If anyone is
interested in the Hilbert Transform, any of Ehler’s other work, or adaptive
techniques in general, can you permit me a blatant plug for the following
link?
http://www.thedml.com/index.html
They’re a
young company and haven’t even got a pricing structure sorted yet, but in the
meantime you can check out their tools with a free
trial.
I’m not tied
to or financially associated with the company in any way…I’ve just recently been
having regular correspondence with them with a view to developing new ideas and
applications for their products. I’ve found them to be very receptive to new
ideas and I know for a fact that they are most interested for people to provide
any feedback on what they have to offer. They’ve just set up a forum to this
end.
For my money
they’re a breath of fresh air and definitely worth checking out, whether you’re
a fan of Ehler or not. For example, they can help you get around the lack of a
loop function in MSFL and if you just want a simple adaptive MA then you can do
it without a PREV function in sight (all done with nice-and-fast DLLs called for
by the ExtFml function) and with any input you like (volatility, cycle length,
volume, whatever).
From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx] On
Behalf Of Ed Hoopes
Sent: Monday, August 08, 2005 8:07
PM
To:
equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: Trend
Following
I read John Ehlers book "Rocket Science for
Traders" - he devoted Ch.
6 to the Hilbert Transform. Figure 6.7 has it coded in
EasyLanguage.
Looking at the code,
I think it would perform like the Triangular
option of the moving averaging formula in MS 9.0
- further, the code
looks
simple enough to code in MS-FL - which, of course, I am too
lazy
to do.
My experience with Kalman is
that the sources of noise in the signal
need to be well characterized and constant. This is
true for most
electronic /
electroptic applications. However in the stockmarket,
I
found thats not true. To run
a Kalman filter, the several terms
required to calculate the next days change need to be
constantly (
every few months)
re-tuned. After tuning, things work OK for a
while,
then need to be tweaked
again.
By the time you
have a term for every thing you think impacts the
price, there are many functions and look up tables. You
need look up
tables, since noise
sources in the stock market are seldom Gaussian
like Kalman wants. They also suffer from the "Fat Tail"
issue -
namely that extreme outliers
are much more common that would be
predicted by a Gaussian
distribution.
For this reason, I
no longer use my Kalman filter, despite many hours
and hundred lines of _javascript_ code it required (you can run
JS and
Vis
Basic - both free - inside of Standard AmiBroker.)
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999
<no_reply@xxxx> wrote:
>
For an easy introduction to the Kalman filter, download the
PDF
> article from this
page.
>
> http://www.ferra4models.com/Kalman.html
>
> Ed,
given your background, have you ever used the Hilbert transform?
> It is supposed to give an idea
of both the length and the strength of
> the trend, if used correctly.
>
>
Regards
> MG
Ferreira
> TsaTsa EOD Programmer
and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
> --- In
equismetastock@xxxxxxxxxxxxxxx, "Ed Hoopes"
<reefbreak_sd@xxxx>
>
wrote:
> > The problem that
you are trying to solve is to extract some
> > information (trend) from a noisy signal. My
experience ( which comes
> >
from chemical process control and stock trading ) is that the
simplest
> > SMA or EMA will
extract about 85% of the information content from a
> > noisy signal. So the improvements you seek by
going to more exotic
> >
calculations will not improve things very much.
> >
>
> My goals for trenders, are:
> > Fast response to
trend changes
>
> Low rate of whipsaws
> > As you can see, these tend to be mutually
exclusive.
> >
> > The categories
are:
> >
> > Moving
Averages:
>
> SMA's have a constant weight for each term of
the average
>
> Variable weights for each term - EMA, WMA,
Gaussian, etc
>
> Weights that change depending on some market
condition - like
> >
volatility( try ATR ) - Adaptive moving averages
> >
>
> Filters:
>
> There are many of these (mostly coming out of
the electronics
> > industry)
like a Kalman filter. Kalman takes the previous value
of
> > the smoothed function
and adds some fraction of the current value of
> > the signal based on a complex formula.
(Kalman filters are used to
>
> position disk drive heads and guide smart bombs) You can look
in
> > Google for Kalman
filters, and will discover they are difficult
> > mathematically. Also you will discover that
MS - FL is entirely
> >
inadequate to implement these - Better to use AmiBroker software
-
> > cheaper and MUCH more
powerful programming language.
>
>
> > Curve
fitting:
>
> Here you fit some mathematical function to
the price data. MS
> >
has a linear least squares fit, but higher order fits work
much
> > better. (don't
try programming a quadratic or cubic fit in MS - FL)
> > Fourier transforms are also used, but
mathematically complex.
> >
> >
______________
> >
> > My experience has been
that there is some gold to be mined by trying
> > to improve your trend following indicators, but not
very much. My
> >
production trading system uses custom coded adaptive moving
average,
> > and curve
fitting.
> >
> >
Cheers,
> >
> > Ed
Hoopes
> >
> >
> >
>
>
> > --- In
equismetastock@xxxxxxxxxxxxxxx, "tan ming"
> > <reminiscenostalgia@xxxx>
wrote:
> > > This post hope
to starts a discussion on what are the available
> > methods or
> > > indicators which can effectively used to
determine whether current
> >
price is
> > > in a trend
mode. Personally moving average is my main indicator to
> > dtermine
> > > trend. However as many of you guys know, it
suffer when the
market is
> > > starting going to a
tradning range. Pls join in the discussion
on the
> >
> following topic:
> > >
> > > 1) What are the
effective methods or indicators to determine whether
> > the
> > > current price is in a trend
mode.
> > >
> > > 2) What are the
effective methods or indicators inorder to tell
> > whether the
> > > current price in the early, middle or mature
trend?
> > >
> > > Great guys like
Jose, Roy, MG and many of them in the forum pls
> > offer some
> > > pointers.
> > >
> > >
_________________________________________________________________
> > > Block pop-up ads with MSN Toolbar. http://toolbar.msn.com.my/