Optimized Trend Trading

Chamois

You are right. I read Despain's paper during my degree and used some of the ideas in my PhD work.

It implements nothing more than a bog-standard Cooley-Tukey FFT with the old CORDIC trick, which avoids the use of floating-point multiplication. Before the advent of cheap CPU's this was a painful operation! CORDIC just uses cheap fixed-point operations.

There is absolutely no mystery here! I can categorically assure you that this is just a cheap and cheerful approximation to a standard FFT. Nothing more!

CB

1-Thanks for your kind words CB...It is interesting to note that my post is worth nothing while I post the links to VFFT,including several articles by Simon J Shepherd(which is not the inventor of the VFFT,he was just a minor member of the team),and you seem to agree that VFFT is a piece of artwork...interesting to say the least,and very rude..So,I direct people towards this marvel and this is worth nothing?mmm...makes me think about your real intentions,if you are so positive about the VFFT,why didn`t you mention it until now?

2-Crodzilla didn`t duplicate my VFFT indicator,if you have any doubt,ask him,He deserves all my respect for replicating the ANG indicator(I presume he did,he didn`t show anything),but,frankly,this is just a confirmation tool,This is why I posted it for everybody to use.

There is some fantastic work going on here,yes...BUT..where are the statements?

Where are the customer`s yatches?

Even better - FXTimer has beaten me to it!! Thanks for posting the Russian indy, FXTimer.

Guys - take a look at the code. The matrix construction is elegant followed by a simple but effective Gaussian pivoting routine. So the cyclic extension problem is easy. Just augment the matrix and treat the problem as an augmented-state-space analysis. Wind the system forward a few turns of the handle and there you are! Why make life difficult?

CB

No, I didn't say I duplicated your VFFT, just the poly indy. I would be operating way above my current IQ.

If I did, I wouldn't announce it just yet...

Carl

Thanks Carl,you are a fair guy..an,no,you didn`t say it,CB said it...I wonder why?

P.S:Your current I.Q is more than enough,I appreciate your posts both here and at forex-tsd

Yes,yes...BUT...Where are the customer`s yatches?..Nice talk,no Walk?

CodeBreaker,or should I say Simon J Shepherd?Wanna do a contest?I bet you the ranch that I am gonna bust your derriere...using the indicator you codeveloped with a team..a team that astonishlingly,is no more there.

Can you explain,dear Simon,why didn`t you post about the method that you supposedly developed...VFFT?

This is professor Simon J Shepherd homepage..UK university(Bradford),cryptography,"intelligence" work,musical taste(well I prefer Mozart or Bach to Beethoven,even Mike Oldfield sounds better)...now,check the links and decide..BTW,He sells trading software,so,he shouldn`t be allowed to post on FF without saying so.

http://143.53.36.235:8080/index2.htm





1-Is CB Simon J Shepherd?Has anybody there worked with CB on private projects that can confirm?

2-Why does Simon J Shepherd posts at his homepage this?:

S J SHEPHERD, "The Very Fast Fourier Transform ~ A Tool for Science in the 21st Century", Proceedings of 10th International Conference on Electrical and Electronic Engineering X ICEEE 2004, Acapulco, Mexico, 6-11 September 2004, (Invited Plenary Keynote Address).

While the reality is this:

[4] S. J. Shepherd, P. W. J. van Eetvelt, S. M. R. Jones, J. M. Noras and H.
S. Rajamani, "The Very Fast Fourier Transform �� A Tool for Science in

the 21st Century, ICTAA Conference, 20

Guys

Sorry that this thread has been temporarily hijacked by this weirdo!!

I have emailed the Admin to get him kicked off the forum. Also, I have sent a link for this thread to the group at Bradford (of course I know them - I did my Post-Doc work there!!!). UK universities take a pretty dim view of their Profs getting dragged through the mud and they will probably make a formal complaint as well.

Hopefully, we can get back to business....

CB

Sounds lame...I don`t buy it,actually I would short it.

You involved yourself in this reply,you probably didn`t realize,np,obviously you are involved,Simon,or should I say professor Shepherd?

