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I haven't read the original, just read about it, and even this was
ages ago, so I am not sure how to apply it, apart from this fact -
when you smooth you introduce autocorrelation. This alone has helped
me quite a bit on a number of occasions.
I *think* that it means that, what to you may look like nice tradeable
cycles, may be the result of the sum of lots of random noise and not
repeatable in future.
I've toyed for ages with Fourier stuff, but the accuracy sucks to say
the least. It is nice to extract cycles and study cycle lengths and
comment on the time it will take before the next top or bottom occurs,
but the trick is that straight line! I would try to get that with
other techniques and then use Fourier on the difference between *other
technique's straight line* and the market.
Fourier/cycles is a long term technique and I've found shorter term
techniques (that is the same in the limit) that gives better results
and prefer these now. But Fourier still is a nice tool to have handy
if you study e.g. commodities or sunspots or something that has *true*
cycles in them. I wish I had time to continue working on these things
as well, as I think you can in fact do well if you use cycles, but you
have to go waaaay beyond Fourier I guess. Wavelets and fractional
integration and these kind of things. Some I've looked at in detail,
some are just ideas I know about. The 'problem' again is the long
term nature and the 'predicting' nature of cycles. To look at a cycle
and say the market will peak in two months' time will make you either
a visionary or very poor (I am starting to sound like super) - rather
focus on do you buy or sell today when a moving average is crossed or
not. More practical and to the point, and less neck on the line.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Andy" <AndyDavidson@xxxx> wrote:
> Nice one Jose! I was thinking about trying to do something like that
myself,
> but I'm sure that what took you 10 minutes would have taken me the
best part
> of a day.Thanks for saving me the time!!
>
>
>
> Now, if you imagine two additional factors:
>
> 1) An underlying trend represented by a straight upward/downward
> sloping line, or even a much longer-period cycle, that represents the
> "fundamental" influence on a market.
>
> 2) That the periodicity of all the cycles is not constant but
has some
> minor variation about their nominal value.
>
> And you can see how, when lots of "simple" stuff is added together
it can
> easily look very complicated and random! This is the general gist of
what
> Hurst was on about.
>
>
>
> MG, what's interesting to me is that if you plot Jose's indicator
and look
> at the individual cycles, then zoom out the chart view sufficiently,
all the
> small cycles start to look rather like white noise.
>
>
>
> Maybe I misunderstand the academics(!) but if its the smoothing
process that
> creates cycles where none existed before then why can we look at an
> un-smoothed price chart and *see* tradeable cycles? Why do chart
patterns
> occur so frequently? Are these purely random in nature, even on the
> week/month time scale? Surely it depends on what
time-scale/magnification
> level you're looking at.i.e. what you actually define as a "trade
cycle"? In
> other words, sure there must be an element of noise at the very high
> frequency end of the spectrum (which even itself looks like cyclical
> behaviour). But as you go up orders of magnitude that effect must
decrease
> dramatically and more predicatable influences take over. These would
mainly
> result, I would think, from the crowd-mentality of speculators.but I
don't
> want to get into an Elliot argument here (although I'm sure I can
see 3 and
> 5-wave patterns in Jose's indicator)!! Then, eventually, the
"fundamentals"
> start to have a distinct influence. At some point on this scale, as
noise
> gives way to crowd behaviour and then to fundamentals, you get a
point where
> efforts at modelling/predicting what's going on start to bear fruit?
>
>
>
>
>
>
>
> _____
>
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
> On Behalf Of mgf_za_1999
> Sent: Thursday, September 08, 2005 6:53 AM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Re: Synthetic cycles
>
>
>
> 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 }
> >
> > { CCopyright 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
>
>
>
>
>
>
> _____
>
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