I'm with you Fred...especially the "understanding where you fit" part. And obviously agree with the bit about shorter-term cycles falling into the 'discretionary' realm.
Given the comment you made about DSP techniques, how do you view the shortfalls I mentioned in a previous post regarding Ehler's stuff? i.e. the fact the algorithms have some big base-level assumptions in them where Ehler assumes there is only one 'dominant' / tradeable cycle at any one time...and his indicators are therefore prone to noise and other cycles 'contaminating' the signal. It seems to me that this is "assuming away" a problem rather than actually dealing with it (a common engineering trick I believe). As for who 'Bigged' you up, it wasn't me that called you a genius, it was Rakesh!! :-) --- In [email protected], "Fred" <[EMAIL PROTECTED]> wrote: > > Andy, > > I would agree with all you said ... except for the comments about my > level of knowledge about cycles ... I'm hardly "Mr. Cycle" ... I > know somthing about how to search for cycle oriented info in a > sample and to some degree what to do with that information after I > found it ... nothing more ... nothing less ... > > I suspect the reason that my level of knowledge in this area isn't > higher is by nature I tend to be a system trader as opposed to a > discretionary trader. Neither discipline is right or wrong but one > needs to understand where they themselves fit. > > I have always used longer term cyclic information as a backdrop to > describe what is likely to happen but IMHO use of cycles beyond that > typically falls more into the discretionary area then the system > area. However, given the types of things we can do within AB and > the increase in my level of knowledge with regards to DSP in general > my attitude may change. > > > --- In [email protected], "andy_davidson_uk1" > <AndyDavidson@> wrote: > > > > Rakesh, > > > > The move was fine thanks, but as expected the settling in is taking > > somewhat longer. Still don't have broadband connected, nor even a > desk > > to sit at! Oh well, the laptop in front of the telly will have to > do > > for now... > > > > To try and answer your question, I think we must first bear in mind > > that there are many ways to attempt to skin this cyclical beast. If > > nothing else then this thread is showing that. First we had the FFT > > discussion, then polynomials, then Ehler's DSP techniques and now > > Hurst/Millard/Cleeton's methods. > > > > There are, of course, benefits and drawbacks to each approach. I > > touched on one problem I found with Ehler's stuff and Fred has > already > > highlighted the problem with Hurst et al. Basically that, because > you > > are using centred MAs as low-pass filters you don't have data up to > > the right-edge and therefore have a zone of recent data within > which > > you have to extrapolate the 'measured' cycles/envelopes. > > > > So how do you do this extrapolation to overcome the shortfall? > Well, > > there are many ways, as we are seeing. I personally try and fit a > sine > > wave to at least 2 'measured' cycles back and if there is good > > correlation there and also good correlation in the "end zone" with > the > > price then (i.e. prices are not moving opposite to the projected > sine > > wave) then I get a little happier. There are probably better ways > to > > extrapolate and I look forward to investigating them in the next > few > > weeks/months. The good thing about the Cycle Highlighter though is > > that you don't need to fit the amplitude so much as the > > periodicity...i.e. I'm not looking for an absolute perfect sine- > wave > > fit to the price but more looking for a visual appreciation of the > > market 'rhythm'. > > > > So there's an answer to one of your questions...with this > indicator I > > care much more about time/periodicity than I do about amplitude. > I'm > > looking for it to help me decide *when* to get in, stay in or get > out. > > I'm not looking for price targets here. See my comments re the GBP > in > > the last post. > > > > >>how do you interpret the correlation numbers? > > If the correlation coefficient is high and positive then I am > happy. > > The higher the better! > > > > >>What are you