Article Archive For
MAY1983
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Applying ARIMA Forecasts by ERIC WEISS, Ph.D.
ARTICLE SYNOPSIS ...Applying ARIMA Forecasts
by ERIC WEISS, Ph.D.
""Applying ARIMA Forecasts"" is an article continuing a series started in the October (82) and the
January (83) issues of Technical Analysis. AutoRegressive-lntegrated Moving Average(ARIMA) is a
forecasting methodology based upon the techniques described by Box and Jenkins in their book: Time
Series Analysis, Forecasting and Control, published by Holden-Day, 1976, 2nd ed.
With understanding and time one may construct a model of a discrete statistical time series, such as the
markets, that will forecast the future with known probable error.
To be...
AUTHOR: ERIC WEISS, Ph.D.DATE: MAY1983
Communication with Technical Analysis
AUTHOR: Technical Analysis, Inc.DATE: MAY1983
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Data Filtering Methods For Technical Analysis by ANTHONY WARREN, Ph.D./Technical Analysis
ARTICLE SYNOPSIS ...Data Filtering Methods For Technical Analysis
by ANTHONY WARREN, Ph.D./Technical Analysis staff writer
Data filtering methods such as moving averages are quite prevalent in many trading systems. In this
article we will discuss a methodology for selecting appropriate data filters based on Fourier spectrum
analysis, and the basics on how to use smoothing filters for trading decisions. In the course of this article
we will attempt to familiarize the reader with data filtering from a frequency domain point of view (i.e.
cyclic). The reader need not be concerned with the mathematics of Fourier ana...
AUTHOR: Anthony W. Warren, Ph.D.DATE: MAY1983
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Fibonnacci Cycles by TUCKER J. EMMETT
ARTICLE SYNOPSIS ...Fibonnacci Cycles
by TUCKER J. EMMETT
The growth in popularity of my own technical application of the Fibonnacci mathematical series to the
futures markets the past ten years has been fairly remarkable, considering the amount of homework and
trading discipline requisite in the approach. But the predictive accuracy and logic behind this technical
system, along with the method of checks and balances obtained from it, make the effort well worthwhile.
The Fibonnacci series is the basis of the ""Elliot Wave"" and various forms of Elliot theory. While Elliot
theory is espoused by many analysts, it...
AUTHOR: Tucker J. EmmetDATE: MAY1983
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Finite Impulse Response Filter by ANTHONY WARREN, Ph.D. with JACK K. HUTSON
ARTICLE SYNOPSIS ...Finite Impulse Response Filter
by ANTHONY WARREN, Ph.D. with JACK K. HUTSON
Figure 1 and 2 show a comparison of computer output using Fourier analysis Power and then Amplitude
plots. It can be seen that the Power Spectrum plot, which is Amplitude squared, makes it very easy to
discern which cycles are significant and which are not. The Power Spectrum suggests that cycles with
periods of less than 20 days may not be important, in the long move. Figure 3 is an example of computer
output plotted from the following Finite Impulse Response (FIR) Filter subroutine using a Hanning
weighted moving av...
AUTHOR: Anthony W. Warren, Ph.D. and Jack HutsonDATE: MAY1983
In This Issue
AUTHOR: Technical Analysis, Inc.DATE: MAY1983
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Letters to Technical Analysis
ARTICLE SYNOPSIS ...Letters to Technical Analysis
This column is our means of communicating with our subscribers and serves as an outlet for questions
and answers. Please feel free to write about anything that you would like to know more (or less) about or
pass along to the rest of us. We all run across trading techinques, services and products that have proven
to be useful to some degree under different market conditions. Without a constant source of new ideas
and subject matter coming from our readers this magazine would not exist. Each issue is designed to
hold at least one idea or clarify one subject that CO...
AUTHOR: Technical Analysis, Inc.DATE: MAY1983
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SIDEBAR: Author's Biographies
ARTICLE SYNOPSIS ...Authors' Biographies
Tucker J. Emmett, Vice President Trading and Research Anspacher & Associates, Inc.
