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Hi Ton, Lionel, Cab, James and others who wrote.
Ton ... sorry to have dumped all that stuff into an email. After 164 <G>
variations, <DATE> was the key that made the conversion work, not <DTMMDDYY>
etc.
Lionel ... I reason that I like engineering sites is that they are usually
the clearest and most straight forward. It doesn't get any easier than that.
Sorry.
For those of you that "speak" math, the H exponent formulas are on page 120+
of Christopher May's Non-linear Pricing. The usual R/S analysis VB code can
be found at Peters' site that I posted earlier.
The H explicative is an old joke, "before the exponent there was the
explicative".
The H P&L is based on running optimizing routines for the H lookback period
and plotting the P&L for the current "favourite".
Mandlebrot originally named it check his stuff out.
Best regards
Walter
----- Original Message -----
From: "Lionel Issen" <lissen@xxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Saturday, March 18, 2000 11:22 PM
Subject: Re: computers
| Walter:
| Re last paragraph of your posting:
| What is the Hurst explicative?
| How does one tell when indicators are fading in and out of effectiveness?
|
| I am no a statistician, and I feel that your statistical references are
| suitable for those with PhDs in statistics. No offense meant,but can you
| suggest something a bit less intimidating
| Lionel Issen
| lissen@xxxxxxxxx
| ----- Original Message -----
| From: Walter Lake <wlake@xxxxxxxxx>
| To: Metastock bulletin board <metastock@xxxxxxxxxxxxx>
| Sent: Saturday, March 18, 2000 7:48 PM
| Subject: computers
|
|
| > Thanks for your emails
| >
| > Here's an email from the guy who wrote the TOPS program.
| >
| > >Thanks for your Interest in Optimizer.
| > >
| > >The Demo in http://pages.infinit.net/xltops/ contains now the
| > >ARIMEX option .
| > >It does all the univariate Box-Jenkins ARIMA models processing
| > >i.e. Identification, Estimation and Forecasting based on your
| > >data selected.
| > >Details on the approach can be found in the Box-Jenkins book cited
| > >in reference.
| > >This site among others :
| > >http://www.itl.nist.gov/div898/handbook/pmc/section4/pmc445.htm
| > >gives a good overview of the process.
| >
| > Just keep clicking on anything in blue and save to file. A complete file
| > will emerge from an engineering point of view. Very clear and concise
| > description. ARIMA is linear as is GARCH (see Demetra).
| >
| > Re financial economics, i.e. price data, Metastock is linear analysis so
| be
| > careful. The data is unexamined as a start. One of the traders that I
know
| > uses the Hurst explicative to watch how Metastock indicators fade in and
| out
| > of effectiveness. H is computationally intensive but worth the effort.
The
| H
| > P&L is still proprietary, I don't know anyone who has it.
| >
| > Best regards
| >
| > Walter
| >
| >
|
|
|