Trading Strategies Based On Digital Filters - page 53
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And here are the two last indicators of AT&CF set, based on R-FATL-SATL-Adaptive too. Have fun ;-)
Hi,
So technology is here !!! Where is the money than because we are for it on this fourm
I include two noised chirps as a HST file. You can try your indicator on it.
KrzysztofHi Krzysztof,
Before I give a try to your chirp signal, let me remind to everybody that I have only posted indicators of AT&CF method on which to implement a strategy.
You have to develop your own strategy and choose the best. In doing so, I hope that the best ones will be shared as I have shared all my code.
Bye
Hi,
I believe you talk about Goertzel V1 written by Jojolapin.
3*Maxper is a size of the backward observation window. Goertzel is a kind of Fourier transform and it uses also backward windows with different shape like Hamming or Hann to avoid spectral leakage. In case of this indicator flattening
is used. So by changing this value you are changing window and it finds different curves. Additionally implementation is not complete there.
KrzysztofDo you mean we should not use that Goertzel indicator then?
Is DFM still the best software to perform the spectrum analysis?
What about SSA? Is there some SSA spectrum analyser for MQ4 ? I saw there was two indicators in this thread, but I could not make them work. Has anybody tried them?
Could we use a software like Caterpillar, which is doing Singular Spectrum Analysis? If we could import the history data in the software, then that's ok. We could still use DFM for the indicator creation as it's doing that quite well.
Hi,
So technology is here !!! Where is the money than because we are for it on this fourm
I include two noised chirps as a HST file. You can try your indicator on it.
KrzysztofHi Krzysztof,
if only markets were a noisy chirp signal, the life of the trend follower would be easy :-)
I have applied a very very simple stop and reverse strategy to the first signal you posted :
Buy when SATL>RSTL and Close<SATL
Sell when SATLSATL
The condition on Close is useful to avoid the effect of noise (buy high when the trend is up and low when it is down)
Note that the R-FATL-SATL-Adaptive is meaningful for the only SATL part, as is easy to see that the spectrum has only 1 peak, so there is no point in following the fast signal.
I have used the standard parameters, except for max_period and filterPersistenceBars.
I have changed the first from 140 (a good parameter for all the crosses) to 800, and the second from 100 to 400. The signal you posted has a very long (changing) period of more than 200 bars, so there is no point in re-avaluating every 100 bars (you could still do it, but with no advantage).
The strategy has been applied to the whole signal (from the very slow, to the fast ending cycles). There is no optimization needed, as well as no de-noising or de-trending preprocessing.
You could never implement this strategy with a single moving average, nor with a single digital filter, but you can do it with an adaptive lowpass digital filter that changes cutoff frequencies as the frequency of the signal changes.
What is wrong with this chirp signal is that the market changes cycle much faster than the chirp signal, and sometimes it seems not to have one.
NOXA_1 or NOXA_2
Hi Krzysztof,
if only markets were a noisy chirp signal, the life of the trend follower would be easy :-)
I have applied a very very simple stop and reverse strategy to the first signal you posted :
Buy when SATL>RSTL and Close<SATL
Sell when SATLSATL
The condition on Close is useful to avoid the effect of noise (buy high when the trend is up and low when it is down)
Note that the R-FATL-SATL-Adaptive is meaningful for the only SATL part, as is easy to see that the spectrum has only 1 peak, so there is no point in following the fast signal.
I have used the standard parameters, except for max_period and filterPersistenceBars.
I have changed the first from 140 (a good parameter for all the crosses) to 800, and the second from 100 to 400. The signal you posted has a very long (changing) period of more than 200 bars, so there is no point in re-avaluating every 100 bars (you could still do it, but with no advantage).
The strategy has been applied to the whole signal (from the very slow, to the fast ending cycles). There is no optimization needed, as well as no de-noising or de-trending preprocessing.
You could never implement this strategy with a single moving average, nor with a single digital filter, but you can do it with an adaptive lowpass digital filter that changes cutoff frequencies as the frequency of the signal changes.
What is wrong with this chirp signal is that the market changes cycle much faster than the chirp signal, and sometimes it seems not to have one.Hi,
I extracted this file from NOXA charts however underlying chirp is mine they just mixed it with different noise. On which signal you made this test _1 or _2. _2 is 6db more noisy, can you post the other also. Anyway I think is very good result.
Krzysztof
Hi,
I extracted this file from NOXA charts however underlying chirp is mine they just mixed it with different noise. On which signal you made this test _1 or _2. _2 is 6db more noisy, can you post the other also. Anyway I think is very good result.
KrzysztofHi,
the first I published was on _1 signal.
I tried also on _2 (see below) with the same settings and results were good, even if my strategy was very lucky because the signal is so noisy.
Hi dvarrin,
I attach an example. In the first subwindow there is the barchart and the filtered signal. The signal is filtered with the filter I posted yesterday. The values are chosen from MESA analysis over a short window of 200 bars, with an autoregression order of 150. You can see the spectrum shape in the second subwindow and the values of peaks and valleys in the third subwindow.
I have chosen for the filter the values P1=70 and D1=52.
ByeHi Richcap,
I forgot to thank you for your answer. I've also seen all the indicators you have posted. They are really nice, but I don't know exactly how to set all the parameters. Do you have some doc explaining what they do and how to set them?
Hi Richcap, I forgot to thank you for your answer. I've also seen all the indicators you have posted. They are really nice, but I don't know exactly how to set all the parameters. Do you have some doc explaining what they do and how to set them?
Hi dvarrin, you're welcome.
I don't have any specific doc, but the code is commented. If you know AT&CF (you can read the two papers at fin-ware site) you can understand how it works. For most of the crosses and timeframes the parameters are quite suited. You only have to find a strategy that fits your way of trading.
comparision to NOXA
Hi,
the first I published was on _1 signal.
I tried also on _2 (see below) with the same settings and results were good, even if my strategy was very lucky because the signal is so noisy.Here is comparision to NOXA results on the same signal. They hit 100% on
clean CHIRP signal, 72.2% on _2 and 90.9% on _1.
So definitelly worse even that it is curve fitter type. Can you make it also on GOLD5 ??
Krzysztof