Puetz Universal Wave Series (UWS) model [time, price] multifractal of detrended SPX 1871-2020
"... History never repeats itself, but it rhymes. ..." (which author(s) down through history?)
Table of Contents
WARNINGS!! :
- The model here is DEFINITELY NOT suitable for application to [trade, invest]ing! It's far too [early, incomplete, immature, erroneous]! See Stephen Puetz for the investment side of the UWS.
- This webPage is horribly incomplete. But I need to post something before I forget everything. It could be another 2 years before I get back to this, if I ever do.
Summary
Stephen J. Puetz's "Universal Wave Series" (UWS - see references below) provides one of many generalized approaches to market [time, price] multi-fractals. I have implemented this in TradingView.com's Pine Script language to provide real-time market chart updates on [day, week, [1,3,6] month, [1,5] year, "All"] timescales.
Explanations of the detrended multi-fractal chart, and why you might consider using it, are provided in sections below.
The detrended view of market symbols is intended as a COMPLEMENT to semi-log charts that [investor, trader]s normally use, and NOT as a stand-alone view. Keep in mind that the process of detrending "throws out data", i.e. the trend, and the trend is of primary interest to [investor, trader]s. The detrended view converges to the normal view at timescales less than a month. As such, traders who focus exclusively on these shorter timeframes won't get much practical use form the detrended view.
Users only have to set up the basic chart and symbols in TradingView based on my chart PuetzUWS [time, price] multiFractal mirrors, SPX 1872-2020. To do so you must be a TradingView subscriber. After that, copy over my PineScript coding, which you can find on my TradingView page - click on "SCRIPTS", and select my script "PuetzUWS [time, price] multifractal of detrended SPX 1871-2020". Further setup details are given below.
It was my intent to provide [Fibonacci, Leibnitz] alternatives as basis for the [time, price] fractals, and to provide detrended series for [NASDAQ, USOIL, GOLD]. But it was enough of a struggle to get the current Pine Script coding to (mostly) work so I leave it as is for the foreseeable future.
This webPage is for users of the chart. Details about my Pine Script program to generate it, and how programmers can modify it for other [symbol, chart, fractal type, additional measure]s are provided on my TradingView PineScript of priceTimeFractals webPage..
What does my TradingView PineScript code do?
What are the objectives of a detrended view of a symbols, and of the generalized [time, price] multi-fractal, and why might this be of interest to you? Here is one example as a start to answering those questions :
Examples of TradingView charts : A series of the same chart at decreasing timescales is provided below :
The above images are snapshots of my TradingView chart.ot shown are diverse market symbols that I have added, simply by using the normal TradingView capabilities. For the purposes of this discussion, I will focus on the SPX US stock market index symbol. Both the symbol name and the chartline that represents it are colored light blue. For this chart, SPX is the "primary market symbol", so normally volume bars would appear at the bottom of the chart. However, these are not available for SPX (?), whereas SPX500USD does provide them.
The above charts are generated by my [written, adapted] Pine Script program that super-imposes fractal [time, price] grids :
- vertical "spikes" (lines) = PuetzUWS fractal time axis, as explained in a section below. Each spike is labelled at it's upper endwith a "fractal depth number", which is quantified in the table "Puetz timeFractal [depth, period]s". Puetz's "Universal Wave Series" (UWS) is explained in the next section.
- horizontal rising lines = Fibonacci pricing levels, a widespread tool used for technical analysis of markets, that doesn't require an introduction here, as there are great websites providing that. For now the price Fractals are NOT nested, ergo they are probably not true fractals (I'm not even totally sure the Puetz time fractals are fractals. First, get things to work, then worry about the next steps.)
- Note that for both [time, price], fractal axis lines have been super-posed, so there is no change to the "[original, normal]" [time, price] on the original axes, and the user can always compare the [original, fractal] metrics.
WARNING : You probably have to be a subscriber to TradingView to access the actual program that is being used. But you can also access an upload of my working copy (which I upload infrequently to my website).
