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Well Steve, again it all depends on how you are trading... that kind
of defines what makes sense as a 'period' if you like.
The first thing that popped into my mind when I read your post was
using something like John Ehler's digital signal processing techniques
to define somekind of 'dominant market cycle period'...
Are you familiar with Ehler's stuff...?? www.mesasoftware.com
John's pretty open about the techniques he uses and buying his
software is really only for the 'bone idle'... you can work it all out
yourself. He lists EasyLanguge code to calculate dominant cycle
periods in a couple of his books... 'rocket science for traders' and '
cybernetic analysis for stocks and futures'...
Do send me a message if you want or need further info.
Yours
Rob
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>
> Hi - I am not trend following in the popular sense but I am trying
to smooth
> another array that contributes to my signals in order to make it less
> volatile. Right now I am just experimenting with some different
averages to
> determine which might work best, including some of the popular AMA's
like
> VIDYA, KAMA, MAMA etc, and it dawned on me that I might be able to
easily
> create a bunch of different AMA's to test by just starting with
different
> momo/volatility oscillators and then converting these arrays to
periods that
> are fed into AB's assortment of built-in MA's. Except I am not sure
how to
> best convert the values of the different oscillators to numbers that
would
> work well as "periods". Ideally I would like to be able to optimize
also so
> I am thinking that maybe my conversion formula should include some
sort of
> smoothing constant whose value I can optimize on. Right now I just
thought
> of it and it is all swimming around in my head so I was hoping
someone might
> be able to point me in the right direction. Do you think you might
be able
> to say a few words about some of the different techniques? I could
probably
> fill in most of the details by googling if I had a better idea of the
> possible alternatives or starting points...Thank very much!
>
> Steve
>
> ----- Original Message -----
> From: "sidhartha70" <sidhartha70@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, June 09, 2008 3:31 PM
> Subject: [amibroker] Re: Creating "period" arrays for built-in averages
>
>
> > Steve,
> >
> > There are so many techniques you could use to create a variable array
> > for use in MA calculations... I think it all depends on 'how' you want
> > to use the MA. Clearly the technique needs to make some intuitive
> > sense. Are you trend following and want to avoid whipshaws in volatile
> > markets....?
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@> wrote:
> >>
> >> Hi - I see that most of AB's built-in moving averages will take an
> > array for the Periods arg. I imagine a typical use of this might be to
> > calculate some array based on momentum, volatility, whatever, then
> > convert that to an array representing suitable periods that these
> > functions can use? There are many indicators/oscillators etc that try
> > to measure momo/volatility - my question is, what would be some good
> > measures to use, and then some good methods of converting these
> > different arrays to an array of periods suitable for use in MA(),
> > DEMA(), etc? Are there other/better ways to arrive at an array of
> > "periods"? Of course if anyone is doing this and has an example they
> > could post, I would be very grateful. Thanks for any help!
> >>
> >> Steve
> >>
> >
> >
> >
> > ------------------------------------
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
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> > Yahoo! Groups Links
> >
> >
> >
> >
>
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