RE: Cycle Length

["Gary Funck" <gary@xxxxxxxxxxxx>]

> -----Original Message-----
> From: Gary Funck [mailto:gary@xxxxxxxxxxxx]
> Sent: Tuesday, January 13, 2004 9:21 AM
> To: Omega List
> Subject: RE: Cycle Length
>
>
>
>
> > -----Original Message-----
> > From: Chris Evans [mailto:evanscje@xxxxxxxxxxxxx]
> > Sent: Tuesday, January 13, 2004 8:58 AM
> >
> > this horse still isn't drinking .. I wrote:
> >
> > Inputs:Price(numeric),Max(numericsimple);
> > Vars:len(1),Min(99999),Save(10),Sumofchange(0);
> > For Len=5 to Max begin
> >  Sumofchange=Summation(XAverage(price,3)-XAverage(Price,100),len);
> >  Min=XAverage(price,Max)-XAverage(Price,len);
> >  If AbsValue(Min)<Save then begin
> >   Cyclelen=len;
> >   Save=AbsValue(Min);
> >   end;
> >   end;
> >
> > but I don't know what to do with this Sumofchange variable??
> >
>
> Vars: Len(0), Min(0), Sumofchange(0);
>
> For Len = 5 to Max begin
>   Sumofchange = AbsVal(Summation(XAverage(Price,3)-XAverage(Price,100),
> Len));
>   If Len = 5 or Sumofchange < Min then begin
>     Cyclelen = Len;
>     Min = Sumofchange;
>   end;
> end;
>
>

Above, we missed a step: we need to take the differences between the
detrended prices, and sum that. Also, here's a way to normalize the samples
over the various differing lengths. Think about if you reflected the shorter
length cycle backwards in time, enough times to make the max. length.
Then, the following would express the sum over that length:
  Max/Len * Sumofchange.

Let's try the following:

Vars: Detrend(0), Len(0), Min(0), Sumofchange(0);

For Len = 5 to Max begin
  Detrend = XAverage(Price,3) - XAverage(Price,100);
  Sumofchange = AbsVal(Summation(Detrend - Detrend[1], Len)) * Max / Len;
  If Len = 5 or Sumofchange < Min then begin
    Cyclelen = Len;
    Min = Sumofchange;
  end;
end;