Interesting thread,I have stumbled into it by chance,took a few hours to read the posts.
The level here is extraordinary,so,I will try to add something useful regarding my experiences with digital filters ,Fourier transforms and trading.
I won`t share my indicators,but due to the fact that I have been suffering the "digital filters illness" for years,and finally,around 3 years ago,I found the cure to it,I would like to just point out for you what I found to be the "better for the moment" tools to be used in our trading profession.
I started by trying most of the commercial packages,including ,among others the MESA software directly from Ehlers and a well known "cyclic software" that has bartels test to differentiate among cycles,used e-signal datafeed and this was presumed to be a money making machine.. nothing worked consistently,including the supposed money machine.
Then,I decided to do my own homework,so,I started by trying Goertzel,let just say that Meyers analytics papers convinced me that this was the way to go,end result,the instant phase problem and the continuous repainting,just make Goertzel a "special kind" of FFT,yes,one that can work slightly better with noisy data but that lacks the fast response needed to trade the markets with a modicum of consistency...so,I switched gears..again.
I tried FFT,MESA,Wavelets,as standalones or combined both with Neural Networks or Genetic Algorythms,final result:wavelets held some promise,specially for preprocessing data to feed the NNs,but the promises didn`t materialize in continuous profits.
Finally,I found something that has been working consistently...a special kind of FFT,its name is VFFT(Very Fast Fourier Transform).
VFFT handles the distribution of scales in a function(smaller scales must be resolved over the distance of the largest scale)in such a way that allows the optimal modelling of multi scale problems on a computer...and this works exceptionally well for Forex data.I was very lucky to find an ucranian programmer that translated these concepts into metatrader indicators,now he is busy doing so for other platforms,I will probably settle for a few APIs,but,anyway,we all know that metatrading coding qualities are not optimal.
Please ,do not ask for my indicators,they are propietary and not for sale,but I am fairly sure that you don`t need them,you can team and develop them if you become convinced that VFFT is the way to go...I will show you just a chart,so that you get the idea of what is possible with this method.
I want to thank both Alvin M Despain(inventor of the VFFT) and CB(for this unbelievable thread)..Thank you.
I won`t post much,and besides,Carnaval in Rio is approaching fast,and one has to prepare.
The level here is extraordinary,so,I will try to add something useful regarding my experiences with digital filters ,Fourier transforms and trading.
I won`t share my indicators,but due to the fact that I have been suffering the "digital filters illness" for years,and finally,around 3 years ago,I found the cure to it,I would like to just point out for you what I found to be the "better for the moment" tools to be used in our trading profession.
I started by trying most of the commercial packages,including ,among others the MESA software directly from Ehlers and a well known "cyclic software" that has bartels test to differentiate among cycles,used e-signal datafeed and this was presumed to be a money making machine.. nothing worked consistently,including the supposed money machine.
Then,I decided to do my own homework,so,I started by trying Goertzel,let just say that Meyers analytics papers convinced me that this was the way to go,end result,the instant phase problem and the continuous repainting,just make Goertzel a "special kind" of FFT,yes,one that can work slightly better with noisy data but that lacks the fast response needed to trade the markets with a modicum of consistency...so,I switched gears..again.
I tried FFT,MESA,Wavelets,as standalones or combined both with Neural Networks or Genetic Algorythms,final result:wavelets held some promise,specially for preprocessing data to feed the NNs,but the promises didn`t materialize in continuous profits.
Finally,I found something that has been working consistently...a special kind of FFT,its name is VFFT(Very Fast Fourier Transform).
VFFT handles the distribution of scales in a function(smaller scales must be resolved over the distance of the largest scale)in such a way that allows the optimal modelling of multi scale problems on a computer...and this works exceptionally well for Forex data.I was very lucky to find an ucranian programmer that translated these concepts into metatrader indicators,now he is busy doing so for other platforms,I will probably settle for a few APIs,but,anyway,we all know that metatrading coding qualities are not optimal.
Please ,do not ask for my indicators,they are propietary and not for sale,but I am fairly sure that you don`t need them,you can team and develop them if you become convinced that VFFT is the way to go...I will show you just a chart,so that you get the idea of what is possible with this method.
I want to thank both Alvin M Despain(inventor of the VFFT) and CB(for this unbelievable thread)..Thank you.
I won`t post much,and besides,Carnaval in Rio is approaching fast,and one has to prepare.