So,it is common in academy to delete the names of the people that codeveloped a paper with You?You delete them at your homepage,you "suffer" them in public?Your explanation doesn`t stand..Man,we know you are very intelligent,but we are not that stupid(or so we want to believe ),a paper is a paper,anywhere you read it..the authors are the same..Simon,Simon..next post I will delve on your commercial activities,since either you suffer alzheimer or you conveniently forgot about this issue

Bad Boy ,Bad Boy...I wonder what Mr Bean would think of you?

Which business Simon? Choose one :

http://143.53.36.235:8080/mmath.htm

http://143.53.36.235:8080/tfp.htm

Administrators,This "gentleman" has been preying the forum in order to obtain information to use in his commercial systems,he has been misleading everybody about his true identity,while trying to milk in private(sorry,no pun intended )young men with potential to satisfy him.

Sorry Guys

I am going to have to suspend this thread (certainly my participation in it) until we can get the problem sorted. This is very sad as we were just getting really going...

CB

Simon,Simon...what a pity,wish you the best...mmm...what have you posted of value?Any indicator?Any simple to understand concept?...Or just mumbo-jumbo designed to entice your preys to share with you?

So,a couple of posts ago,he was convinced that administrators will expel me from the forum,now he isn`t...what happened?Well,I presume that administrators do not like commercial vultures posting "as if".

There is a kind of vulture that is absolutely despicable,the one that camouflaged as a university professor tries to both steal your ideas and sell you his garbage...I believe that a few people that have been hurt by CB("Simon")will want to post their experiences .

Now, this is getting interesting...

CB,

Perhaps you have pulled your tricks on someone else and they are ticked with you. I'll take this opportunity to respond.

I'll just get this out of the way. CB is Simon. I have 4 months of correspondence in case the following words aren't proof enough. Last year I sent a message to Simon to ask him about this site. www.fin-ware.com
You can read the site if you choose. It's worth a lot of weight but then again so are many other things in life if used correctly. I have a friendship with a few very established, professional traders (you know, the kind that make money consistently, that think "out of the box"). I invited Simon into our group to work on some methods that we were advancing. Again, if a moderator wants to try and ban me for this post, you can simply ask me for the emails. Before we accepted Simon into our group I vouched for him with the other members. Afterall, he sent me a bunch of colorful reports and such on some analysis he had done and wooed me with his big words. Truth be told, I never received a single them from him tangible (no indicators, no code, nothing.....and noticed he has never posted any code or indicators here....hmmmmm). In any event, before accepting him into the group, I sent him an email and the first line read like this.

Me - Please keep all of this confidential. It's imperitave that we do this, and have open communication going forward with regards to testing, data, code, etc so that we can achieve the ultimate goal ( or get so close to it we can smack it in the face ;-).

Simon - I agree. Nothing will leak this end.
(Again, i have the email and have no problem sharing it).

To fast forward in time, the methods that we employ are very unique. Some are original and some aren't. Simon was involved in the development (as were many others). He apparently has felt the need to take the group work and share a few of the ideas publicly. Maybe he wants to use it at his commercial site. I don't really know. I'm not going to touch on anything else with regards to this.

What I do know is the following.

1. If you think you are going to get anything tangible from Simon (CB), think again. You will get NOTHING.
2. If you think you will get something in RETURN for sharing your work, think again. You will get NOTHING (perhaps a "Congrats!!"). You will get emails filled with big words, colorful reports, things will be called "trivial", and reworked indicators of others work that will be passed to you in the form of a .ex4 and will described as being based on "advanced phsycis" from a popular video game. I'm not making this up.
3. If you think that your work will be kept private, you should REALLY think again.
4. I'm pretty sure he has his buddies create screennames on here to facilitate discussion, making you feel "better" about sharing your work. If you share anything after reading this post then you have what I call a "you problem".
5. I highly encourage any of you who have posted pictures, screenshots, information, etc., to delete the posts. Afterall, why would you want someone to pawn off your work? Carl - This especially is appropirate for you. Feel free to PM me if you want. I will discuss this further with you if you need more "convincing". You have nothing to lose afterall and I certainly have nothing to gain.
6. Two members of our group left the project in its infancy because of Simon's condescending ways. Hindsight is 50/50 - They were completley right in doing what they did. Afterall, why would they want to share there respective Grails with someone they are skeptical about.


Now Simon, if you want to flame my post, go ahead. I have not personally attacked you at all in this thread. I think you should really move on. Those are my only words to you.

