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Ehler's studies works great for futures market and any market with a
true supply and demand dynamic.
KS.
--- In equismetastock@xxxxxxxxxxxxxxx, "Andy" <AndyDavidson@xxxx>
wrote:
> MG,
>
>
>
> Agree that Fourier is maybe alright if you're looking at the big
picture.
> But the restrictions on stationarity mean that it's useless for
short cycles
> on small data sets. I've used it to find a suitable periodicity
for a
> Centered MA with fixed-width envelopes. Which is a tool that's
only any use
> for 'eyeballing' the major cycles since you have to extrapolate it
to the
> right hand edge.
>
>
>
> I've found Ehler's Cyber Cycle measurement to be very good for
practical
> purposes as he starts off with the assumption that, yes there may
be lots of
> cycles going on at any one time but there is only one
dominant/tradeable
> cycle.and the indicator attempts to measure that.
>
>
>
> Andy
>
>
>
>
>
> _____
>
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
> On Behalf Of mgf_za_1999
> Sent: Thursday, September 08, 2005 9:09 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Re: Synthetic cycles
>
>
>
> 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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> > _____
>
>
>
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