|
PureBytes Links
Trading Reference Links
|
About 100 years ago some guys did a study on autocorrelation - just
read about it, but it was senstational at the time. It was Slutzky's
"The summation of random causes as the sources of cyclical processes",
originally published in Russian. Another guy, Yule, came to similar
conclusions, so this thing is called the Slutzky-Yule effect and is
the reason why stock price tables in news papers show the closing and
not the average price for the day. It is also why many people use
data that has not been seasonally adjusted rather than otherwise.
The effect is a bit difficult to explain without using technical
jargon, but let me try. If you smooth a series you create implicit
autocorrelation - implicit cycles if you want. When you smooth you
can create apparent systematic effects simply because you are
smoothing rather than because there is some underlying factor
responsible for it. This is the senstational bit! You can use random
noise, smooth it, and generate nice looking, systematic effects. What
Slutzky did and what shocked the academic world at the time was to
mimic an actual trade cycle using only random noise.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva" <josesilva22@xxxx>
wrote:
> A nice representation of what a whole bunch of superimposed cycles
> actually looks like, can also be seen with this MetaStock indicator:
>
>
> ================
> Synthetic cycles
> ================
> ---8<--------------------
>
> { 5-wave synthetic cycles v1.0 }
>
> { ©Copyright 2005 Jose Silva
> For personal use only.
> http://www.metastocktools.com }
>
> { User inputs }
> plot:=Input("Cycles: [1]Composite, [2]Individual",1,2,1);
> Sval1:=Input("Sine 1 value",-720,720,2);
> Sval2:=Input("Sine 2 value",-720,720,6);
> Sval3:=Input("Sine 3 value",-720,720,20);
> Sval4:=Input("Sine 4 value",-720,720,50);
> Sval5:=Input("Sine 5 value",-720,720,160);
>
> { Sine components }
> sine1:=Sin(Cum(Sval1));
> sine2:=Sin(Cum(Sval2))*.5;
> sine3:=Sin(Cum(Sval3))*.25;
> sine4:=Sin(Cum(Sval4))*.125;
> sine5:=Sin(Cum(Sval5))*.0625;
>
> { Composite Sine }
> composite:=sine1+sine2+sine3+sine4+sine5;
>
> { Plot in own window }
> If(plot=1,composite,sine1);
> If(plot=1,composite,sine2);
> If(plot=1,composite,sine3);
> If(plot=1,composite,sine4);
> If(plot=1,composite,sine5)
>
> ---8<--------------------
>
>
> jose '-)
> http://www.metastocktools.com
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "teclogeo" <teclogeo@xxxx>
> wrote:
> >
> > A very dirty summary, but with a nice picture representation of what
> > a whole bunch of superimposed cycles actually looks like, can be
> > seen at http://www.stockmarketcycles.com/technica.htm
------------------------ Yahoo! Groups Sponsor --------------------~-->
Help tsunami villages rebuild at GlobalGiving. The real work starts now.
http://us.click.yahoo.com/njNroD/KbOLAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|