Hi Andy - I would be interested in seeing the auto-fit version whenever
you
have the spare time to post it. Thanks very
much!
Steve
----- Original Message -----
From:
"andy_davidson_uk1" <AndyDavidson@mailshack.com>
To:
<[EMAIL PROTECTED]ps.com>
Sent:
Wednesday, October 11, 2006 4:55 AM
Subject: [amibroker] Re: Hurst
Channels
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]ps.com,
"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 <[EMAIL PROTECTED].> 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 = "" + CycleX;
> >
>
> }
> >
> >
> >
> >
>
>
> >
> >
> >
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>
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