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I thought John Ehlers completed some course work toward his doctorate
but didn't finish his diseration or all of the classes. Is "Dr." the
correct designation?
--- In Metastockusers@xxxxxxxxxxxxxxx, "bradulrich33"
<bradulrich@xxxx> wrote:
> 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.
> > >
> >
> >
> >
> >
> >
> >
> > _____
> >
> > YAHOO! GROUPS LINKS
> >
> >
> >
> > * Visit your group "Metastockusers
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> >
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> >
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> >
> >
> >
> > _____
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