4 replies to this topic

[Geomean]

Mandelbrot set math is a current research interest as it seems to be a good candidate for integrating/explaining/ describing both geometric and Hurst cycle analysis, Elliott wave, what I characterize as pattern recognition indicators (Eg Tom DeMark's TD Sequential™, TD Combination™, TD Analog™, TD-D Wave™, & TD Propulsion™ and Larry Pesavento's favorites the A-B-C, Gartley 222, Butterfly, etc),and the Fibonacci relationships of swing waves in the market. Here is a somewhat dated article on the topic with some very helpful illustrations of application of Mandlebrot set analysis in the financial markets.

https://www.scientif...in-wall-street/

If anyone else can ID useful resources on the topic including experts , it would be greatly appreciated.

[dowdeva]

Thank you, Geomean,

 

Very interesting. Similar to holograms.

 

Are you utilizing a fractal software that integrates to your Hurst cycle platform? How are you integrating your EW

analysis into the mix?

 

I found Tom Demark's book online a couple of months ago at ForexFactory.com, it can be downloaded for free:

 

http://www.forexfact...47&d=1330688234

 

I noticed that on the Hurst forum there has been some dynamic evolution as to long term cycle phasing since the 2009 low, which low which threw a monkey wrench into Hurst 4.5 year cycle. I always thought Hurst would have evolved his cycle phasing further had he lived.

 

What time frame do you have for the multi year cycle, and when do you have a theoretical low?

 

Best regards, and thank you for the wonderful work you bring here.

 

Lisa

Edited by dowdeva, 20 February 2017 - 10:41 AM.

[Geomean]

Thank you, Geomean,

 

"Very interesting. Similar to holograms.

 

Are you utilizing a fractal software that integrates to your Hurst cycle platform?"

 

The TD Analog allows me to compare recent price conditions and relationships with each other (e.g. current close with close 3 bars ago) , establish levels, and then compare with price conditions, relationships, and levels previously. I can change the inputs to change the comparisons and levels.  I use standard settings currently.

 

"How are you integrating your EW

analysis into the mix?"

 

I find that DeMark signals can fall at or close to the end of any wave using any scale and time interval.  Therefore, it is important to properly id the EW structure in order to establish trading parameters and expectations.  For example, as all EW'ers, there is a preference for wave1, 3, & 5s and C's and leeriness of waves a,b, 2's and 4's except at larger degrees.  I find however, that I can take wave 1's very early given that DeMark TD Sequential ™, TD Combo™, TD Analog™ TD Supply and Demand lines™ and associated price projections do a pretty good job on indicating inflection areas at any scale.

 

"I found Tom Demark's book online a couple of months ago at ForexFactory.com, it can be downloaded for free:

 

http://www.forexfact...47&d=1330688234"

 

I keep all of Tom's book's and Jason Perl's on my trading desk and refer to them when needed. Perl's is the most clearly written.  Tom's language has been influences by hanging around so many coders over the years.

 

" I noticed that on the Hurst forum there has been some dynamic evolution as to long term cycle phasing since the 2009 low, which low which threw a monkey wrench into Hurst 4.5 year cycle. I always thought Hurst would have evolved his cycle phasing further had he lived."

 

I have noticed the same thing and ponder over that and harmonics and power shifts, as discussed by Ray Tomes, who helped code Sentient Trader. Tomes published his periodigram of the cycle periods found in an analysis of 22 economic variables originally produced in 1977 which shows the relative cycle strength of the less than 12 year, but more than 2 year cycles.  The relative strength peaks of the 4.45 year cycle and the 7.15 year cycles are almost the same, with the 4.45 yr slightly higher.

 

"What time frame do you have for the multi year cycle, and when do you have a theoretical low?" 

 

I am waiting for Sentient software to provide a interface so I can use the Trade Station API.  Hickson says it's targeted for March.  Until it's in my hands, I have to rely on the work of others and subscribe to a service.  What's apparent is that the Hurst nominal model has been is pretty good (but far from perfect) on projecting, with regular updating, projected turn dates, but its composite line feature, as Hickson frequently notes, should not be relied upon for projections of price levels."

 

"Best regards, and thank you for the wonderful work you bring here."

 

Thanks, I've benefited from the excellent work of others over the years and try to provide some useful info on occasion.

 

BTW, Mandelbrot also emphasized volatility in describing the multi fractal space, a key insight for me.

 

ATB

 

 

Mike

Edited by Geomean, 21 February 2017 - 10:04 AM.

[dowdeva]

Thanks, Mike,

 

From another post of yours here, what exactly is a Demark "analogue" signal on a chart, as opposed to just a regular old Demark signal?

 

I took a look at your EWH, and it doesn't look exactly cooked yet. Could be wrong of course. Usually am.

 

Lisa

[Geomean]

I set my DeMark TD Analog™ signal to print as large purple dots on my charts, with high dot above the price bar and a Low signal dot below. Neither Jason Perl's nor Tom DeMark discuss or describe the TD Analog™ in their books. I coded it to address both highs and lows, created code to do market scans and trading strategies and for back testing.

It is coded with 56 inputs, with the first being the current price bar and the other 55 (note the Fibonacci) are price comparisons broken into designate "levels" ( comparisons of two price bars in the time series, using the last(i.e. current) price bar in the series and a defined prior (earlier) bar in the time series for an "analog" condition --Mandelbrots affine or self similarity fractal idea). So for example, at every new bar on the chart I can ask whether the current price is either higher or lower than the price a defined/selected # of bars prior. If that is the case, then the initial price relation within a set/defined bar length (i.e. Time frame) is established. I call that level 1 price and it is, by definition, a fractal object. One can then use that fractal object as a first "level" to make comparisons of THAT level price with price "X" number of bars prior to that and in effect establish new levels which to compare and find self similar segments to them OR to check different comparisons

When I search the times series to find similar fractal objects (price relation at a defined bar length prior) I.e I'm asking whether a second instance of that "analog" condition occurs, namely the same relationship of price with the price a defined # of bars earlier. Let's call that level 2. Then, if that is also the case, lets call that level 2, level 2 prices are used to compares with levels in the past. In Tom's iteration in his indicator, he goes to the 8th level, (note the Fibonacci again) and varies bar # prior for the comparisons

As far as I know Tom has never disclosed how he came up with his default settings . I've never devoted the computer time to see if I could optimize them better for each instrument I trade as the default settings work pretty well on just about every chart, with their biggest draw back being early/multiple prints in thrusting moves.

EWH appears to have bounced off that trend line with a nice decline this morning's pre market

Edited by Geomean, 24 February 2017 - 06:48 AM.