Building a trading system using digital low-pass filters - page 25
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In order to apply spectral analysis, you must first get rid of the gaps in the price chart.
Something like this
Used to be
became
but it is not clear which criteria should be used ;)
And we must also get rid of ugly prices:
and we should also get rid of the un-pretty prices:
The next step is to demand payments on Tuesdays every week regularly and without question:-)
Perhaps the esteemed can advise...
.
I wanted to do a spectrum decomposition of the signal.
To do this I have prices transferred to a time buffer, Temp.
The linear regression value is subtracted from the time buffer.
There are 8 decomposition channels, Channel1 ... Channel8.
.
The decomposition works like this:
Channel N = Apply(Filter N to Temp Buffer)
Time Buffer = Time Buffer - Channel N
N = N + 1
repeat
(i.e., extract signal - subtract from original - pass to next)
.
If you want to see code - 8-channel spectrometer attached,
+ will need to install program from http://fx.qrz.ru/ (install dlls, df.dll, lapack.dll, etc.)
(in archive - decomposition indicator using digital filters)
.
I set the same 8 values in the filter, e.g,
8 high-pass, 4 . 6 <-, which is equivalent to D1 = 4, P1 = 6
and the result is rubbish
.
You can set 8 low-pass filters, -> 4 ...6
or 8 low pass filters -> 8...12
you get basically the same rubbish
.
HighPass:
.
LowPass:
.
Below is the image for decomposition with the same algorithm, only instead of filtering it uses
Moving Average(Period1) - Moving Average(Period2).
The picture below is much prettier.
.
Question itself:
Is there no problem with these digital filters?
.
P.S.:
Long time agonising with these P . D ..
ended up specifying filters with lines
HighPass <- A ... B
LowPass A . B ->
Reject Band <- A ... B -- C ... D ->
Pass Band A ... B <-> C ... D
to set a filter on these patterns
only one rule: A < B < C < D
.
It turns out that if I select a frequency, subtract it from the original series,
then after that I can select it as many times as I like.
And there will be no zero? And even no similarity?)
What then is the effect of the filter?
.
Probably one can not rely much on transforms like
HighPass(4,6) = Price - LowPass(4,6) ?
The question itself:
Is there no problem with these digital filters?
no
What then is the effect of the filter?
topic of the thread - Building a trading system using digital low pass filters
HighPass is a HF filter, not a LF
topic of the topic - Building a Trading System Using Digital LF Filters
HighPass is a high pass filter, not a low pass filter.
The second picture is just a case of 8 lowpass filters.
Take a closer look. The question is different.
Thank you for your last reply deleted.
christmas правильно изложил, это ГОСТ пo статобработке, и те кто не соблюдает ГОСТ - сами знаете кто)))
Are you referring to the diakin + christmas joint post?
The next step is to demand payments on Tuesdays every week regularly and without question:-)
Yep...
There's not much point in processing the rows with gaps from Soros, 911 and other disasters. It can be done by filters or by Fourier. The question is, if you throw out those gaps - what's left then.
and we also need to get rid of the unattractive prices:
Especially since
this spike doesn't follow in any way.