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Oh, a couple of other things I forgot to mention about the DE code I
presented.
1) The triangles ARE where the centered MA stops and the data
projection begins.
2) The centered MA never changes, just the band width and the
projection of the centerline.
-ace
--- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx> wrote:
> Here's a little explanation.
>
> The reason the band values change for future dat in the code that
I
> presented is that the widths are calculated based on 2 standard
> deviations from the mean.
>
> I believe this to be valid because the act of centering the MA
makes
> the distribution about the centered moving average a true average
of
> the data valid to the bar period/2. Therefore, since the
> mathematical operation is an average, and if we assume some cycle
is
> currently active in the form of a sinusoid, then the distribution
> should be close to a normal distribution if enough data points are
> taken, so standard deviation is the proper way to describe the
> envelope width if its a normal distribution.
>
> In fact statisticians call standard deviation with the greek
letter
> sigma - ala sigma bands - so that's probably why Maggio calls his
> bands 'sigma bands'.
>
> Here's the calculation for the bandwidth in terms of percent:
>
> dp1=LastValue(Ref(StDev( (Close-cma1)/cma1, k*p1 ),(p1+1)/2-1));
>
> where k=3 means that the standard dev is calculated over 3x the
> period number of data points.
>
> Using Lastvalue() makes the width a constant for all time based on
> today's calculation. Therefore as data is added the bandwdiths
> change and the way I have it coded it changes for all time. Its
> almost a derivative of Bollinger bands. Bollinger was on the right
> track he's just using the average incorrectly and standard
deviation
> does not describe the price distribution about a non-centered SMA
> which is why his bands vary in width with the volatility of the
> stock price movements.
>
> I will bet you almost anything Maggio's charts do roughly the same
> thing with whatever smoother or centerline calculation filter he's
> using. There are many ways to calculate the centerline. His chart
> could simply be a smoothed and centered SMA. You could easily
smooth
> a CMA with a parabolic curve fit or with various forms of
> regression. However, he still needs to project the bands forward
in
> time using some method.
>
> If you are really amibitious you should investigate least squares
> regression fitting of trigonometric functions. I can create
> beautiful DE bands with them using a different program that I
wrote.
> You still need to project forward in time, however, so that's
really
> the rub. There are likely much better ways of projecting the line
> forward than I presented here using various regression techniques.
> Learning something about digital signal processing is probably
also
> key.
>
> In evaluating Maggio's service ask yourself a few questions. Why
> create a for pay website to sell the idea to others if it works so
> well? Why not just trade your way to financial freedom and retire?
> Beware of snake oil. Maybe he's got something good there - I have
to
> admit it looks good - but I sure don't blindly trust a web site.
>
> I'm sure a discretionary trading system could be built using
> envelopes and oscillators that would perform fairly well, however
> there would really be no way to backtest it. Forward testing or
> trading would be the only way to do it.
>
> -ace
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> > Dimitris / WaveMechanic,
> >
> > If the length of the CMA is n then
> >
> > The CMA can only be calculated up to n/2 bars ago after which it
> must
> > be extrapolated via some technique.
> >
> > So for example if one wanted to plot a 250 bar CMA showing the
> > history of where it had been at time of original calculation
then
> one
> > would need to,
> >
> > - At bar 375 calculate the CMA for bars 1 through 250 and
> extrapolate
> > for bars 251 through 375. This would provide the initial 250
> > plottable points.
> >
> > - At bar 376 calculate the CMA for bars 2 through 251 and
> extrapolate
> > for bars 252 through 376. this should add one and only one
> additional
> > plottable point i.e. the one at bar 376.
> >
> > - This process could then continue up through the current bar.
> >
> > Someone made mention of Jan Arps Sigma Bands code for
TradeStation
> > which although available for usage in TS is not viewable. It
does
> > however provide the capabilty of showing both the historical
past
> > datapoints as originally calculated as well as the current
> picture.
> > The only similarity between these would be the CMA for the
cureent
> > and any future bar.
> >
> > See his description here ...
http://www.janarps.com/SigmaBands.htm
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx>
wrote:
> > >
> > > ----- Original Message -----
> > > From: DIMITRIS TSOKAKIS
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Saturday, February 21, 2004 3:18 AM
> > > Subject: [amibroker] Re: Sigma Bands
> > >
> > >
> > > Wayne,
> > > Sorry, I can not agree that the history of the signals is
> > meaningless.
> > > I need always to check any trading idea from its past
behavior.
> > >
> > > Spoken like a true system trader. However, looking at
> Maggio's
> > description of the bands it is not clear to me that there should
> be
> > any change as new data is added, reflecting the fact that the
> bands
> > are simply the sigma of the % change of the data from the CMA.
> This
> > is a bar by bar calculation that does not change as new data is
> > added. Perhaps, as you suggest, the problem lies in the way CMA
> is
> > calculated by the code. If so there must be a way around this
> > problem, as evidenced by the fact that a manual calculation of
CMA
> > does not look into the future but simply centers a MA within the
> > incremental period of another MA. So one needs to make code
> > duplicate the manual calculation which is straightforward. Does
> not
> > sound like rocket science. And extrapolation of the CMA does
not
> > change its previously established values. However, even when
> things
> > are working right neither Sigma Bands or Hurst Channels by
> themselves
> > provide a mechanical buy/sell signal. No problem for
> discretionary
> > traders but system traders will need some "antacid" in order to
> avoid
> > heartburn. LOL.
> > >
> > > Dimitris Tsokakis
> > > > Dimitris,
> > > >
> > > > I think you don't get that 'signals of the past' are in
the
> > past.
> > > It's
> > > > history and as such is meaningless. Hurst developed his
work
> > before
> > > > computers had the power to do billions of computations per
> > second.
> > > > Therefore, the idea of backtesting his work is a waste of
> time.
> > > >
> > > > The Sigma Bands we are discussing seem to be a derivative
of
> > the
> > > Hurst
> > > > Dependency Envelopes, so ably programmed by Ace... and
much
> > > appreciated
> > > > too. I feel there is nothing at all to be gained from 1)
> > looking
> > > into
> > > > the past or 2) trying to guess the future. I want to know
> what
> > is
> > > > happening right now. The Sigma Bands MAY offer some
insight
> > into
> > > what
> > > > the market is saying now, but should never be used to
trade
> any
> > > market
> > > > by themselves. This information should always be used as
> > > confirmation of
> > > > other indicators and trading techniques.
> > > >
> > > > Computers will never replace the human brain.
> > > >
> > > > Wayne
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > Yahoo! Groups Links
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