For the rest of you, I encourage you to stop and think about one question. What have you really gotten from this thread, aside from pretty pictures and words you can't pronounce? My advice to you is to find some people you trust, privately form a team, and get on with your quest. If you know American Literature then perhaps you have heard of Napoleon Hill (he pioneered the genere of "Personal Success".) Humbily he once said, "Do not wait; the time will never be "just right'. Start where you stand, and work with whatever tools you may have at your command, and better tools will be found as you go along." There are no shortcuts in trading, and if you think you are going to get anything of value from this thread that you can use....well then, you can just keep waiting. That's not a dig on the subject matter either.

Feel free to view any post I have ever done on this site or TSD (my name is a little different there). You will notice I have never attacked anyone. I've just met quite a few people who have learned to take high level conversations underground. You'll notice I was a consistent poster on this thread a long time ago. Times change.

Best,

cl

Guys

The Admin got back to me VERY quickly when he saw the problem and advised me to block the unwanted posters and not close the thread.

I hope no-one objects to this. Anyone who does not find this thread helpful is welcome to stop reading it! For the rest of you, sorry about the upset and hopefully back to business as usual!

CB

Guys

Atached a 1-page Word doc containing some images. (I used Word as I wanted to add some arrows and stuff and it seemed easiest). The pictures show how I use my software for "spectral timing".

This may interest Crodzilla and the other folk working with Goertzel etc. Note how I use the chosen main component to decide the trend. Then I use a secondary component for timing. I don't trade against the main trend! I just use the secondary to pick up when a counter-trend is ending and going back with the flow of the main trend.

Am happy to advise on coding this stuff! Hope this helps.

CB

I'm pretty sure this post use to say something along the lines of CB referring to Simon as "him" and the conferences "he" attended in Egypt. Post #308 by FxTimer. Funny how it's been deleted now that everything has been spilled. I think everyone here can see what is going on.

And what happened to the post where Simon insisted on getting a public apology (i believe it was all in caps...remember you yelled?) for FxTimer saying "nothing" instead of "noting" and where he got on the guy for not knowing proper English.......nothing like changing things to fit a thesis. Everyone will have to just wait for the email to come through from FF when new posts are posted on the thread.

CB,

In an earlier post, I mentioned that I was able to use rows from the inverted matrix of the HP Filter to create FIR Filter coefficients with zero lag. Unfortunately, this doesn't seem to be a general result. You have to play around quite a bit to get that result. You can get some interesting results though. Attached are pictures of the Amplitude Response, Phase Response and Lag Response of a filter created in this manner.

The "passband" region is roughly 6 bar cycles and longer. The Phase response is nearly linear for cycles longer than 6 bars. And the lag is less than 1 bar throughout.

This is not bad for an early go at designing a filter, but I am curious about how you get the sharper cutoff. Although I haven't tested this filter yet, I suspect it's weakness will be that the cutoff is a bit wishy washy. Can you give any guidance on how to get a sharper cutoff than this.

Thanks,
Ngawang

Hi Ngawang

Thanks for the post! A good question. To get a sharper cut-off, you generally need a longer filter (more coefficients). So you do the following:

Say you are designing a low-pass filter:

(1) Specify the point where the response starts to fall after the pass-band;
(2) Specify the point where the response goes flat in the stop-band;
(3) Specify the attenuation of the stop-band (say -40dB)
(4) Use the Remez Exchange Algorithm to design the filter. This is a really neat algorithm that will tell you how long a filter you need for your design, and exactly what the optimum coefficients are to achieve your spec.

There is some good info on Remez on the web. But if you get stuck, shout. I have some Matlab code somewhere that might help you.

CB

CB,

This gets me started, but I'm sure there will be a need for further advice. And, just to clarify once again, it seems like the overall goal is

(1) Design a filter to filter out noise without introducing lag or phase distortion

(2) Apply Spectral Analysis on the filtered data to identify dominant cycles -- Goertzel seems quite powerful -- although you seem to be using SSA as well -- if you could be more specific on how you use this, that would be helpful.

(3) Project the cycles forward several bars in time.

Thanks,
Ngawang

Hi All,

In case anyone was wondering, the 7 coefficient FIR Filter that CB rigged up a while back with the following coefficients:

0.328; 0.365; 0.211; 0.107; 0.033; 0.002; -0.048

Has the following Amplitude, Phase and Lag Response.

Ngawang