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Yes, some peeople seem to think holy grail for some reason when you
mention Dr. Ehlers or signal processing techniques. I don't ever
remember him saying that. His stuff is meant to:
1.) Smooth data with less lag time through the use of filters designed
for signal processing.
2.) Look for and quickly measure cycles in the data. Sometimes there
are cycles, sometimes there are not.
3.) Transform the very un-gaussian distribution of price data to a
more gaussian distribution. (TradeStats!!! I like that term) in order
to make more realistic, but obviously not perfect, measurments of
statistical extremes. Many people ignore this VERY important fact when
trying to apply statistics to price data. Price data has almost the
exact opposite of a gaussian distribution.
All of these are applied to real measured data, and do not make
assumptions about future data. These are referred to as causal
filters, as opposed to non-causal filters which require data from
ahead of the measured point to create the filter.
Only one of Dr. Ehlers techniques, the Sinewave indicator, attempts to
use a non-causal filter, in this case, he assumes the the cycle phase
will exist as it does now for another few bars, and advanced a measure
of this phase in order to make a prediction.
You are right, you cannot assume that the cycle and phase will stay
the same in the future...You just have to make a measurement with as
little lag as possible, and sometimes make the assumption that they
will stay the same, or at least in the general vicinity.
It seems as though the Stationarity principle can be applied to cycle
and phase the same as it can to mean and variance???
There are ways of measuring cycle and phase in price data the same as
there are ways of measuring mean and variance, both require a bit of
lag of course, but that does not make them unusable. In fact, Ehlers'
methods of measuring cycle and phase are very responsive. Everyone
acknowledges that both are simply measurements of previous activity,
and not necessarily an indication of future activity.
I am by no means an expert on the subject, but I think the idea of
Stationality applies mainly to the ideas in Signal theory regarding
sampling and reconstruction of signals, which is not what we are doing
here. We are borrowing some techniques related to the field to let us
make a more "informed" model, but there are still many assumptions left.
That being said, there are still limiting assumptions, and thus
improvements that can be made on top of Ehlers' stuff given a general
understanding of the reasoning behind his ideas. Non of these
improvements will come close to the theoretical holy grail, but they
will remove a few false signals, and they will get you in a bar-or-two
earlier on some decisions.
People should not look at his techniques as alternatives to most
others. I have found the best results come from using his stuff with
many other techniques that make improvements upon "traditional"
indicators and techniques.
Thanks,
Brad Ulrich
www.thedml.com
tecto put is shortly
--- In Metastockusers@xxxxxxxxxxxxxxx, "teclogeo" <teclogeo@xxxx> wrote:
> >Engineers agree with Mark Twain: there are lies, damn lies, and
then there
> is statistics
>
>
>
> Err.sorry, but that is a slightly misplaced quote. Yes, Mark Twain
said it
> and yes it can be true when statistics are deliberately used to mislead
> people as in the way politicians regularly use them. But engineers.?
I know
> you are one, but I would like to venture a bit of personal
experience that
> may persuade you and others interested in how statistics are regularly
> applied in a Real World application that you may not have considered
before
> now. Perhaps that may then help you shed a more favourable light on
the way
> stats are applied in the world of trading.
>
>
>
> In my previous life I was a geologist working for a large mining
company. My
> claim to fame in that area is that I was on the (small) team that was
> responsible for one of the more significant gold discoveries of
recent years
> (for those interested, the Geita deposit in Tanzania.now belonging to
> Anglogold-Ashanti). So, the point here is that I have some experience in
> using statistical modelling.namely in the practical application of
> "geostatistics".
>
>
>
> Geostats is nothing fancy.it's just the name given by geologists to the
> practice of determining the size and internal grade distribution of
an ore
> body using statistical methods. Basically one has a limited data set of
> samples from drill holes and uses that to come up with a 3-D model
of the
> ore body and the distribution of metal within that body.and then to put
> levels of statistical confidence in that model. Those levels of
confidence
> determine (usually within industrial standards) how much more, if any,
> drilling is required to satisfy the *mining engineers* that what you
have is
> not just a mineral deposit but an ore body (the former is just metal
in the
> ground, whereas the latter can actually be mined economically).
>
>
>
> Mining engineers know that this is only a model. They know that it
is not
> 100% fact (as the only way to determine that is to actually mine the
thing).
