AI
Sunday, August 12, 2007 6:49:38 PM
Hey airedale, I really like your work on The Bank Index.
After reading some posts by other people, I think that they are tempted to ”shift cycles around” because in some situations they see a HURST STRADDLE. This occurs when a nest of lows is superimposed on a price low …“that is more visually dominating than the price lows associated with more important nests of lows on either side“. (This explanation is not for you). Hurst deals with this matter very nicely, clearly and extensively in Lesson 8 of his Course, when he analyzes the Natomas cycles in ‘73. Your post #27708 also suggests that people should resist this temptation and I think that reading more might help them.
Your Bank Index work took care precisely of that. I am also fascinated by the Grand Exception in nominality: 54w/18w (f=3) also reflected in the proportionality of amplitudes. I spent some time reading Hurst after seeing your post and made some calculations - I was sleepless fox last night. In chapter 11 of the Book, he makes the valid point that a Fourier analysis does not de facto dissect the resultant of sine waves interactions. After telling us why, he concludes that F.a. is …”a good starting point when you suspect hidden periodicities, but other techniques must be used to learn more about whether the originating process put all or part of the periodic components into the spectrum to begin with.” How? By using various typess of numerical filters - he says. This is essential and I think you did just that. For those friends of ours, accidental tourists in Hurstland, who really want to get into it, should we suggest spending some time not only with this chapter but also with appendix one , which reaches esoteric and unexpected heights? Some might not believe it but it can be great fun.
Boring calculations, which have no place here, led me to represent your cycles in the company of some filters. This might be uninteresting for many. But , others might be surprised that a fox can agree with an airedale. Briefly, as described by J.H.Ehlers, fractal adaptive moving averages (FRAMA) are a class of filters that monitors a measure of nonstationarity. Sounds horrible but it’s not that bad because airdale already determined the location of the nests of lows and we approximately know the T value of the cycles. The 2 FRAMAs in the figure are constructed so that they account for the nominality and proportionality relation between the cycles of interest (3x). The 18m cycle envelope (L=9, displ.=4) is also represented . The Mov. Av. Weighted (thin purple line, L=9, displ.=0) is a poor filter but gives a +bias for recent price movement. The color coded arrows show those time points of trough, predicted by Airedale, which coincide with signals of positive shifts in the FAMA and MAW. (they are NOT inflexion points, as some Wall Street turkeys would call them!!). No more words. I was astonished .
Some astute observer might think that, according to hysterical Lady Frama, the 4.5y might be either the 53m or the classical 54 m. The latter could kick its trough into Oct. I honestly cannot tell what will happen right now. A minimal timing variation can have, in the present conditions of volatility, a dramatic signficance for the swing trader. Also my software decided that we are already on Aug 31, to simplify things. Almost everybody in the Street, CNCB, Bloomberg …goes nuts. “Fear of risk does not die” says the WSJ weekend edition. My Xes in Texas must be really confused. Financial advisors don’t answer their calls: …“para hablar Ingles…“ LOL. For hedge fund redemptions!!?!?. Perhaps, Senor Slim… But Airdale is right in essence: the nest of lows is either here or in sight.
My problem is different: I sold on Friday all sort of shorts. I am out of the market and , in the words of JMH, I am now combating my own emotional cyclicality.
Have fun and good trades! fox
After reading some posts by other people, I think that they are tempted to ”shift cycles around” because in some situations they see a HURST STRADDLE. This occurs when a nest of lows is superimposed on a price low …“that is more visually dominating than the price lows associated with more important nests of lows on either side“. (This explanation is not for you). Hurst deals with this matter very nicely, clearly and extensively in Lesson 8 of his Course, when he analyzes the Natomas cycles in ‘73. Your post #27708 also suggests that people should resist this temptation and I think that reading more might help them.
Your Bank Index work took care precisely of that. I am also fascinated by the Grand Exception in nominality: 54w/18w (f=3) also reflected in the proportionality of amplitudes. I spent some time reading Hurst after seeing your post and made some calculations - I was sleepless fox last night. In chapter 11 of the Book, he makes the valid point that a Fourier analysis does not de facto dissect the resultant of sine waves interactions. After telling us why, he concludes that F.a. is …”a good starting point when you suspect hidden periodicities, but other techniques must be used to learn more about whether the originating process put all or part of the periodic components into the spectrum to begin with.” How? By using various typess of numerical filters - he says. This is essential and I think you did just that. For those friends of ours, accidental tourists in Hurstland, who really want to get into it, should we suggest spending some time not only with this chapter but also with appendix one , which reaches esoteric and unexpected heights? Some might not believe it but it can be great fun.
Boring calculations, which have no place here, led me to represent your cycles in the company of some filters. This might be uninteresting for many. But , others might be surprised that a fox can agree with an airedale. Briefly, as described by J.H.Ehlers, fractal adaptive moving averages (FRAMA) are a class of filters that monitors a measure of nonstationarity. Sounds horrible but it’s not that bad because airdale already determined the location of the nests of lows and we approximately know the T value of the cycles. The 2 FRAMAs in the figure are constructed so that they account for the nominality and proportionality relation between the cycles of interest (3x). The 18m cycle envelope (L=9, displ.=4) is also represented . The Mov. Av. Weighted (thin purple line, L=9, displ.=0) is a poor filter but gives a +bias for recent price movement. The color coded arrows show those time points of trough, predicted by Airedale, which coincide with signals of positive shifts in the FAMA and MAW. (they are NOT inflexion points, as some Wall Street turkeys would call them!!). No more words. I was astonished .
Some astute observer might think that, according to hysterical Lady Frama, the 4.5y might be either the 53m or the classical 54 m. The latter could kick its trough into Oct. I honestly cannot tell what will happen right now. A minimal timing variation can have, in the present conditions of volatility, a dramatic signficance for the swing trader. Also my software decided that we are already on Aug 31, to simplify things. Almost everybody in the Street, CNCB, Bloomberg …goes nuts. “Fear of risk does not die” says the WSJ weekend edition. My Xes in Texas must be really confused. Financial advisors don’t answer their calls: …“para hablar Ingles…“ LOL. For hedge fund redemptions!!?!?. Perhaps, Senor Slim… But Airdale is right in essence: the nest of lows is either here or in sight.
My problem is different: I sold on Friday all sort of shorts. I am out of the market and , in the words of JMH, I am now combating my own emotional cyclicality.
Have fun and good trades! fox
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