looking for when you say you wait for tradeable > cycles? > > I don't necessarily wait for anything...more I go out looking for > > things that are exhibiting clear cyclical behaviour and trade them, > > passing over trades that I do not have a good degree of confidence > in. > > It's more active than passive! :-) > > > > >>please throw some light on the methodology you follow > > > > Basically I reconcile myself to the limitation of the technique and > > use a fair amount of discretion in my trading. I've learned that I > can > > get superior results by trusting myself more and letting the > computer > > become more of a visualising aid than a rule-generator. I have a > much > > better relationship with my machine now that I've finally > convinced it > > that my brain is superior at pattern recognition!! > > > > Like I said, this is just one component of my trading method...each > > component has its own drawbacks, the trick is to try to get the > > relative strengths of one analysis to compensate for the > weaknesses in > > another. Anyway, that's another story and I've talked enough > already. > > But I will just say one thing more... > > > > >>"Fortunately for all interested Fred is taking an interest the > > stuff, seems he is the resident genius on the subject" > > > > I couldn't possibly disagree from what I've seen and heard, but > please > > just bear in mind (warning - here comes a cliche!) that there is no > > holy grail and at some point the Law of Diminishing Returns kicks > in > > and you will better spend your time and energy just accepting some > > basic assumptions/limitations and get on with the trading game. I > have > > found that it's actually quite liberating (and financially > rewarding) > > when you get to that place. > > > > Good luck...hope that helps some. > > > > Andy > > > > > > --- In [email protected], "Rakesh Sahgal" <rakeshsahgal@> > > wrote: > > > > > > Hi Andy > > > > > > How is the moving and settling in getting along? > > > > > > Fortunately for all interested Fred is taking an interest the > > stuff, seems > > > he is the resident genius on the subject. Coming back to yuor > code > > how do > > > you interpret the correlation numbers? What are you looking for > when > > you say > > > you wait for tradeable cycles? Are you using criteria based on > > > amplitude/phase or primarily cycle length? As and when you can > spare the > > > time please throw some light on the methodology you follow. > Thanks, > > > > > > Regards > > > > > > > > > Rakesh > > > > > > On 10/11/06, andy_davidson_uk1 <AndyDavidson@> wrote: > > > > > > > > Guys, > > > > > > > > There's lots of good stuff going on here and I wish I could > devote > > > > some more time to digest it all (still in a crazy mid-move > mess). > > > > However, until I can I thought I would just post my own bit of > code to > > > > show you how I've been using Millard's adaptation of Hurst's > work. > > > > You'll find it under "Cycle Highlighter" in the AFL library. > > > > > > > > It's nothing really mathematically fancy I'm afraid and uses > simple > > > > sine-waves to extrapolate. FFT's, appendix 6 of PM and the > like are > > > > beyond my skills at present, although I see I'm going to have > to do > > > > something about that! However, I have found that the > simplicity of the > > > > approach does help in so far as practical trading goes. By > this I mean > > > > that if clear, tradeable cycles are present it will generally > show up > > > > on the indicator. And if they don't show up then neither does > my > > > > trading money, simple as that! > > > > > > > > To give you a practical idea of how I've used it...try it on > GBP A0-FX > > > > with a daily setting of around 85 bars. Now, I didn't use this > > > > indicator alone to go short on the currency in early September > > > > (there's obviously more to my method than this one indicator), > but it > > > > has helped me *stay* short until now...i.e. I kept the faith > with the > > > > position despite a month of down-and-up action because the > cycle > > > > interp told me there was plenty of down-time still remaining. > > > > > > > > There is also an auto-fit version available if anyone's > interested. > > > > It's