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Interesting work.
I have done quite a bit of work with cycles and have not found anything
that I would call tradeable from using the Bressert StochCT type of
indicators.
Attached is a GIF showing a similar concept. It uses the StochCT indicator
on three data series: 1, 3, and 5 minute bars (StochLen = 10). It would
seem to be similar to your idea.
It does show convergence at major turning points visually but I have been
unable to make this into a system that backtests well.
I have better luck with filters. I use bandpass filters to isolate the
primary component and then use that for trading signals. Works pretty well
on things with a strong periodic component such as the daily S&P.
Bob
Attachment Converted: "c:\eudora\attach\Cycle.gif"
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