Author's dialogue. Alexander Smirnov. - page 2
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Neutron, thank you! Alexander, is the algorithm in Easy Language correct?
Yes, you're welcome!
I ran a cursory glance at the article. I'm sure I just didn't understand the author!
In the place where it talks about the occurrence of group delay (GD) when using an anti-aliasing algorithm, the author offers a recipe for "getting rid" of the latter using a reverse run. ... Is this a joke? It is known that for casual (working on the right-hand end of BP) systems, GZ is unavoidable in principle. But, of course, if BP is defined and we plan to work with it in the middle of a row (not on the right edge), we can, as the author advises, get rid of the lag by re-averaging with the same parameters in the reverse direction. The author does not mention, however, that the averaging algorithm of this kind will inevitably result in overbidding on the last bar. Has he forgotten about it or does he not know? Or what else?
Here is a quote from the article:
" Таким образом, с помощью рассматриваемого вы-ше предложения удается частично скомпенсировать временную задержку m/2 (устранить первый недоста-ток традиционного скользящего усреднения). . .. И второй негативный эффект устраняют... И третий, и четвертый. ..
"The use of the proposed averaging algorithm also significantly reduces linear frequency distortion... "
No words! I apologize in advance to the author of the article.
Alexander, tell me you were joking... I can't believe a mathematician would make such a fuss! Unless the article was written by your graduate student without your knowledge.
... I can't believe that a mathematician could be so lame!
ASmirnoff 25.01.2008 11:08
Very glad to have you on this forum. And would like to help with the research. Unfortunately, I cannot assert that here ('Efficient averaging algorithms with minimal lag and their use in indicators') are those 'true' Djuric algorithms. But I think you can use them and any other. I am ready to offer some of my filters for comparison, but more about that below.
My suggestion is as follows. If we need to compare 2 indicators and answer the question which one is better. First, we need to determine the criteria. If there is more than one, we can perform convolution. The main thing is not just a philosophical assertion that one indicator is better than another one, but exactly the mathematical proof of this fact. Plus how exactly did you ask the question how much better ?
Therefore I would like at the first stage to define the following concepts (I take the MA drawbacks from your article)
What do you understand by trend, please formula. What do you understand by a non-linear price trend, the formula + what is shifted in relation to what and how, what is singled out.
The matter is that in order to compare any two indicators we have to give them something for input. And to answer the question about which of them filters better (smoothes, delays, etc.) you need to know the truth, what we are feeding to the input. Let's assume a noisy sine wave whose parameters we know
by filtering (smoothing) this data array we can determine which one of the filters better distributes the truth, as we know it (blue curve).
It is possible to synthesize various input signals, like the ones used by Djuric to demonstrate the excellence of his indicator.(http://www.jurikres.com/catalog/ms_ama.htm#top). The main thing is to determine which ones.
At the final stage of research I am ready to output a synthetic one (artificial price series) characterized by AFC, IFR and ACF that coincides with the price series of any selected currency within a week. Here, we did something similar in 'Random Flow Theory and FOREX'. We compared Kalman filter and Butterworth filter.
You in the article talk about AFC and FFC of some steady-state mode and some original criteria.
If you managed to achieve some steady state mode plus the AFC and FFI of the signal is stationary, I'm ready to apply all my knowledge of DSP and synthesize a digital filter that is close to optimum. By Bayesian I think will not work, because you need sufficient completeness of a priori data (which rarely happens), but the criterion of maximum likelihood or an ideal observer, I think I can do. It will only be necessary to determine what is the signal (at least in the AFC) and what is the noise.
...whose articles in the Sun are of great interest to you
Does that mean you are the author of that very "Candidate Commando" that we read while serving in the "Armed Forces"?:-)
1. Whose algorithm is better: mine or Djurica's? How much better?
Tell me, mirror, tell me the whole truth...
2. Do you have Djurica's algorithm?
3. What is the difference between them?
Alexander, interesting questions, after such a loud-sounding title of the article. If you are in this business, why don't you take Juric's code apart and understand the algorithm, since you are in this subject by science?
I have a legal Juric
LeoV, isn't it too difficult to visually compare legal and http://codebase. mql4.com/ru/1356, which is the same name? Or is the legal one for Omega?
Here - two pictures. Period 14, phase 0. Very similar, by the way. Good algorithm for MT4. I can post it with some other period, if you want.