not perfect and it's slow as it uses a loop to find the > best > > > > correlation coefficients. But let me know if you want it. > > > > > > > > I haven't felt the need to code Hurst's edge-band technique as > yet, > > > > but it's on the list. As is working through his course > material in > > > > detail and then tackling these higher-order mathematical > techniques to > > > > try and improve what I've already got. However, I would say > that the > > > > KISS principle has served me pretty well up until now. So good > luck to > > > > all and please keep this thread going! Also feel free to let > me know > > > > if there's any way to improve the code I posted. A programmer > I most > > > > definitely ain't... > > > > > > > > > > > > > > > > --- In [email protected], "Rakesh Sahgal" > <rakeshsahgal@> > > > > wrote: > > > > > > > > > > Fred > > > > > > > > > > So in essence are you saying that to get a meaningful > response from > > > > a FFT it > > > > > is essential that the data series be de-trended? Also since > TJ > > had in > > > > > response to your query indicated that the FFT implementation > he was > > > > going to > > > > > include in AB was not going to be constrained by ^2 > limitation > > requiring > > > > > data padding/windowing(?), the problem of ascertaining > cycles > > should be > > > > > resolved if the data is detrended and then run through the > FFT > > > > function in > > > > > AB? > > > > > > > > > > Rakesh > > > > > > > > > > On 10/11/06, Fred Tonetti <ftonetti@> wrote: > > > > > > > > > > > > Bill, > > > > > > > > > > > > > > > > > > > > > > > > As a follow up to my last > > > > > > > > > > > > > > > > > > > > > > > > Lets use the wave generator ( below in AFL ) to > manufacture some > > > > > > synthetic data > > > > > > > > > > > > > > > > > > > > > > > > You can see that I purposely picked wave lengths that are > powers > > > > of two > > > > > > The reason is that FFT's will of course resolve these > quite well > > > > as long as > > > > > > you have the sample size set to be a power of 2 which is > larger > > > > then the > > > > > > longest wavelength. The amplitudes and phase offsets are > > pretty much > > > > > > random. > > > > > > > > > > > > > > > > > > > > > > > > See the attachments > > > > > > > > > > > > > > > > > > > > > > > > #1 The individual and composite ( DATA ) waves we generated > > > > > > > > > > > > #2 The histogram or periodogram for the FFT Notice how it > > picked all > > > > > > wave lengths out with very little trouble. > > > > > > > > > > > > #3 The output cycles which are a result of the individual > cycle > > > > lengths, > > > > > > amplitudes and phase offsets that the FFT detected. > Notice how > > > > this is > > > > > > almost a perfect match of the input. The individual waves > can of > > > > course be > > > > > > easily extrapolated and combined to present a picture of > where the > > > > data > > > > > > should go in the future. > > > > > > > > > > > > > > > > > > > > > > > > #4 Another generated wave this time with trend added in > > Notice the > > > > > > effect on the white composite line. > > > > > > > > > > > > #5 The resulting histogram from the FFT WITHOUT detrending > the > > data > > > > > > first. Notice how it has become "confused". > > > > > > > > > > > > #6 The resulting output waves now don't look much like the > inputs. > > > > > > > > > > > > > > > > > > > > > > > > #7 Same histogram as in #5 but with detrending the data > prior to > > > > invoking > > > > > > the FFT. Notice how now we are back to where we should be. > > > > > > > > > > > > #8 The resulting output waves as we would expect them to > be > > > > > > > > > > > > > > > > > > > > > > > > #9 Another generated wave this time with a very high noise > > level ( the > > > > > > grey histogram ). You can see the effect it has had on the > > data we > > > > > > manufactured. > > > > > > > > > > > > #10 The histogram from FFT. Notice how even though the > noise > > > > levels have > > > > > > gone up here, the FFT still had no real problems finding > the > > cycles. > > > > > > > > > > > > #11 The resulting output waves which now look very much > like the > > > > input > > > > > > WITHOUT the