Fast Fourier Transform - Cycle Extraction - page 82

 
mladen:
engula

That "extrapolation" method is good because of one thing : it is a logical continuation of triangular moving average calculation, and, in the end, one must admire how Bookkeeper came to that idea - there is a certain elegance in the solution where triangular moving average (TMA) slowly transforms with each additional step into linear weighted moving average (LWMA) which is the end point of that indicator. Any other extrapolation method, does not matter how good or bad it is, could not so "naturally" (without interruption) add extrapolated values to triangular moving average

Of SSA : that is the SSA of price and it was posted in the elite section of TSD

so, if i understood what you wrote starting from the simba thread, the extrapolated data of SSA of price are closer to 'reality' than the centered TMA?

 

Can some tell me to difference between Fourier_extrapolator and the one just called Extrapolator.mq4. They are different and it is hard for me to tell which one has the better predictability for future direction.

 
engula:
so, if i understood what you wrote starting from the simba thread, the extrapolated data of SSA of price are closer to 'reality' than the centered TMA?

It is simply a subjective opinion (as almost all is regarding extrapolations since there is no such thing as "exact extrapolation")

 

extra_pollution......

 
alpine4133:
Can some tell me to difference between Fourier_extrapolator and the one just called Extrapolator.mq4. They are different and it is hard for me to tell which one has the better predictability for future direction.

alpine4133

There is no such thing as "better predictability for future direction". Since it is about "predicting" all are more or less in a guessing zone. Of course, they are trying to do that using some math model(s) but there is no single best way to extrapolate, so we alays have to use our best judgement too when it comes to using extrapolation tools

 

Predictability...

It has been said (Ehlers) that markets are cycling 30% of the time and there is no reason to argue with this as far as I can see. The problem is that any "dominant" cycle is not something that remains persistent into the future for very long except on long time frames. Your cycle may vanish at any moment leaving you with a projection that is meaningless. If you need half a cycle just to see that there is a cycle in the first place then at best your are trying to model 15% of the price action. Certainly cycle analysis has its place but only when combined with other tools and fundamentals.

Many years ago (2006?) John Ehlers (Mesasoftware/Corona Charts) built a website called eminiz.com which used his expertise in signal processing to generate buy/sell signals on futures contracts. This was quite a bold initiative on his part that was written about extensively at the time. At some point the site vanished once the draw downs had become too large. It simply did not work. Obviously building trading systems around cycles is difficult even for the "experts".

 
alpine4133:
Can some tell me to difference between Fourier_extrapolator and the one just called Extrapolator.mq4. They are different and it is hard for me to tell which one has the better predictability for future direction.

Extrapolator from MQL4 codebase uses various methods of spectral extraction. As its best it builds "spectra" by Quinn-Frenandes algorithm. QF- algo was the best known to author - DSP engineer, now living in USA, with russian roots. EVERY other modern spectra extraction algo are using Fourier methods.

After "spectral" extraction the Extrapolator builds the price prediction curve based on sin/cosin extrapolation.

Besides, the Extrapolator also uses almost unknown method of so-called amplitude-frequency fit. It is very important DSP method, invented by scientist from Asia.

Humor: the author of Extrapolator did not understand that his Fit-method (built into Extrapolator) is actually a usefull DSP invention (method).

 

Attached is my updated version of the Extrapolator . I am not best coder but at least my codes and ideas are keeping me profitable so I hope this code will help more traders/coders in their trading system.

The code can be easily modified to be an EA , I was about to do so but I didn't as I have discovered a better approach.

This version of the Extrapolator shows the (open , high , low , close ) I though its a good idea to investigate the correlation and consistency between them .

One note that I haven't seen anyone comment on : Fourier by nature most of the times provide a false entry due to its cycle nature , for example if you attach the Fourier indicator to a low it will give a reversal and high entry and the opposite is true. This is due to the fact that Fourier assumes a mirror image of the signal around the y- axis . So its quite important to add few marks for ur self to keep track with whats happening on the chart , and the attached indicator can help with that.

Anyway I hope its helpful , if you have a bright idea you can convert it into an EA and test it

Regards,

Fadi

 

works good with SSA...

 
MiniMe:
Attached is my updated version of the Extrapolator . I am not best coder but at least my codes and ideas are keeping me profitable so I hope this code will help more traders/coders in their trading system.

The code can be easily modified to be an EA , I was about to do so but I didn't as I have discovered a better approach.

This version of the Extrapolator shows the (open , high , low , close ) I though its a good idea to investigate the correlation and consistency between them .

One note that I haven't seen anyone comment on : Fourier by nature most of the times provide a false entry due to its cycle nature , for example if you attach the Fourier indicator to a low it will give a reversal and high entry and the opposite is true. This is due to the fact that Fourier assumes a mirror image of the signal around the y- axis . So its quite important to add few marks for ur self to keep track with whats happening on the chart , and the attached indicator can help with that.

Anyway I hope its helpful , if you have a bright idea you can convert it into an EA and test it

Regards,

Fadi

Everyone should read the bold part.......three times! You have to be very careful.