As I recall Hurst didn't make much more mention of it in the course
material then in PM ... However for those wanting to understand his
methodologies the course is the definitive work which goes well
beyond CMA's & DE's ... DE's can be an interesting tool for trading
at the extremes ... I'll post a version later that uses PolyFit for
extrapolation and has a variety of flexibility to it not present in
the AFL that's kicking around at the moment. My personal preference
is for Trig Fits as opposed to a polynomial Fit, but when properly
damped the PolyFits work ok too.
IMHO the periodogram is nothing more then a product of an FFT like
algorithm i.e. an investigative tool for determining cyclic
forces ... There are a variety of methodologies and tools out there
to produce one and from what I understand at least one will be built
into AB on the next release. Personally I have several problems with
FFT's ... which can be demonstrated with a wave generator ...
For example the code below ( It's a VBS out take ... Not complete,
but usable with minor mods ) will generate a composite wave
consisting of several cosines of various user selected wave lengths,
amplitudes & phase offsets ... it can also add a trend to the
composite as well as random noise to almost any level ... It is IMHO
very instructive to use stuff like this and see how they affect
different DSP algorithms.
FFT's have a tendancy to be easily fooled by trend and even more so
by a combination of trend and noise. This leads one to surmise that
it is probably a good idea to at least remove the trend from data
before tossing it to an FFT for analysis. The other problems that
FFT's have center around their inability to have relatively good
resolution at low frequency. The reason of course is related to how
the algorithm itself works. This sort of forces one to use long data
histories relative to the cycle lengths being investigated so that
the result is decent resolution. The problem with this approach is
that IMHO wave lengths either change or if you are a purist some
times are overwhelmed by non cyclic activity i.e. 10/87 etc ... Since
FFT's in essence provide data related to cycle length, amplitude and
phase offset FROM THE BEGINNING OF THE DATA, the shorter wave
lengths, which are also typically buried in noise, don't extrapolate
correctly. So while FFT's can definitely provide some insigth into
the cyclic forces they are not a be all and end all.
pi = 4 * atn(1)
Randomize
StartX = (dFactor + 1) * 1000
for i = 1 To nIS + nCoeff
Trend(i) = (i - 1) * rTrend * dFactor * (rCyc1Amp + rCyc2Amp
+ rCyc3Amp + rCyc4Amp + rCyc5Amp) / 5
Noise(i) = (Rnd - 0.5) * 2 * rNoise * dFactor * (rCyc1Amp +
rCyc2Amp + rCyc3Amp + rCyc4Amp + rCyc5Amp) / 5
Cycle1(i) = cos(((i - 1) / rCyc1Len + rCyc1Phase / 360) * 2 *
pi) * (rCyc1Amp * dFactor) + Trend(i) * 0.2
Cycle2(i) = cos(((i - 1) / rCyc2Len + rCyc2Phase / 360) * 2 *
pi) * (rCyc2Amp * dFactor) + Trend(i) * 0.2
Cycle3(i) = cos(((i - 1) / rCyc3Len + rCyc3Phase / 360) * 2 *
pi) * (rCyc3Amp * dFactor) + Trend(i) * 0.2
Cycle4(i) = cos(((i - 1) / rCyc4Len + rCyc4Phase / 360) * 2 *
pi) * (rCyc4Amp * dFactor) + Trend(i) * 0.2
Cycle5(i) = cos(((i - 1) / rCyc5Len + rCyc5Phase / 360) * 2 *
pi) * (rCyc5Amp * dFactor) + Trend(i) * 0.2
CycleX(i) = Cycle1(i) + Cycle2(i) + Cycle3(i) + Cycle4(i) +
Cycle5(i) + Noise(i)
ISData(i) = StartX + CycleX(i)
Next
--- In [email protected], "wavemechanic" <[EMAIL PROTECTED]> wrote:
>
> Fred:
>
> Did you go through the course
(http://www.traderspress.org/detail.asp?product_id=1400)? Do you
understand how the Periodogram is calculated? That's one of the big
blanks in my understanding of the Hurst world. Based on the
TraderPress summary that seems to be covered in the course.
>
> Bill
>
>
> ----- Original Message -----
> From: "Fred" <[EMAIL PROTECTED]>
> To: <[email protected]>
> Sent: Tuesday, October 10, 2006 9:23 AM
> Subject: [amibroker] Re: Hurst Channels Code
>
>
> > Most of us who have read Hurst's writtings are well aware of the
> > general principles involved in PM ... However, there are several
> > points that should be mentioned or questioned with regards to
your
> > comments ...
> >
> > 1. It is clear from Hurst's course material that PM and the
> > techniques therein were, in his mind, a fairly simplistic view of
how
> > he analyzed price and that the curvelinear trendlines were only a
> > means for the analyst to discover the cyclic forces in play i.e.
a
> > possible first step in developing a full phasing Analysis ( FPA )
and
> > using FLD's, VTL's and other techniques ...