noise. > > > > > > > > > > > > > > > > > > > > > > > > #12 Here I have purposely changed the wave lengths from > being > > > > powers of 2 > > > > > > to 7, 17, 27, 37 & 47 . Notice the effect it has had in the > > > > histogram I > > > > > > had to increase the data sample to 512 to get this > resolution > > > > which is still > > > > > > somewhat "muddy" but all in all the FFT did a good job of > > > > finding the > > > > > > cycles. > > > > > > > > > > > > > > > > > > > > > > > > The other thing to keep in mind here with this particular > wave > > > > generator > > > > > > is that I have not introduced any variation in wave length, > > > > amplitude or > > > > > > phase offset over the life of the data sample which in my > > > > opinion does > > > > > > happen For the purists that don't think this happens, > then I > > > > would think > > > > > > that they would at least admit that non cyclic events can > make it > > > > appear to > > > > > > DSP algorithms as if this were the case. > > > > > > > > > > > > > > > > > > > > > > > > rTrend = 0; > > > > > > > > > > > > rNoise = 0 ; > > > > > > > > > > > > dFactor = 1; > > > > > > > > > > > > > > > > > > > > > > > > rCyc1Amp = 3; > > > > > > > > > > > > rCyc2Amp = 5; > > > > > > > > > > > > rCyc3Amp = 7; > > > > > > > > > > > > rCyc4Amp = 9; > > > > > > > > > > > > rCyc5Amp = 11; > > > > > > > > > > > > > > > > > > > > > > > > rCyc1Len = 4; > > > > > > > > > > > > rCyc2Len = 8; > > > > > > > > > > > > rCyc3Len = 16; > > > > > > > > > > > > rCyc4Len = 32; > > > > > > > > > > > > rCyc5Len = 64; > > > > > > > > > > > > > > > > > > > > > > > > rCyc1Phase = 72; > > > > > > > > > > > > rCyc2Phase = 144; > > > > > > > > > > > > rCyc3Phase = 216; > > > > > > > > > > > > rCyc4Phase = 288; > > > > > > > > > > > > rCyc5Phase = 360; > > > > > > > > > > > > > > > > > > > > > > > > *if* (Source == "Generator" ) > > > > > > > > > > > > { > > > > > > > > > > > > pi = 4 * atan (1 ); > > > > > > > > > > > > > > > > > > > > > > > > StartX = 1000; > > > > > > > > > > > > > > > > > > > > > > > > Trend = (BI + 1) * rTrend * dFactor * (rCyc1Amp + > rCyc2Amp + > > > > rCyc3Amp > > > > > > + rCyc4Amp + rCyc5Amp) / 5 ; > > > > > > > > > > > > > > > > > > > > > > > > Noise = (Random () - 0.5 ) * 2 * rNoise * dFactor * > > (rCyc1Amp + > > > > > > rCyc2Amp + rCyc3Amp + rCyc4Amp + rCyc5Amp) / 5 ; > > > > > > > > > > > > > > > > > > > > > > > > Cycle1 = cos ((BI / rCyc1Len + rCyc1Phase / 360 ) * 2 > * pi) * > > > > > > (rCyc1Amp * dFactor) + Trend * 0.2 ; > > > > > > > > > > > > Cycle2 = cos((BI / rCyc2Len + rCyc2Phase / 360 ) * 2 * > pi) * > > > > (rCyc2Amp > > > > > > * dFactor) + Trend * 0.2 ; > > > > > > > > > > > > Cycle3 = cos((BI / rCyc3Len + rCyc3Phase / 360 ) * 2 * > pi) * > > > > (rCyc3Amp > > > > > > * dFactor) + Trend * 0.2 ; > > > > > > > > > > > > Cycle4 = cos((BI / rCyc4Len + rCyc4Phase / 360 ) * 2 * > pi) * > > > > (rCyc4Amp > > > > > > * dFactor) + Trend * 0.2 ; > > > > > > > > > > > > Cycle5 = cos((BI / rCyc5Len + rCyc5Phase / 360 ) * 2 * > pi) * > > > > (rCyc5Amp > > > > > > * dFactor) + Trend * 0.2 ; > > > > > > > > > > > > > > > > > > > > > > > > CycleX = Cycle1 + Cycle2 + Cycle3 + Cycle4 + Cycle5 + > Noise; > > > > > > > > > > > > > > > > > > > > > > > > * if* (PlotIt == "IP Cycles") > > > > > > > > > > > > { > > > > > > > > > > > > Plot (Cycle1, "C1", *colorRed*); > > > > > > > > > > > > Plot (Cycle2, "C2", *colorOrange*); > > > > > > > > > > > > Plot (Cycle3, "C3", *colorYellow*); > > > > > > > > > > > > Plot (Cycle4, "C4", *colorBrightGreen*); > > > > > > > > > > > > Plot (Cycle5, "C5", *colorBlue*); > > > > > > > > > > > > Plot (CycleX, "Cx", *colorWhite*, *styleThick *); > > > > > > > > > > > > Plot (Noise, "n", *colorLightGrey*, *styleThick* > | * > > > > > > styleHistogram*); > > > > > > > > > > > > } > > > > > > > > > > > > > > > > > > > > > > > > Data = StartX + CycleX; > > > > > > > > > > > > } > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > ------------------------------ > > > > > > 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 <http://www.spamfighter.com/go.asp?t=249> > 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 > > > > > > > > > > > > Yahoo! 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