Cycle Analytics for Traders

<p>Preface ix</p>
<p>About the Author xiii</p>
<p>Chapter 1 Unified Filter Theory 1</p>
<p>Transfer Response 1</p>
<p>Nonrecursive Filters 3</p>
<p>Recursive Filters 8</p>
<p>Generalized Filters 10</p>
<p>Programming the Filters 11</p>
<p>Wave Amplitude, Power, and Decibels (dB) 13</p>
<p>Key Points to Remember 13</p>
<p>Chapter 2 SMAs, EMAs, or Other? 15</p>
<p>Simple Moving Averages (SMAs) 15</p>
<p>Exponential Moving Averages (EMAs) 18</p>
<p>Weighted Moving Averages (WMAs) 21</p>
<p>Median Filter 22</p>
<p>Key Points to Remember 23</p>
<p>Chapter 3 Smoothing Filters on Steroids 25</p>
<p>Nonrecursive Filters 25</p>
<p>Modified Simple Moving Averages 29</p>
<p>Modified Least–Squares Quadratics 30</p>
<p>SuperSmoother 31</p>
<p>SuperSmoother Filter Applications 34</p>
<p>Key Points to Remember 36</p>
<p>Chapter 4 Decyclers 39</p>
<p>Decycler Construction 39</p>
<p>Decycler Application 41</p>
<p>Decycler Oscillator 43</p>
<p>Key Points to Remember 45</p>
<p>Chapter 5 Band–Pass Filters 47</p>
<p>Band–Pass Filter 47</p>
<p>Band–Pass Filter Q 51</p>
<p>Automatic Gain Control (AGC) 54</p>
<p>Spectral Dilation Removal 56</p>
<p>Band–Pass Filter 56</p>
<p>Measuring the Cycle Period 58</p>
<p>Key Points to Remember 61</p>
<p>Chapter 6 Market Structure and the Hurst Coefficient 63</p>
<p>Fractal Dimension 65</p>
<p>Computing the Hurst Coefficient 67</p>
<p>The Hurst Coefficient in Action 68</p>
<p>Drunkard s Walk Hypothesis for Market Structure 70</p>
<p>Key Points to Remember 74</p>
<p>Chapter 7 Spectral Dilation 77</p>
<p>Frequency Content of Indicator Outputs 77</p>
<p>Roofing Filter as an Indicator 80</p>
<p>Impact of Spectral Dilation on</p>
<p>Conventional Indicators 83</p>
<p>Key Points to Remember 88</p>
<p>Chapter 8 Autocorrelation 91</p>
<p>Background 91</p>
<p>Autocorrelation 93</p>
<p>Autocorrelation Periodogram 102</p>
<p>Autocorrelation Reversals 110</p>
<p>Key Points to Remember 113</p>
<p>Chapter 9 Fourier Transforms 115</p>
<p>Spectral Dilation 116</p>
<p>Discrete Fourier Transform (DFT) 117</p>
<p>Key Points to Remember 124</p>
<p>Chapter 10 Comb Filter Spectral Estimates 125</p>
<p>Spectral Dilation 125</p>
<p>Computing a Comb Filter Spectral Estimate 126</p>
<p>Key Points to Remember 133</p>
<p>Chapter 11 Adaptive Filters 135</p>
<p>Adaptive Relative Strength Index (RSI) 135</p>
<p>Adaptive Stochastic Indicator 142</p>
<p>Adaptive CCI (Commodity Channel Index) 147</p>
<p>Adaptive Band–Pass Filter 152</p>
<p>Adaptive Indicator Comparison 157</p>
<p>Key Points to Remember 158</p>
<p>Chapter 12 The Even Better Sinewave Indicator 159</p>
<p>Even Better Sinewave Approach 160</p>
<p>Even Better Sinewave Description 160</p>
<p>Using the Even Better Sinewave Indicator 162</p>
<p>Key Points to Remember 164</p>
<p>Chapter 13 Convolution 165</p>
<p>Theoretical Foundation 165</p>
<p>Heat Map Display 168</p>
<p>Computing Convolution 169</p>
<p>Key Points to Remember 174</p>
<p>Chapter 14 The Hilbert Transformer 175</p>
<p>Analytic Signals 176</p>
<p>Hilbert Transformer Mathematics 177</p>
<p>Computing the Hilbert Transformer 181</p>
<p>The Hilbert Transformer Indicator 183</p>
<p>Using the Hilbert Transformer to</p>
<p>Compute the Dominant Cycle 186</p>
<p>Dual Differentiator 187</p>
<p>Phase Accumulation 189</p>
<p>Homodyne 192</p>
<p>Key Points to Remember 194</p>
<p>Chapter 15 Indicator Transforms 195</p>
<p>Fisher Transform 195</p>
<p>Inverse Fisher Transform 198</p>
<p>Cube Transform 200</p>
<p>Key Points to Remember 202</p>
<p>Chapter 16 SwamiCharts 203</p>
<p>SwamiCharts Overview 204</p>
<p>SwamiCharts RSI 205</p>
<p>SwamiCharts Stochastic 210</p>
<p>Roll Your Own SwamiCharts 216</p>
<p>Key Points to Remember 216</p>
<p>Chapter 17 Swing–Trading Strategies 217</p>
<p>Conventional Wisdom 219</p>
<p>Anticipating the Turning Point 220</p>
<p>Sine Wave Uniqueness 221</p>
<p>Safety Valve 224</p>
<p>Exiting a Trade 225</p>
<p>Stop Loss 225</p>
<p>Evaluating a Trading Strategy 226</p>
<p>Monte Carlo Evaluation 227</p>
<p>Stockspotter.com 228</p>
<p>Key Points to Remember 229</p>
<p>About the Website 231</p>
<p>Index 233</p>