> They know the statistical confidence levels and therefore they know that
> there are likely to be some errors in the model. This means that
when the
> miners actually come to take the gold out of the ground there will
be less
> in some places and (more pleasantly) more in others. And yet, look
at what
> happens.capital flows, mines get built, people get employed, dirt gets
> shifted, metal comes out of the ground. And all that hangs on a few
> statistical inferences made by a bunch of Neanderthal geologists.
Not bad,
> eh?
>
>
>
> So there is no question of "lying". To do so would involve not only
gross
> professional negligence on behalf of the geologist, but it would
mean that
> everything that else that normally follows would fall apart.usually long
> after all the capital has been spent and the people have been
employed, i.e.
> when it's far too late. Also, in the case of deliberate scams like
Bre-X,
> the use of geostatistical "lies" can affect the whole industry.
>
>
>
> Now, with all that said, you might be surprised to find that the
principle
> of stationarity is relaxed almost to the point of irrelevance in
> geostatistics. Nature is a wonderful thing, but it rarely conforms
to simple
> mathematical models and so, skipping over the jargon, we basically
find that
> we have to make some pretty sizeable assumptions and generalisations
when
> coming up with the models. Are we lying when we "bend the rules" so?
I don't
> think so.we are not agreeing with Mark Twain at all. He was implying, I
> think, that statistics are determined and then manipulated for an
ulterior
> motive. That is different from honestly recognising, discussing and then
> trying to work around the limitations of the practice.
>
>
>
> All this has direct implications to the world of trading. I've
already gone
> on too much so I'll only say now that you can draw two direct parallels
> between geostats and "trading stats" (Tradstats??!!). One is that
there is a
> known quantity.the drill hole data is dirt already taken out of the
ground
> and analysed - this compares with the historical data set in
trading. The
> second is that there is an unknown quantity that you want to
estimate, or
> model.the very sizeable un-mined bits of the deposit between the drill
> holes(!) and the future data in trading. The only problem I can think of
> there is to do with continuity. The drill hole data is not spatially
> continuous in 3D, whereas the time-series trading data is. Oh well,
that's
> not relevant.what I'm trying to say is that you should not confuse
> statistical modelling with any sort of "holy grail". Perfection does not
> exist when dealing with models, as any experienced mining engineer
will tell
> you.but that doesn't mean in any way that a good model will not help in
> getting the job done. And engineering is, after all, about getting
the job
> done.
>
>
>
> Hope that's helped open your mind a bit?!
>
>
>
>
>
> _____
>
> From: Metastockusers@xxxxxxxxxxxxxxx
[mailto:Metastockusers@xxxxxxxxxxxxxxx]
> On Behalf Of jawjahtek
> Sent: Friday, July 01, 2005 11:07 PM
> To: Metastockusers@xxxxxxxxxxxxxxx
> Subject: [Metastockusers] Re: New Adaptive Tools for Metastock
>
>
>
> Random question and comment:
>
> 1. Superfragalist, have you tried CSI data (assuming you use EOD data)?
> There is no such thing as a good data provider, but at least CSI is
> honest and up front about continually cleaning their data AND telling
> users what errors were made. If you use intraday data, I can see how
> you have been hosed. The only option that I have seen is to match the
> professional set ups: use multiple intraday suppliers.
>
> 2. While I wish the developers of the new adaptive tools all of the
> luck in the world, I don't believe that ANY application of
> Communications (Signal) theory can be successfully applied to price
> data. In academic terms, these theories require Stationarity. In
> layman's terms, this means that the theories require a constant range
> of frequencies (cycle) and phases (time lag). Unfortunately, historical
> price data tells us nothing about the future prices' frequency and
> phase.
>
> Statistician's definition of Stationarity: a statistical name for
> expressing degrees of invariance in the properties of random functions;
> it refers to the statistical model, and not to the data. Most commonly
> used to indicate invariance in the mean and variance, but also in the
> variance of first differences.
>
> I am an Electrical Engineer. Although EEs use the concept of
> Stationarity, its meaning is slighly different in engineering.
> Engineers agree with Mark Twain: there are lies, damn lies, and then
> there is statistics.
>
> I will try the free trial, but I already know that the holy grail does
> not (and cannot) exist.
>
>
> jawjahtek
>
>
>
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "superfragalist" <jackolso@xxxx>
> wrote:
> > Well, I've got all those IVs hung off my wallet also. Reuters at least
> > cleans their data, which esignal doesn't do. In fact, esignal can't
> > even adjust for splits.
> >
> > I didn't know netflix had DVDs on trading. I've just been trading DVDs
> > with them.
> >
>
>
>
>
>
>
> _____
>
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