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> * a straight-line sloping component in there to simplify
> the long-term fundamental influence.
The long-term fundamental influence - I guess that would be sine wave
1.
> I'm stuck with that - can't do it without screwing up the nice
> smooth sinewave shape.
I can't think of a solution either, that would not destroy the
integrity of the sine waves. Randomizing/increasing the frequency/
amplitude of the sine waves would unfortunately also destroy the whole
point of this exercise.
As for the point of this exercise, one could view and compare the
different sine wave components of the synthetic plot, to the different
groups of investors, traders, day-traders that affect a normal price
pattern.
The large investors with the deep pockets would be the commercials
and/or large funds, accumulating/selling stock or contracts over a
longer period of time. This would equate to the large sine wave
component in the synthetic pattern generator.
The smaller/quicker traders would account for the smaller/quicker
influences, and so on, right down to the small random market noise -
which just happens to be generated by my own trading. :)
No doubt the markets are a lot more complex than this artificial
facsimile, but it can be one of those tools that can help in one's
understanding of the machinations in the markets.
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Andy" <AndyDavidson@xxxx>
wrote:
> 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 }
>
> { CCopyright 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?
>
>
> _____
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