Article Archive For
JAN1983
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A MiniGuide to Fourier Spectrum Analysis by ANTHONY WARREN, PH.D./STAFF WRITER
ARTICLE SYNOPSIS ...A MiniGuide to Fourier Spectrum Analysis
by ANTHONY WARREN, PH.D./STAFF WRITER
The basic idea behind Fourier Analysis of time series is to decompose the data into a sum of sinusoids
of varying cycle length, each cycle being a fraction of a common or fundamental cycle length. (For
example, figure 1 shows a time series consisting of a linear trend and two major cycles, and figure 2
shows the decomposition into component sinusoids.) Originally, cyclic analysis was applied to physical
phenomena to describe the behavior of complex vibrations, as for example, the multiple vibrations
created by pluc...
AUTHOR: Anthony W. Warren, Ph.D.DATE: JAN1983
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ARIMA Forecasting by ERIC WEISS, PH.D.
ARTICLE SYNOPSIS ...ARIMA Forecasting
by ERIC WEISS, PH.D.
In the October 1982 of Technical Analysis, I discussed Autoregressive-Integrated Moving Average
(ARIMA) and why it is such an accurate forecasting technique. In this article, I'll discuss how to build an
ARIMA model using typical software and present some examples from my program for microcomputers
such as the Apple ][, EASI/ ARIMA. Most other ARIMA programs running on large mainframe
computers use a similar technique, although the commands are a little different.
The approach I like best was developed and popularized by Box and Jenkins at The Universit...
AUTHOR: ERIC WEISS, Ph.D.DATE: JAN1983
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Fast Fourier Transform by ANTHONY WARREN, PH.D./STAFF WRITER
ARTICLE SYNOPSIS ...Fast Fourier Transform
EDITOR'S NOTE:
To improve program readability the subroutine listed here has been enhanced by a BASIC language list
formatter. We hope that this will prove helpful. The assignment statement 'LET' and indentations are not
required for most BASIC interpreters. The program flow-of-control is much clearer by observing that
loop operations, such as, FOR-NEXT are indented so the FOR and NEXT are directly above one another.
This program has been provided, to subscribers on record as of January 31, 1983, FREE of charge, ready
to run from within the Compu Trac system. One need ...
AUTHOR: Anthony W. Warren, Ph.D.DATE: JAN1983
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In This Issue.
ARTICLE SYNOPSIS ...In This Issue.
The Intra-day Analyst is a computer system for technical analysis of the market during the trading day.
We regret that an article describing this system was not available to meet our January printing deadline.
Typically, articles and advertising must be received 30 days prior to the month that they will appear. The
Intra-Day Analysts systems was designed by the same individuals who developed the Compu Trac
System. It has been almost two years since its first release and is now a major stand-alone trading tool.
With this issue we intitiate a new ongoing forum for exchange of st...
AUTHOR: Technical Analysis, Inc.DATE: JAN1983
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Letters to Technical Analysis
ARTICLE SYNOPSIS ...Letters to Technical Analysis
We have received hundreds of inquiries about Technical Analysis of Stocks and Commodities and are
endeavoring to answer ALL via mail or through this column. The effort involved has been a strain on our
meager resources, so bear with us. Please feel free to write about anything that you would like to know
more about or pass along to the rest of us.
Dear Jack,
I like your ""Technical Analysis"" publication, the first copy of which I received at the TAG seminar in
Toronto . . . This letter is my pledge that I will subscribe .. . I'm enthused about the potential fo...
AUTHOR: Technical Analysis, Inc.DATE: JAN1983
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Moving Averages
ARTICLE SYNOPSIS ...Moving Averages
In our studies of stock or commodity time series data, i.e. a stream of successive daily closes (highs,
lows, volume), we are constantly reminded of moving averages and their application. A moving average
is one of the simplest and most often used smoothing or filtering methods available. All that is required is
that one choose a number of days, N, that you intend to average your data by and plot that average
coincident with the last day of data.
MATHEMATICALLY:...
AUTHOR: Technical Analysis, Inc.DATE: JAN1983
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SIDEBAR: GLOSSARY
ARTICLE SYNOPSIS ...GLOSSARY
ROUNDING ERROR -- When numbers are rounded many times. errors creep into the result. For
example, 2.4+8.4=5.8 which rounds to 6, but if we round 2.4 and 3.4 we get 2+3=5.
TREND--A straight line pattern to prices. This may be clouded by price variations above and below the
trend line.
AUTOREGRESSIVE--One today in terms of past days. The atuoregressive part of an ARIMA model
uses previous days prices to predict today's price. The ""previous days"" could be just yesterday, or
yesterday and the day before yesterday etc....
AUTHOR: Technical Analysis, Inc.DATE: JAN1983
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SIDEBAR: RESEARCH in Progress:
ARTICLE SYNOPSIS ...RESEARCH in Progress:
To make this research periodical a viable and useful tool to the investor, we plan to offer a broad
spectrum of information. The centerpiece of each issue will be feature articles on specific numerical or
graphical technical analysis techniques with emphasis on application to trading stocks or commodities.
ADAPTIVE FILTER: A short-term forecasting technique that computes optimum weighted moving
averages is concurrently under development for use with stocks or commodity historical data. This study
will calculate an optimum weighting of past observations (weighted moving ...
AUTHOR: Technical Analysis, Inc.DATE: JAN1983
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Technical Analysis Information. by JACK K. HUTSON, EDITOR
ARTICLE SYNOPSIS ...Technical Analysis Information.
by JACK K. HUTSON, EDITOR
INTRODUCTION
We would like to take this opportunity to thank all of our subscribers for their encouragement and
support, and Tim Slater, of COMPU TRAC, who made it all possible. The initial set up of a magazine
has proven to be an interesting experience, one that I am sure any masochist would enjoy. The idea first
came to mind almost two years ago shortly after the first COMPU TRAC seminar (Feb. '81) in New
Orleans. I did not attend the seminar, but did have an opportunity to listen to tapes of the conference. One
of the members at th...
AUTHOR: Jack K. HutsonDATE: JAN1983
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Using Fourier by JACK K. HUTSON
ARTICLE SYNOPSIS ...Using Fourier
by JACK K. HUTSON
Joseph Fourier (1768-1830) (pronounced ""fooryay'') was a French mathematician and inventor of
Fourier analysis. His work helped show the way to expressing periodic curves or functions by a sum of
sines and cosines. These simple functions are easy for our computer to evaluate and project into the
future. Many natural physical phenomena are oscillatory, that is repeating over and over again, much like
the Markets.
The Markets are not a function in the mathematical sense, but do seem to go up and down over and over
again. During the late 1960's a number of Fast ...
AUTHOR: Jack K. HutsonDATE: JAN1983