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/
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