Discussion of article "Introduction to the Empirical Mode Decomposition Method"

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MetaQuotes 2012.07.18 14:16

New article Introduction to the Empirical Mode Decomposition Method is published:

This article serves to familiarize the reader with the empirical mode decomposition (EMD) method. It is the fundamental part of the Hilbert–Huang transform and is intended for analyzing data from nonstationary and nonlinear processes. This article also features a possible software implementation of this method along with a brief consideration of its peculiarities and gives some simple examples of its use.

Empirical Mode Decomposition MQL5

Author: Victor

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TripleHeinz 2012.07.30 09:01 #

This is one of those good and useful articles. Thank you so much, i was so blinded that my only way of analysis was on direct data stream. This is something that could prove really useful to me along with Heuristic Analysis. I will make my own implementation in the future and try to use the embedded MT5 charting functions instead.

However, i'm running the script with the graphical tool provided, it compiles and displays but data is shown as a square wave pattern only. Is this a normal behaviour?
I tried different symbols at different time periods on different date intervals, also i tried to set the 'n' value to something smaller then larger but attain the same results.

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MisterH 2012.08.06 12:10 #

Actually, this is not a good article. EMD is not a causal technique. This means that its past values change in real time, rendering it utterly and completely useless for trading. It's in the same category as Singular Spectrum Analysis, the Hodrick-Prescott filter and all types of splines. It looks o so good on a static chart, but in real time it is no better than a LWMA. Just place a SMA(1) on the result of your EMD line and you will see how bumpy it becomes... Nice from a research/scientific point of view, useless in trading.

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TripleHeinz 2012.08.07 07:43 #

MisterH:
Actually, this is not a good article. EMD is not a causal technique. This means that its past values change in real time, rendering it utterly and completely useless for trading. It's in the same category as Singular Spectrum Analysis, the Hodrick-Prescott filter and all types of splines. It looks o so good on a static chart, but in real time it is no better than a LWMA. Just place a SMA(1) on the result of your EMD line and you will see how bumpy it becomes... Nice from a research/scientific point of view, useless in trading.

Thanks for your feedback, it seems that it has been more useful than the article itself. I've been studing what you said and although this article has opened my eyes to other types of analysis, if i implement it most probably it will be as you said: BUMPY. Will spend my time on something else and i may use this for research purposes not for trading.

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onewithzachy 2012.08.08 00:29 #

1. http://en.wikipedia.org/wiki/Hilbert%E2%80%93Huang_transform

2. And Google picture of Empirical Mode Decomposition.

3. This probably one of my dumb comment of so many :). A little bit irony in here. The first thing to do, before calculating EMD, is to find the maxima and minima (see below). If we could do that already, then we're already make money. Finding maxima/minima is what we do around here.

The wikipedia also mention (under limitation) that "Datig and Schlurmann [2004] did the most comprehensive studies on the performance and limitations of HHT with particular applications to irregular waves. ... The authors discussed using additional points, both forward and backward, to determine better envelopes.".

4. Filtering out noises - that's what this all about.

yacoov 2012.10.21 11:59 #

This is supposed to be an aternative and better method :Hilbert Vibration Decomposing http://hitech.technion.ac.il/feldman/hvd.html Maybe author or somebody with electronic engineering background write a new article.

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