I've posted the Pine Script program as "public", so TradingView subscribers who have paid for access to scripts, should be able to adapt the Pine Script program to their own needs, a view "live"
So, what does the user have to do to [get, adjust] output?
Nothing, as both the [time, price] fractals are "strongly anchored" :
- PuetzUWS time fractal periods (cycles) are completely independent of the financial markets, although they do include some (not all) key financial market periods.
- PuetzUWS price fractals periods (cycles) are fixed (as a metric) to the semi-log price [trend, relative standard deviation] of SPX 1871-2020
What CAN the user change?
The normal TradingView "tools" (eg [pattern, indicator, strategy]s) can be added to the chart, but these will be anchored to the "normal" (not detrended) [SPX, USOIL, GOLD]. Too see your tools, the underlying symbol must be visible (I think?). You can therefore draw tools over the de-trended SPX, but these may be shifted around in time as the synderlying non-detrended symbol rescales?
Some suggestions? : view the works of other TradingView Traders, for example here are some of my favourites :
- @fract has interesting fractal ideas and colorful charts. In particular, he does [time, price] multi-fractals in his own way, and he has an interesting emphasis on the [rise, decline] angles.
- @quantguy One of the more consistent and solid day-by-day analysis. He combines price Fibonaccis and his own signal-processing based (?) momentum indicators. (or phase change - I forget)
- @Deus - consistent, detailed application of Elliot Wave theory, which bears some relationship to [time, price] multi-fractals.
- @VasilyTrader - very prolific, kind of fun, and has a huge following. Vasily combines Fibonaccis, patterns, etc.
- @tntsunrise
- @chrism665 very powerful thinking, relatively rare postings
- @cryptobullethbtcxlm - powerful commentary and ideas. Mix of approaches.
- @samitrading - very creative and insightful, but I haven't seen him post since 20Dec2021. Still, past posts are still available.
- @EsotericTrading - I have only just noticed a whole "Astrology" group in TradingView. EsotericTrading is one of many active in this area. This is definitiely NOT my area, a I'm not comfortable with it at all. However, I've seen mythologists make complete fools out of essentially ALL [astronomy, fundamental theoretical physic, climate, weather, earthquake, etc etc] scientists (including me - I learn slowly), so in my focus areas of science (other than Componal Intelligence) I keep an eye out for the one-in-a-million amateur who may shape part of the future of all scientists.
Uers can add different symbols to the basic chart. These will display in a conventional style ONLY - producing detrended results requires Pine Script coding changes.
Users cannot easily change the SPX basis of the chart, or the PuetzUWS [time, price] fractals. That also requires changes to the underlying PineScript coding, as described on my webPage TradingView PineScript of priceTimeFractals. You can do that if you are reasonably comfortable with PineScript (hopefully more comfortable than I).
Initial observations
It helps to have experience with technical trading approaches as a basis for looking at the chart above, and the links to the same chart at other timescales. I am NO a trader, and I'm certainly no expert on technical trading methods, but after "watching-at-a-distance" post covid crash (unfortunately, as markets skyrocketed while I watched on), my first impressions were :
- The "spike timing" fits are better across timescales than I was getting with TradingView's "parallel vertical bar tool". What I just said makes NO sense, as one only has to spread the vertical bars of the tool to match the Puetz timeFractals.
- Price fractals give much the same appearance as hand-[crafted, placed] Fibonacci sereies on stock charts, albeit shifted.
- BOTH the [time, price] fractals appear to be "shifted". Sure, better fits could be obtained by doing so, but take a second look at the chart - I always have many symbols on the same graph, and while there is amazing correlation between symbols, there are also pods of strong differences. Not many [math, statistics] experts are better than the eye at mathematics for low dimensional datasets, and their results are not as powerful as what the [eye, mind] learn.
- The [1D, 5D, 1M, 3M, 6M, 1Y, 5Y, All] timescales are NOT time-invariant, that's for sure!!! However, part of the reason is that they haven't been detrended, and slopes are a strfunction of timescale. Additionally, different data densities are used for different timescales, and that is obvious.
