Trading Strategies Based On Digital Filters - page 14

 
dvarrin:
Is it the definition of RSTL that it is delayed by half the period of SATL? I tried to put both SATL and RSTL on a chart, but the offset is not exactly half the period.

How do we define the best timeframe to use for analysis with the spectrum analyzer? I've noticed that a few days differences gives really different results.

 
SIMBA:
If you read the Hurst book,you will realize that the difference between a cycle and itself delayed by half the cycle period,in a perfect theoretical world,will nail the tops and the bottoms of the cycle..in real life,it does a fairly good job to approach tops and bottoms,the problem being the time delay inherent in the use of centered(delayed by half) moving averages,and the fact that cycles are non stationary,unless you can find some cycle with very high Bartels. To solve the first problem problem,we can use a SATL and a SATL delayed by half its period(RSTL)and estimate the difference(that is what the STLM2 does,BTW),so we have a "conceptual Hurst " method in real time...and now the question..check the standard SATL and the standard RSTL..Is it delayed by half the period?

Hi Simba ,

I have two questions:

1-İn my opininon you can have just about the same smoothing and slope direction results with Hull moving averages is that correct?2- I benefit from moving averages for 2 purpose:1-Crosses: buy and sell when two or more diffrent period of averages cross 2-Slope direction: To determine the direction of the trend with MA slopes.My question it hasnt been quite possible to ceate crosses with both Hull and Digital indicators like EMA crossses is it correct?This what I mean: the one with the red arrows :

 
mystified:
Hi Simba ,

I have two questions:

1-İn my opininon you can have just about the same smoothing and slope direction results with Hull moving averages is that correct?Yes,Hull moving averages,with the right period,are very similar to a SATL 2- I benefit from moving averages for 2 purpose:1-Crosses: buy and sell when two or more diffrent period of averages cross 2-Slope direction: To determine the direction of the trend with MA slopes.My question it hasnt been quite possible to ceate crosses with both Hull and Digital indicators like EMA crossses is it correct?This what I mean: the one with the red arrows :If you want to create crosses between HULLMA and digital indicators,you can,it is practically the same as creating crosses between a SATL and a Fatl,my personal opinion is that using the slope of the Hullma or the SATL is a better way of defining a trend than crosses

Hi mystified,

I don`t know if I have understood your second question..in any case ,my reply is above.

Regards

Simba

 

Are U Sure?

dvarrin:
Is it the definition of RSTL that it is delayed by half the period of SATL? I tried to put both SATL and RSTL on a chart, but the offset is not exactly half the period.

Are you sure?

What is the period of a SATL?

 

timeframes

dvarrin:
How do we define the best timeframe to use for analysis with the spectrum analyzer? I've noticed that a few days differences gives really different results.

All timeframes are good to be analyzed with the spectrum analyzer...if your question refers to the number of bars to be used in the analysis,I would say,again,to use both the minimum 200 bars approx,the number of bars since there was a change of paradigm,and the total bars in history..and look for a pattern..if you find that for total historyin h1 there is a peak at 63 periods..and that since the change of paradigm happened,for example for gbpjpy ,sincethe 27 of December 2007,in h1 you have a peak at 59 periods..and for the last 200 h1 bars you have a peak at 67 bars..I would suggest that using the 63 bars period will be a good and robust solution to your problem.

If,instead ,you find that the peaks are very different,I would suggest to stick with the most recent one and to update it on a weekly basis.

Regards

Simba

 
SIMBA:
Are you sure? What is the period of a SATL?

I don't know the period of both as I downloaded them. And I don't know how much exact it should be that RSTL has an offset half of the SATL.

About RSTL, how can we create it with dfm? And I would like to know how we can create STLM too. I think for this one, we have to create two different indicators and update the code to perform the addition. But I think we also have to do something to have the offset.

 

Hey Dvarrin,

Simba is much more qualified to answer this than me i'm sure. I just thought i would give you my .02 with what i have learned with DF.

AS you know, SATL -RSTL = STLM. You have calculated the SATL for EURUSD 4H ( i believe it was something like P1=63, D1=40). RSTL is simply the SATL delayed by roughly have of P ( in this case, 31). Now this is just what i have read and have tried. Whether or not a different Delay calculation is better is something that some research would have to go behind.

ONce you have these two lines, you can calculate STLM. To my knowledge, STLM isn't something that the digital filter software automatically creates. What i have done is use a STLM template ( along with a FTLM template for FATL's) and i simply replace the coefficients inside the indicator and change a couple of things around. This way, your spectrum analysis you run is specific to each currency pair and the coefficients generated by the program is reflective of that.

STLM is best viewed as a histogram ( again, just my personal experience). Please see the stlm picture attached. The notations i made are rough, but i think should explain what is going on.

When you see the Red change to green, that means the difference between the SATL and RSTL are coming together. When the histogram crosses the center line, the RSTL has crossed the SATL. You can see how this is a "real time" method that gets it's roots from Hurst's methods. The intersection roughly represents the midpoint of the move. I'm no sure where the "beginning" and "end" are drawn, but this is my interpretation of how the indicator works.

It doesnt' work all the time. I'm not for sure when it works "best". But, like many other things, it's simply another tool that you can use.

