How and where to set up a hedge fund? - page 16

 
Veniamin Skrepkov:


Data for 2016 - Hedge fund results


I don't think all hedge funds are there. Renaissance Technology, for example, made 21% profit in 2016.

 
Alexey Volchanskiy:

If simple FFT, long, N squared, if FFT, N*log(N)

Did you write the FFT yourself? There's an Alglib lib in the kodobase, it has FFT in it.


It's based onhttps://www.mql5.com/ru/code/130 algorithm.

Only without extrapolation. I wish I knew more about it.

Экстраполяция цен методом Фурье
Экстраполяция цен методом Фурье
  • votes: 33
  • 2010.07.05
  • Vladimir
  • www.mql5.com
Этот индикатор описывает цены рядом Фурье и экстраполирует их в будущее.
 
forexman77:

Based on the algorithmhttps://www.mql5.com/ru/code/130

Only without extrapolation. I wish I knew more about it.


It says -This indicator uses the Quinn-Fernandes frequency calculation algorithm.

Take the FFT from Alglib

 
Alexey Volchanskiy:

It says -This indicator uses the Quinn-Fernandes frequency calculation algorithm.

Take FFT from Alglib


Only Fourier does not work in forex, it was tested by me and others.

 
Alexey Volchanskiy:

Only Fourier doesn't work in forex, it's been tested by me and others for a long time.


I still want to try Fourier decomposition of oscillator and see the difference between tests with and without Fourier.

I'm not good at maths yet, so at least I'll get some practice.

Everyone's writing about garbage, arima. I start reading, but there's nothing but formulas and then I get stumped.

If someone could explain in words what does garch, then it would be much easier to understand what it is and how to apply it.