- [Free, easy, auto-adaptive] charting across markets and timescales, is one impression that I was left with. Being lazy, that caught my attention. Note that relatively simple (famous last words) code changes allow for use of different basis than the 1926-2020 semi-log [trend, relStdDev]. For example - see chart (below) that includes a Fibonacci "standard tool" for price trends. That could be done in PineScript, but there is an advantage to keeping only one PineScript "basis", and add "standard Fibonacci tool" for other periods.
- The "All" timescale is far too short! I need to start a chart using SP500 proxies back to ~1871, or even to London Stock Exchange in perhaps 1650?. The reason that I am saying this is because events do come back around, and its best to watch. For example, the USA may be for collapse, revolution, and destruction, just like every other country has gone through, but the USA has not since the Civil War.
- nesting of fractals is critical to their nature. It wasn't easy for me to get that with PineScript!
Initial questions
- Does the "[fixed, achored]" basis of the [time, price] fractals have distinct advantages, in spite of losing tight fits when doing analysis? Perhaps this will help users learn a [standard, reliable] basis of comparison to all charts at all timescales, that is far less likely with zoomed-in focus on specialized hand-crafted charts? Of course, people generalize very well from the latter as well...
- There is one BIG advantage to NOT "optimising fits" of the 1926-2020 basis - that same basis can be used in the same way, with the same "eyeball adjustments", for other symbols on the same graphs. This is apparent from the current state of the graph, which includes [OANDA:SPX500USD,CBOE:TNX 10yT-bond%,HSI:HSSSHSC,TVC:USOIL,TVC:Gold]. That presumes that the "scrunched" plotting of the main series is not a problem.
- Could these long-term fractals provide a common "language and understanding" for [discussion, argument]s between Traders and with[in,out] communities - even extending to the press, then the public?
- Could a fixed SPX priceFractal not only be a helpful, if de-tuned, priceFractal for most of the rest of the market, but also provide a starting point to understand and formulate a "priceFractal of priceFractals"?
- TradingView fractals are manually put onto the chart as usual, at any timescale. This can be seen on my earlier "normal" semi-log chart https://www.tradingview.com/chart/u4klPKBn/. That way, you have a comparison between your current strategd the 1926-2020 trend. The best of both worlds.
- "[fixed, achored]" basis of the [time, price] fractals means that the levels are constant over time, for example whan you look back at the same period of time a year from now. That may help users learn more accurately the behaviour of the markets, and develop a better quantitative feel over time.
- It should be vastly easier to "eyeball" cross-correlations of market symbols.
- Pine Scripts relatively NEW matrix functions allow for regression fits and MUCH more. This can easily provide an automated basis of priceFractals other than the 1926-2020 semi-log [trend, relStdDev]
- Does the use of my PineScript program HINDER in any way the application of standard technical analysis techniques? Because the "original axis" are not changed, I've been assuming that there should be no effect. However, just the presence of the [Puetz time, Fibonacci price] fractals may bias technical analysis? Again, one must be careful that [concept, theory, model] doesn't blind one to reality.
- How do Puetz [time, price] fractals compare to Fibonacci fractals? The latter may not be as robust as Puetz with respect to frequncy [scavange, split, harmonic resonance, beating].
- Use of shorter-timeframe trends - as an example,look at my ??missinglink?? covid Mar2020-Dec2021
- Will the 1926-2022 trend be broken?
- this is already apparent from the 1926-2020 basis as one would typically divide that into segments with significantly different trends. Automated segmentation with PineScript is a whole other challenge that I do not want to get into. (I smell trouble with PineScript coding...)
- inability to control spending
- loss of competitiveness
- dominance of politically-correct voters
- strong changes to voter attitudes (reminiscent of Ibn Khaldun's analysis of history, 1410 AD)
- "government of the parasites, by the parasites, for the parasites"
- Long-term cycles known even before ancient Egypt. At least Ray Dalio was aware of some some stuff, even if he is a CO2-[priest, disciple].
- Potentially imminent? Grand Solar Minimum (GSM) (or max), ~12ky solar micro-nova?
