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If any of the programmers are available, I'm willing to share my work on Kalman (I think the soft sign in the name is redundant). It works in Matcad.
Garfish, thank you for the offer, but I am more interested in doing it myself, some of the results are very encouraging.
For me it may be a different approach, from the other side of the world. If that, write to ddd003(dog)mail.ru
Sergey, I have a favour to ask of you. If you are going to write an article, try to make a case for Kalman compared to other mash-ups. I see that you love it for a long time, but as applied to Forex, it seems to be unrequited. Admittedly, I myself seem to have lost ground under the comparison of mashups, as each can be good for its own purposes. Let this Kalman be computed entirely in Matcad, it's not that important. What is important is your vision of its application.
I haven't read this thread thoroughly...
I have a simple plan.
use DF.dll
Manually generate a filter for each pair and each timeframe.
i would like to use mql4 tools to create a spectrum analyzer and a logic block that defines the cut-off frequency
Please use http://www.fxexpert.ru/forum/index.php?showtopic=840&st=20&start=20 for this library.
What do you want to discuss?
I think there is one on the Alpari forum - frantsuz or something. Big fan of spectral analysis - and probably other French perversions.
Yes, yes, I think I remember that you had a discussion with him there too, Sergey. By and large the problem is standard - non-stationarity of rows. But, let's say, for a multivariant the idea might be quite workable to choose the right inputs.
Thanks, I'll take a look at the link.
Actually I know how to use the library
I mean, maybe there's a special library for spectrum analysis...
but now i realized that i'm dumb (probably because i never worked in the field), i remembered the analyzer device - it's a narrowband filter that scans a range of frequencies
this library can be used for filter generation and analysis
So the question becomes obsolete.)
I have an idea, but it's been put aside for now, to take a closed currency cluster, sum it all up, do adaptive threshold processing in the spectral domain and through periodic compensation, then reverse FFT and watch where the group rate goes. At first glance, it seems to work, but we have to check it.
At the moment I am still finishing my adaptive filter, there is still some nonsense, I can't find any way to attach it to the indicator, in which period it would be possible to specify 1 min, 5 min, 15 etc.