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> -----Message d'origine-----
> De : MikeSuesserott [mailto:MikeSuesserott@xxxxxxxxxxx]
> Envoye : dimanche 29 juillet 2001 17:49
> A : omega-list@xxxxxxxxxx
> Objet : AW: TradeStation Precision - Summary
>
>
>
> Allow me to offer a bit of background information which may help
> to clarify some of the issues.
>
( snip the butterfly -Lorentz story)
> Now I hope that the above may help to understand better where
> much-maligned Pierre was right and where he made a little mistake. While
Pierre was
> absolutely right in telling his students to omit unnecessary decimals when
> calculating, say, an angular velocity from a formula, it seems he did not
> take into consideration that as soon as *feedback processes* are involved,
> it becomes a totally different story. With feedback processes, you want to
> use all the precision you can get because, as described above, these
> processes are numerical minefields where tiny inaccuracies in the
> calculation can quickly magnify to such an extent that the
> resulting signal may become totally meaningless.
>
Thanks, I am very much maligned as you may see later, and much more than
what you suppose.
> Now coming back to TradeStation and Metastock and similar
> software, we have to keep in mind that many of the commonly used trading
> indicators, like, for instance, the EMA, *are* programmed as deterministic
feedback processes.
> Therefore, instabilities will arise automatically, owing to the numeric
> properties of these iteration processes.
>
Please do te following experience with your tS2000 copy if you still have
it:
Write the code below into in an indicator and apply it on a 35,000 bars
chart ( you may choose anything yopu want), Maxbarsback not set to
autodetect to avoid a further parallel discussion.
============================================
value1=2; [ This is obviously a constant, set to 2 every bar}
value2=xaverage(value1,10); {this is the EMA of the constant serie above}
Value3=2-value2; { this is the error that should propagate according to you
and that need Double precision at a minimum}
if mod(currentbar,50)=0 then messagelog(currentbar:1:0," ",value2:1:8,"
",value3:1:8);
{The message log will display barnumber, the EMA, the error, every 100 bars}
plot1(value3); { this is a plot of the error}
> Please note that this phenomenon does not result from any weakness of the
> trading system involved, nor is it entirely the fault of the software.
> Inaccuracies will always arise of necessity as soon as any
> feedback process is involved in the calculation of a trading system.
Yes, and you are sure that the error will propagate!
So, we should not see a xaverage value of 2 after some hundreds of bars
>
> What corrective measures are available? While tweaking the
> program code may help in a few special cases, the only remedial action
that would be
> generally applicable, and would definitely be called for in the
> cases of TS and Metastock, is an increase of the internal floating-point
precision of
> the program. This solution, while not a panacea, will serve to delay the
> introduction of noise which now attacks those feedback processes at a
> comparatively early stage of the iteration, and will thus help to prevent
> many of the instabilities described.
No, the solution is to avoid to claim for errors that only exist in your
brain, and some biased thinking.
Here is a copy of the message log, with 8 digits precision: The EMA error
does not propagate at all
Date Content Analysis Technique
29/07/2001 18:55 30150 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 30100 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 30050 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 30000 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 29950 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 23100 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 23050 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 23000 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 22950 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 22900 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 16200 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 16150 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 16100 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 16050 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 16000 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 15950 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 15900 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 15850 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 15800 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 15750 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 14400 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 14350 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 14300 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 14250 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 14200 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 5800 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 5750 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 5700 2.00000000 0.00000000 Indicator: test debile
29/07/2001 18:55 5650 2.00000000 0.00000000 Indicator: test debile
Sincerely,
Pierre Orphelin
www.sirtrade.com
TradeStation Technologies representative in France
Neurofuzzy logic system builder that work with the required precision
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