Getting there
Jose… I didn’t mean for you to actually take up the gauntlet when I
suggested the extra factors, but I should have known better! Glad you did though
as it’s starting to look quite “real” eh? Head-and-shoulders,
ascending/descending wedges, pennants, 3-wavers/5-wavers…they’re
all there!
Just needs two
more things (if you’re up for the challenge still !!):
- a straight-line sloping component in there to simplify
the long-term fundamental influence…e.g. cum(1)/lastvalue(cum(1))*strength
factor ??
- Hurst said the cyclic component duration *and magnitude* fluctuate slowly with
time (both are related in that deviation to longer duration/period corresponds
to a deviation towards larger magnitude). I’m stuck with that –
can’t do it without screwing up the nice smooth sinewave shape. I’m
not asking you to do it either because it’s probably a bridge too
far just to make an academic point…but if you have any ideas spring
straight to mind it’d be nice.
Cheers,
Andy
From:
equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx] On Behalf Of Jose Silva
Sent: Friday, September 09, 2005
5:49 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group]
Synthetic cycle generator
Ok, try this pattern
generator version:
=========================
Synthetic cycle generator
=========================
---8<--------------------------
{ 5-wave synthetic cycle generator v2.0 }
{ Refresh chart for new simulations }
{ Download Random.dll from
http://www.traderhelp.net
and place in
MetaStock External Function DLLs folder }
{ Basic idea from Andy Davidson at:
http://finance.groups.yahoo.com/group/equismetastock
, and:
http://www.stockmarketcycles.com/technica.htm
}
{ ©Copyright 2005 Jose Silva
For personal use only.
http://www.metastocktools.com
}
{ User inputs }
plot:=Input("Sine-wave cycles:
[1]Composite, [2]Individual",1,2,1);
Sval1:=Input("Sine 1 value",-720,720,1);
Sval2:=Input("Sine 2
value",-720,720,3.5);
Sval3:=Input("Sine 3
value",-720,720,12);
Sval4:=Input("Sine 4
value",-720,720,42);
Sval5:=Input("Sine 5
value",-720,720,150);
{ Random generator engine }
x:=ExtFml("Random.Number",-1)/66.66667+.5;
{ Sine components }
sine1:=Sin(Cum(Sval1*x));
x:=ExtFml("Random.Number",-1)/66.66667+.5;
sine2:=Sin(Cum(Sval2*x))*.5;
x:=ExtFml("Random.Number",-1)/66.66667+.5;
sine3:=Sin(Cum(Sval3*x))*.25;
x:=ExtFml("Random.Number",-1)/66.66667+.5;
sine4:=Sin(Cum(Sval4*x))*.125;
x:=ExtFml("Random.Number",-1)/66.66667+.5;
sine5:=Sin(Cum(Sval5*x))*.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,
"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@xx
..> 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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