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Rakesh, As stated in Appendix 6 of Hurst’s
book and the “me too” but more fully fleshed out math examples in
Claud Cleeton’s book ( Out of Print but still available used etc ) … One can supposedly remove the trend from a
CMA by subtracting a 1st order least square fit of the CMA from it
which should leave a sinusoid of sorts. This then should be able to be passed
through a least squares trig fit to arrive at a frequency ( wave length ),
amplitude and phase which can then be extrapolated. The principle is the
same as an FFT but utilizes shorter ( relative to the wave length being
investigated ) data segments, which is probably a good idea since these things
have a tendency to change character. I have played with this somewhat ( See
attached ) … The top pane contains a CMA like MA and you
can see where its last calculation is relative to the Selected Bar i.e. several
bars behind. It also has surrounding bands … In this case
percentage based … The green line going through the CMA is a
least squares fit of the CMA over roughly one cycle. The white line in the bottom pane is the
original CMA with the least squares fit from above subtracted from it … The alternating green and red sinusoid is
the least squares trig fit of the white line and has been extrapolated into the
future … Although probably not really necessary except
from an edge band perspective, This then should be able to be added back to the
trend to extrapolate the CMA and its associated bands. One can see that at times this is not a
horrible predictor … However, the predictions have a tendency to be somewhat
“twitchy” … More study is needed to see if there is
anything really usable here … I am using the free version of SPAMfighter for private users. It has removed 8605 spam emails to date. Paying users do not have this message in their emails. Try SPAMfighter for free now! __._,_.___ Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html
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CMA - 1st Order Detrend - Trig Fit.png
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