> > 2. As far as the tools and the math involved in the later
chapters
> > and appendicies it is also clear that Hurst not only employed the
> > techniques therein but other more sophisticated techniques that
he
> > didn't really write much about in PM. Clues to this can be seen
in
> > the bibliography.
> > 3. While PC's and AB didn't exist in 1970, mainframes and mini's
did
> > and if you recall we had already managed to get to the moon and
back
> > mostly by use of the slide rule.
> > 4. The curvelinear bands that Hurst's uses are in essence n
period
> > centered moving averages with percentage or standard deviation
bands
> > around them which by their nature can not be computed closer than
n /
> > 2 bars prior to the current bar. As such one must have some
> > technique for extrapolating those bands to at least the current
bar
> > and preferably beyond. Without this capability one would have
> > already experienced half the move in the opposite direction when
the
> > CMA catches up.
> >
> > My question then is ... If you are using curvelinear bands of one
> > sort or another inside AB how are you constructing the bands and
what
> > methodologies are you using to extrapolate them ?
> >
> > --- In [email protected], "Ton Sieverding"
> > <ton.sieverding@> wrote:
> >>
> >> Hurst wrote 'The Profit Magic of Stock Transaction Timing' in
1970.
> > When the technical annalist was using pencil and paper for his
> > graphs. Bill Gates and TJ still did not exist and Hurst was not
using
> > a PC. I've tried to get the original version of the book but only
got
> > the reprinted version from 2000. Frankly I have the feeling that
> > Chapter 11 as well as the Appendices have been added at the time
of
> > the reprint. This to give you my opinion how I see the book. It
is an
> > attempt to work with forecasted envelopes. And a good one ...
> >>
> >> For me the practical 'red line' for using the Hurst principle is
as
> > I told you already rather simple. Try to construct two trading
bands.
> > A long and a short period trading band. Hurst tells you how to do
> > that with pencil and paper. The software today does it
automatically
> > for you. As soon as the short band is above the long one and the
> > price above the short band you will have an 'overbought'
situation.
> > When the short band falls below the long band and the price is
below
> > the short band you have an 'oversold' situation. The combination
of
> > these 'overbought' and 'oversold' situations with a falling resp.
> > rising long trend will give you the SELL and BUY signals. I am
using
> > Hurst with weekly views and indexes and must say that the results
are
> > very good ...
> >>
> >> Ton.
> >>
> >> ----- Original Message -----
> >> From: Rakesh Sahgal
> >> To: [email protected]
> >> Sent: Monday, October 09, 2006 3:18 PM
> >> Subject: Re: [amibroker] Hurst Channels Code
> >>
> >>
> >> I suggest you get familiar with the concept of cycles a la
Hurst
> > and
> >> use of Curvilinear Bands before you try to comprehend the
code. As
> >> for the code looking into the future - yes it does.
> >>
> >> R
> >>
> >> On 10/9/06, Saji Oommen <sajioommen2@> wrote:
> >> > Hello,
> >> >
> >> > Thanks for sharing the code. Could you kindly confirm
> >> > that does this code have any ZIG function in it or
> >> > does it look into future or the signals change when
> >> > new data comes in. I read through the code and could
> >> > not make it out. I am in the learning process of AFL.
> >> > So pardon my ignorance.
> >> >
> >> > Regards
> >> >
> >> > Saji
> >> >
> >> > --- Ton Sieverding <ton.sieverding@> wrote:
> >> >
> >> > > The way I see it is rather simple. Let's take the
> >> > > S&P500. Using a weekly view :
> >> > > a.. Buy when Blue+Red+Price BELOW Green and Green
> >> > > rising channel
> >> > > b.. Sell when Blue+Red+Price ABOVE Green and Green
> >> > > falling channel
> >> > > Sell Augustus 2000,
> >> > > Buy March 2003,
> >> > > ... still Long.
> >> > >
> >> > > Ton.
> >> > >
> >> > > ----- Original Message -----
> >> > > From: Rakesh Sahgal
> >> > > To: Amibroker Yahoogroup
> >> > > Sent: Monday, October 09, 2006 10:57 AM
> >> > > Subject: [amibroker] Hurst Channels Code
> >> > >
> >> > >
> >> > > For any of those interested in tinkering with
> >> > > Hurst Channels, am
> >> > > attaching code I had recieved from group member
> >> > > Jason Hart. This code
> >> > > was written by group member going by the nickname
> >> > > "Ace".
> >> > >
> >> > > I was not able to make much use of it. The reason
> >> > > was - the values of
> >> > > the channels, current and in the immediate past
> >> > > i.e. the projection
> >> > > zone, were not constant. Since the values of the
> >> > > projections changed
> >> > > everyday I had no way of making any meaningful use
> >> > > of it ( I was
> >> > > basically looking for what Hurst called "Edge
> >> > > Band" Trades). If my
> >> > > understanding was incorrect and anyone can make
> >> > > sense of them, please
> >> > > be kind enough to share your insights with the
> >> > > rest of us.
> >> > >
> >> > > Rakesh
> >> > >
> >> > >
> >> > >
> >> > >
> >> >
> >> >
> >> > __________________________________________________
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> >
> >
> >
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