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To answer your question about full/half span averages I want to use my
"theoretical" market model which consists of cycles of 22, 54, and 88
periods and some up/down trends.
What I want to show is that we know there is a 54 bar cycle in this data
and we will try to extract that using the full/half cycle CMAs. This is
shown with the red and blue lines runing through the data.
In my opinion, although theoretically correct, because of the side lobes
of such filters we do not get clear indications of the cycles from this
observation.
However, Hurst also talked about building "bandpass" filters by taking
the difference in two selected length CMAs properly oriented.
In working with all of Hurst's ideas I found this approach to be most
viable with the old problem of "just how do we get CMAs to plot at
current time points".
Look to Mr. Fourier for a possible solution.
1. Take the "filtered" data and do a Fourier line spectra analysis
specifically at the frequency that is the center period of the
filter (in this case 46/62 filter = 54 period center).
2. Using the phase and amplitude from the above then synthesize
the current value of the CMA by extrapolating a value to the
current time period using this information.
The results of a "strategy" that trades at the inflection points of
this derived CMA is illustrated. The final results are highly
compromised due to the strong 22 cycle period that is so obvious,
BUT, I would be happy if real life trading was this good.
The above is show in the "Theoretical.....".gif picture.
More information is shown in the Basic Definitions.gif.
Clyde
----- Original Message -----
From: "Rakesh Sahgal" <rakeshsahgal@xxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Sunday, August 21, 2005 11:25 PM
Subject: Re: [RT] sp 500
> Hi Clyde,
>
> Have you studied the crossover of a lagged half span
> average and a full span average as described in
> Hurst's book - Profit Magic? If so whats your opinion
> on the strategy?
>
> From whatever little I could comprehend the crossover
> of the half cycle and full cycle averages(both lagged)
> can show some pretty good signals.It will be
> instructive to know what you think of this approach.
>
> Thanks and Regards
>
>
> Rakesh
>
> --- Clyde Lee <clydelee@xxxxxxxxxx> wrote:
>
>> The attached shows a single cycle analysis/strategy
>> of the SP that has
>> proved optimum over the past several weeks.
>>
>> If this holds, we have quite a few more down days
>> (till 9/19).
>>
>> Clyde
>>
>> - - - - - - - - - - - - - - - - - - - - - - - - - -
>> - - - - - - - - - - -
>> Clyde Lee phone: 713.783.9540
>> SYTECH Corporation
>> 7910 Westglen, Suite 105
>> Houston, TX 77063 fax: 713.783.1092
>> WebSite: www.theswingmachine.com
>> - - - - - - - - - - - - - - - - - - - - - - - - - -
>> - - - - - - - - - - -
>>
>> ----- Original Message -----
>> From: Ben
>> To: realtraders@xxxxxxxxxxxxxxx ;
>> ntt-list@xxxxxxxxxxxxxxx ; Vincent DONOVAN (E-mail)
>> Sent: Saturday, August 20, 2005 2:41 PM
>> Subject: [RT] sp 500
>>
>>
>> this is a reprint with permision
>> The S&P 500 is again testing support at 1220 after
>> a sharp fall on Tuesday [2] broke below the
>> trendline, signaling a slowing of momentum. The
>> index has consolidated for the last three days in a
>> narrow range at the support level. Weak closes and
>> lower volume on Friday [5] favor a downside
>> breakout; confirmation would be a close below
>> Thursday's low. A downside breakout would signal a
>> test of secondary support at 1190 and possibly
>> primary support at 1140.
>>
>> A close above 1240, on the other hand, would
>> signal resumption of the up-trend, with a target of
>> 1280: 1250 + (1250 - 1220).
>>
>
>
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Basic Definitions.gif
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