I hope this helped. Again, these are just my toughts as i'm not an expert with DF's. I do think that they can be of great value though. I still have quite a bit to learn too. :-)

Safe trades,

cl

Files:
 

tricky questions

dvarrin:
I don't know the period of both as I downloaded them. And I don't know how much exact it should be that RSTL has an offset half of the SATL.You can look at the coefficients of Both SATL and RSTL..post them here,please and give me your impressions..what is the SATL PERIOD?I can teach you to fish..BUT I won`t give you a fish About RSTL, how can we create it with dfm? And I would like to know how we can create STLM too. I think for this one, we have to create two different indicators and update the code to perform the addition. But I think we also have to do something to have the offset.Until you don`t know the answer to the previous question you can not create a stlm,when you know it you can create custom stlms for every pair and tf

Try to think about my question,it is tricky,but here lies the key to estimate most complex digital filters ...Additionally ,think that there are many people reading this thread that will benefit from these kind of questions..and from your answers

 
clahn04:
Hey Dvarrin,

Simba is much more qualified to answer this than me i'm sure. I just thought i would give you my .02 with what i have learned with DF.

AS you know, SATL -RSTL = STLM. You have calculated the SATL for EURUSD 4H ( i believe it was something like P1=63, D1=40). RSTL is simply the SATL delayed by roughly have of P ( in this case, 31). Now this is just what i have read and have tried. Whether or not a different Delay calculation is better is something that some research would have to go behind.

ONce you have these two lines, you can calculate STLM. To my knowledge, STLM isn't something that the digital filter software automatically creates. What i have done is use a STLM template ( along with a FTLM template for FATL's) and i simply replace the coefficients inside the indicator and change a couple of things around. This way, your spectrum analysis you run is specific to each currency pair and the coefficients generated by the program is reflective of that.

STLM is best viewed as a histogram ( again, just my personal experience). Please see the stlm picture attached. The notations i made are rough, but i think should explain what is going on.

When you see the Red change to green, that means the difference between the SATL and RSTL are coming together. When the histogram crosses the center line, the RSTL has crossed the SATL. You can see how this is a "real time" method that gets it's roots from Hurst's methods. The intersection roughly represents the midpoint of the move. I'm no sure where the "beginning" and "end" are drawn, but this is my interpretation of how the indicator works.

It doesnt' work all the time. I'm not for sure when it works "best". But, like many other things, it's simply another tool that you can use.

I hope this helped. Again, these are just my toughts as i'm not an expert with DF's. I do think that they can be of great value though. I still have quite a bit to learn too. :-)

Safe trades,

cl

Hi Clahn04 :-)

Thank you very much for all what you wrote! That's a really nice way to use Hurst's trading method :-) It's beautiful to have something like Hurst and with no lag!! About the RSTL and STLM indicators, could you please tell me how we add the delay to SATL to create RSTL? Do we have to shift the coefficients?

To create STLM, I think we replace value1 with the coefficients of SATL and value2 with those of RSTL, and for value3 and value4 we do the same, but don't forget to add 1 to the bar index. Is it right?

Thanks again for your help!!

 

Qualified

clahn04:
Hey Dvarrin,

Simba is much more qualified to answer this than me i'm sure. I just thought i would give you my .02 with what i have learned with DF.Don`t think so,your comments are very appropiate

AS you know, SATL -RSTL = STLM. You have calculated the SATL for EURUSD 4H ( i believe it was something like P1=63, D1=40). RSTL is simply the SATL delayed by roughly have of P ( in this case, 31). Now this is just what i have read and have tried. Whether or not a different Delay calculation is better is something that some research would have to go behind.You are on the good track,conceptually,the implementation is not exactly right,try to think in terms of the period of standard SATL and standard RSTL..Post both P1 and D1 and delays(0 for SATL..?for RSTL..here lies the key)

ONce you have these two lines, you can calculate STLM. To my knowledge, STLM isn't something that the digital filter software automatically creates. What i have done is use a STLM template ( along with a FTLM template for FATL's) and i simply replace the coefficients inside the indicator and change a couple of things around. This way, your spectrum analysis you run is specific to each currency pair and the coefficients generated by the program is reflective of that.Right,this is the way to do so,you void the actual stlm2 template and substitute the coefficients by your own

STLM is best viewed as a histogram ( again, just my personal experience). Please see the stlm picture attached. The notations i made are rough, but i think should explain what is going on.

When you see the Red change to green, that means the difference between the SATL and RSTL are coming together. When the histogram crosses the center line, the RSTL has crossed the SATL. You can see how this is a "real time" method that gets it's roots from Hurst's methods. The intersection roughly represents the midpoint of the move. I'm no sure where the "beginning" and "end" are drawn, but this is my interpretation of how the indicator works.If you see enough stlm2 you will realize that,unfortunately,this is usually not so,in my opinion,the best way to use stlm2 is by change of colour..when distance between SATL and RSTL is reduced,since we are using a double buffer smooth filter,there are many probabilities that the trend is changing,after all ,we are implying that SATL is price noise-filtered..and RSTL is SATL delayed by a half cycle period,so,when distance reduces..a top or a bottom is happening,ity is not perfect,but good enough

It doesnt' work all the time. I'm not for sure when it works "best". But, like many other things, it's simply another tool that you can use.

I hope this helped. Again, these are just my toughts as i'm not an expert with DF's. I do think that they can be of great value though. I still have quite a bit to learn too. :-)

Safe trades,

cl

Very good comments,right on target.