- Computational Intelligence (CI - NOT AI!!) explosion of [oportunity, wealth, advances]
- What will be the impact when all nations are developed and advanced? Will the will to work disappear?
- Almost all [physical, mental] work is now done by machines. Are we entering an era of net-negative economic benefit of human beings?
- The minimum economically competitive threshold has been rising very rapidy for decades, and likely now surpasses most of us (or maybe it's just me). However, as with microcomputers manstream adaptation takes generations, not years, not to mention the huge investments to shift from armies of unionised [teacher, professor]s to still-large armies of unionised [teacher, professor]s, and new large armies of unionised techies. We may never get past this.
- "Adversity builds character, affluence destroys it"
- What do any of my stupid questions above have to do with the subject at hand? <arrgghh!>
- While market data is interesting, have machines already evolved to the point where actual application of any tools like this incompetition to the machines isn't much better than financial suicide? The extremely rapid, highly accurate re-adjustment of all markets second-by-second is far beyond human. So, I suspect, is the cognitive propensity for [analysis, robustness, quality]. Will the rise of the machines, especially with future generations of fund managers (you must wait for the old dogs to die), fundamentally change the [nature, behaviour] of markets, but only if law enforcement is allowed to do its job? Otherwise, aachines simply going to enable humans to be far worse?
- Have I remembered anything from reading Mandelbrot and a few others almost 20 years ago, and scientific papers on chaotic neural networks, memrr array stability analysis? It seems that Mandlebrot&Hudson, 2004 book is full of gems that I commented on at the time, but I do not remember at all <yikes>.
- Already, are my [eyes, mind] imposing patterns on the data, tricking me into believing things that are not there?
It is for >1 year analysis that the detrended perspective has its greatest potential benefits, although this remains to be proven :
- possible that patterns across [symbol, time, price]s become easier to [recognize, use],
also - changing [state, phase] of symbol
- same multi-fractal useful for many, if not most other symbols (not just SPX)
- always keep in mind the long term - financial asset inflation, bubbles, war, end-of-worldtc
- [keep, copy] base SPX chart - add on other sols and [view, hide] symbols as required.
PineScript comments
original comments 24May2022, posted on this webPage 28May2022
multi-fractals, Benoit Mandelbrot said :
[time, price] multi-fractals : Benoit Mandelbrot said that the true power of fractals only emerges when time is one of the fractal dimensions.
PuetzUWS comments
Puetz "Universal Wave Series" (UWS) timeFractals :
The Puetz "Universal Wave Series" (UWS) timeFractal applies to hugely diverse themes including (physics, astronomy, geology, major extinction events, history, war, psychology, sociology, financial markets).
If the "non-optimized time spikes" (vertical lines) appear to relate to market symbol movements at all standard TV timescales (eg 1D 5D 1M 3M 6M 1Y 5Y All), then :
- they may be saying something far (broader, deeper) about time series than anything other than Puetz that I know of (eg. far beyond the Mayan system of 20+ calendars)
- or is it just another example that human (senses, brain) always infer correlations and and patterns?
not used : (Ordovician, Devonian, Permian, Triassic, Cretaceous)
missing features :
23May2022 Puetz "Half-UWS" spikes were considered, but I fear would clutter the chart too much. Just imagine that there is a spike between each of the time spikes that do appear (which are UWS only: sequences of [*,/] by a factor of three)
23May2022 My intent was to give multiple fractal options for both time and price, adding [Liebnitz, Elliot, Prechter] to [Fibonacci, Puetz], but I won't get to that for now.
Fibonacci priceFractals
(= 1926-2020 stdDev semilog) :
Imy earlier mini-Project (??? hyperlink to provide later ???) Fibonacci priceFractals are hard-bound to the SP500USD 1926-2020 semi-log trend line and standard deviation.
So they are tied to the SPXUSD over the last 83+ years, but are NOT related to current market specifics. Fibonacci priceFractals are hard-bound to the SP500USD 1926-2020 semi-log trend line and standard deviation. (fib = number of stdDev)
So they are tied to the SPXUSD over the last 83+ years, but are NOT related to current market specifics.
