> Pisarenko method seems to offer better resolution from FFT and
less
> constrain, but suffer that is is more difficult for computing it.
>
>
>
>
>
> So can you provide us some information on your work on prediction
with
> amibroker. Tips, code, experience, trading result in applying
prediction and
> anything who can help to go forward in this topic is welcome.
>
> Cheers,
>
> Mich.
>
> _________________________________________________________________
> Retrouvez tout en un clin d'?il avec Windows Desktop Search !
> http://desktop.msn.fr/
>
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