Re: Cycle Length

["Chris Evans" <evanscje@xxxxxxxxxxxxx>]

so I tried plotting this function on the Five year note with Max =25 :

Inputs:Price(numeric),Max(numericsimple);
Vars:Len(5),Sum_Price_Chg(0),Min(100);

For Len = 5 to Max begin
  Sum_Price_Chg = AbsValue(Summation(Price-Price[1],len));
  If Sum_Price_Chg < Min then begin
    Cyclelength = len;
    Min = Sum_Price_Chg;
  end;
end; 

                but I only get a static of 20 ??

----- Original Message ----- 
From: "Gary Funck" <gary@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Thursday, January 08, 2004 10:23 AM
Subject: RE: Cycle Length


> 
> Noting Gary Fritz's observation that we should be working with absolute
> values:
> 
> For Len = 5 to Max begin
>   Sum_Price_Chg = AbsValue(Summation(Price-Price[1],len));
>   If Sum_Price_Chg < Min then begin
>     Cyclelen = len;
>     Min = Sum_Price_Chg;
>   end;
> end;
> 
> Gary's idea of using slope is interesting and worth a try.
> 
> I'm wondering, in the following expression:
>     LRS = LinearRegSlope(xaverage(Price,20)-xaverage(Price,15), 10);
> shouldn't the longert term average be subtracted from the shorter term
> average instead? Ie,
>     LRS = LinearRegSlope(xaverage(Price,15)-xaverage(Price,20), 10);
> from a cycle length point of view they are likely equivalent, but this
> just seemed to be more reflective of the actual momentum.
> I'd also look at using just a simple bandpass filter:
>     X = xaverage(Price, 3) - xaverage(Price, 100);
> where the lower cycle length (3) is approximately half the length of
> interest, and the upper cycle length (100) is approximately twice the
> max length of interest.
> 
>