Multi-fractal (Benoit Mandelbrot) and Fractional Order Calculus (Gottfried Liebniz) approaches. I've no time to elaborate on this now - this is just a concept-holder for a future date.
models can enlighten AND blind you :
WARNING: While models can help us better understand reality, they also (bias, blind) us to it as well. As science (fashions -> cults -> religions), the religions' (priests, disciples)*(suppress, destroy) the rare rebels who are our only hope for progress.
Spreadsheet of [data, trend, relStdDev] :
SP500 1926-2020 semi-log trend, standard deviation :
SP500 1926-2020 semi-log trend = 10^(0.792392+2.89587*10^(-2)*(year - 1926.25)) price revolution* (~7%/y)
SP500 1872-1926 semi-log trend = 10^(0.784617+1.40925*10^(-4)*(year - 1871.08)) price equilibrium* (~0.03%/y)
OOPS! I forgot to put in the 1872-1926 relStdDev!!! I left it at the same as 1926-2020. so the graph will be skewed.
*David Fischer 1996 "The Great Wave, Price revolutions and the rhythm of history"
More and more like Fourier series analysis, but potentially with greater predictive capability? (see section below)
Puetz's UWS as a highly-[constrained, specific] Fourier wave series-like analysis?
Comments along these lines are provided in my very incomplete Howell - preliminary frequency analysis, Fourier series as origins of Puetz UWS. I don't actually "believe" my anal but it is very important to address it in some detail.
How can the S&P 500 stock market index be correlated with 'dead' system?
Was 2007-2009 the modern equivalent to the 1929 crash? Are we going there yet?
In my not-at-all-sure opininion, the Great Depression was a bad recession made vastly worse by FDR's socialist abuse of the free market and it's leaders. In my not-at-all-sure opininion, that could easiy happen again today given voter trends. In our societies, we now seem to destroy good men who build, and we make heros out of others who destroy and degrade. Nothing new there in light of the history kind.
A great presentation of that point of view that influenced me, even if I was already thinking more [broad, extreme]ly in that direction because of history projects of my father and I :
Lawrence W. Reed 2008 "Great myths of the Great Depression" MacKinac Center of Public Policy, www.mackinac.org, original edition 1981
Reed's commments are certainly unconventional, but merit closer attention, whether or not the politically-correct are happy about it. [Right, wrong, true, false] doesnt matter, I just want to argue over beer with my friends <grin>.
Anyways, you should form your own opinion, even if you are not allowed to.
References
Related background information on my other webPages : see [general, specific] links to [concepts, my software, data, results, etc] in :
Inspirations for this webPage
Inspired by many historians and financial market analysts, most notably but not limited to (in order of appearance on the world stage) :
Ibn Khaldun "The Muqquadimmah"
?? Tijevski?
?? Kondriatieff
?? Elliot's waves
Arnold J. Toynbee "A Study of History"
(the full 10-12 volumes, I was missing one or two, now I have only the abridged two-volume set
Ivanka Charvova - best concept I've seen of solar activity over 5-10 ky
Steven Yaskell and Willie Soon "Grand phases on the Sun" - wonderful descriptions of the Maunder grand solar minimum and many scientists and others
Harry Dent - the most successful 10-40 year [economic, financial] forecaster that I am aware of (I'm not aware of much).
Robert Prechter's Socionomics, the first quantitative Sociology
Wilhelm Abel - earliest of the modern price historians who spoke of price [equilibria, revolutios, as far as I know. There were earlier researchers, and as [Abel, Fischer] point out, questions were being addressed throughout history.
Peter Fischers "The Great Wave" - I forget which author (probably Stephen Puetz who used some of the data) mentioned Fischer's book, but it is a real gem, built on the meticulous work of numerous historians. I consider it to be one of the great historical works. Stephen Puetz, and especially co-authors [Glen Borchardt, Andreas Prokoph, ??],
and the system of 20+ Mayan calendars
Ray Dalio of ?BlackRock" Hedge fund "??"