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What
is the practical use of synthetic cycle generator?
Thanks,
Vladimir
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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