Tucker Emmett is a cum laude graduate from Harvard University where he studied mathematics and
economics. In 1970 he was awarded the Juris Doctor degree from the University of Virginia Law
School. He is a registered representative in securities and commodities and is a member of the
Chicago Mercantile Exchange. At Anspacher he is currently involved in research on the application
of regressional models to commodity price trends. He also writes a bi-weekly review published by
Anspacher on gr...
AUTHOR: Technical Analysis, Inc.DATE: MAY1983
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SIDEBAR: Mark 1 (1944)
ARTICLE SYNOPSIS ...Mark 1 (1944)
Conceived by Howard H. Aiken of Harvard University in 1937, the first automatic digital computer
was built by International Business Machines in 1944. An automatic sequence controlled calculator, it
was first used for computing ballistic data. The computer could do three additions per second, working
as fast as 20 people on calculators. The Mark 1 took up a lot of space; it was 51 ft. long and 8 ft. high,
with 750,000 parts....
AUTHOR: Technical Analysis, Inc.DATE: MAY1983
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SIDEBAR: Programming Conventions for BASIC Technical Analysis subroutines:
ARTICLE SYNOPSIS ...Programming Conventions for BASIC
Technical Analysis subroutines:
NO Input/Output routine is provided, only a generic BASIC computational subroutine containing the
fundamental technical analysis is provided. This subroutine should, with only minor changes, work on
any computer using the BAS C language.
INPUT data (daily, weekly, monthly, etc.) must be provided by the user (i.e. YOU) in the following
matrix format: X(7,NUM) where...
AUTHOR: Technical Analysis, Inc.DATE: MAY1983
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SIDEBAR: Univac 1 (1951)
ARTICLE SYNOPSIS ...Univac 1 (1951)
Delivered to the government in 1951 to help with the census, it cut human work hours from 200,000
to 28,000. On October 3, 1963, the computer was retired after 73,000 hours of operation and is now on
display at the Smithsonian Institution....
AUTHOR: Technical Analysis, Inc.DATE: MAY1983
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The Evolving State of Technical Analysis
ARTICLE SYNOPSIS ...The Evolving State of Technical Analysis
Leafing through a back issue of ""Success Farming"" magazine the other day, I was quite surprised to run
across a fairly sophisticated article on the technical analysis of some of the meat and grain futures. The
purpose of the article was apparently to educate and to provide a method of calculating hedging levels for
some of its subscribers. In fact, some of the Midwestern farmers I know, use words like ""Elliot wave or
50% retracement"" just as easily as they use ""heifer or grain combine."" At first, it sounded somewhat
strange to me, hearing all thi...
AUTHOR: Technical Analysis, Inc.DATE: MAY1983
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The Head and Shoulders Formation by JESSE H. THOMPSON/Technical Analysis staff writer
ARTICLE SYNOPSIS ...The Head and Shoulders Formation
by JESSE H. THOMPSON/Technical Analysis staff writer
Technical analysis as it is applied today to the anticipation and projection of impending price
movement of stocks or futures markets might be broken down into three major areas of study. These are:
1) The study of price activity itself 2) the study of derivatives of price and 3) the study of internal
indicators.
The study of price activity itself is generally of older vintage. The book, ""Technical Analysis of Stock
Trends"" by Edwards and Magee is a study of market formations and trends within this area. ...
AUTHOR: Jesse H. ThompsonDATE: MAY1983
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The Livermore System by JESSE H. THOMPSON/Technical Analysis staff writer
ARTICLE SYNOPSIS ...The Livermore System
by JESSE H. THOMPSON/Technical Analysis staff writer
Livermore is one of those names you might hear floating around among the chatter and ticks inside the
local brokerage office. Or maybe you will catch a reference to him in some obscure article or book. Just
as the markets of the various exchanges are often mystifying, so too are many of the historical characters
surrounding the markets.
Jesse L. Livermore was one of those characters, passing in and out around the Wall Street of the
l890-1940 period. The classic ""rags to riches"" stereotype of this period. Humble begin...
AUTHOR: Jesse H. ThompsonDATE: MAY1983