Clyde, I think this is some kind
of misunderstanding.
MESA deals with dominant cycles, this
is not a tool that calculates the cycles more accurately. It simply deals
with not ideal cycles.
For example, it deals with the
cycles whose period and/or phase changes. This is the main reason why MESA
has been developed. The most tradable cycles mostly exist as dominat cycles
(as cycles change constantly), the stable cycles are economical cycles only
(like Kitchen or Juglar cycles).
This fact changes the
whole situtation drastically: we constanly should recalculate spectrogrtam (when the new
price history is coming). And we cannot apply classical back
testing here.
Best regards.
Sergey.
----- Original Message -----
Sent: Sunday, October 18, 2009 12:47
PM
Subject: Re: [RT] Re: Failure of
studies/patterns
Here is the type of study you
mentioned but in this case
only 10 years of data is used and
the "normal" Fourier
synthesis is used and results are
from four periods.
Clyde
----- Original Message -----
Sent: Sunday, October 18, 2009 6:29
AM
Subject: RE: [RT] Re: Failure of
studies/patterns
Thank
you Clyde. I have a question. After having determined the single
frequency candidates using MESA and optimizing the shifting as
indicated, if we went back and instead performed a brute optimization of
all frequencies (including optimizing shifting), wouldn’t we get similar
results? In other words, are there more than just these three
frequencies that could be “made” to work and if so, what does that tell
us?
The
reason I ask is that it appears your method “may” be tying into the
natural tendency of the markets to rise over longer periods (to varying
degrees) and I wonder out loud if the distribution of frequencies
couldn’t be more random and still work.
Regards,
Gene
From:
realtraders@yahoogroups.com
[mailto:realtraders@yahoogroups.com] On Behalf Of Clyde
Lee(swb)
Sent: Sunday, October 18, 2009 12:16 AM
To:
realtraders@yahoogroups.com
Subject: [RT] Re:
Failure of studies/patterns
This discussion
turned into a discussion of fixed period
"waves" based on a
non-analytic method.
I prefer an analytic
method for examining periods of
waves and use the
Maximum Entropy method to measure
However, I take a
simple approach for fixed wave projections
and use a trading
model based on fixed Cosine waves and
trade at inflection
points which are optimized for lead/lag of
the fixed wave over a
very long period of time.
The attached pictures
indicate that MESA analysis says that
there are 82 month,
108 month, and 262 month LONG
period waves in the
DJIA from 1921 to now.
The results of each
model and the composite model are
shown in the attached
pictures.
